作者：Gayle, George-Levi; Golan, Limor; Soytas, Mehmet A.
作者单位：Washington University (WUSTL); Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Ozyegin University
摘要：This paper explores the estimation of a class of life-cycle discrete choice dynastic models. It provides a new representation of the value function for these class of models. It compare a multistage conditional choice probability (CCP) estimator based on the new value function representation with a modified version of the full solution maximum likelihood estimator (MLE) in a Monte Carlo study. The modified CCP estimator performs comparably to the MLE in a finite sample but greatly reduces the ...
作者：Komarova, Tatiana; Sanches, Fabio; Silva, Daniel, Jr.; Srisuma, Sorawoot
作者单位：University of London; London School Economics & Political Science; Pontificia Universidade Catolica do Rio de Janeiro; City St Georges, University of London; University of Surrey
摘要：Most empirical and theoretical econometric studies of dynamic discrete choice models assume the discount factor to be known. We show the knowledge of the discount factor is not necessary to identify parts, or even all, of the payoff function. We show the discount factor can be generically identified jointly with the payoff parameters. On the other hand, it is known the payoff function cannot be nonparametrically identified without any a priori restrictions. Our identification of the discount f...
