Identifying the Discount Factor in Dynamic Discrete Choice Models

J. Abbring, Øystein Daljord
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引用次数: 59

Abstract

Empirical research often cites observed choice responses to variation that shifts expected discounted future utilities, but not current utilities, as an intuitive source of information on time preferences. We study the identification of dynamic discrete choice models under such economically motivated exclusion restrictions on primitive utilities. We show that each exclusion restriction leads to an easily interpretable moment condition with the discount factor as the only unknown parameter. The identified set of discount factors that solves this condition is finite, but not necessarily a singleton. Consequently, in contrast to common intuition, an exclusion restriction does not in general give point identification. Finally, we show that exclusion restrictions have nontrivial empirical content: The implied moment conditions impose restrictions on choices that are absent from the unconstrained model.
动态离散选择模型中贴现因子的识别
实证研究经常引用观察到的选择对变化的反应,这种变化改变了预期的贴现未来效用,而不是当前效用,作为时间偏好的直观信息来源。研究了在原始效用的经济动机不相容约束下的动态离散选择模型的辨识问题。我们证明,每个排除限制导致一个易于解释的力矩条件,贴现因子是唯一的未知参数。解决此条件的已识别的折扣因子集是有限的,但不一定是单一的。因此,与一般的直觉相反,排除限制通常不能给出点的识别。最后,我们证明了排除限制具有重要的经验内容:隐含矩条件对无约束模型中不存在的选择施加了限制。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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