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Bounds on Parameters in Dynamic Discrete Choice Models

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Author Info

  • Bo E. Honoré

    (Department of Economics, University of Princeton)

  • Elie Tamer

    (Department of Economics, University of Princeton)

Abstract

Identification of dynamic nonlinear panel data models is an important and delicate problem in econometrics. In this paper we provide insights that shed light on the identification of parameters of some commonly used models. Using this insight, we are able to show through simple calculations that point identification often fails in these models. On the other hand, these calculations also suggest that the model restricts the parameter to lie in a region that is very small in many cases, and the failure of point identification may therefore be of little practical importance in those cases. Although the emphasis is on identification, our techniques are constructive in that they can easily form the basis for consistent estimates of the identified sets.

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File URL: http://www.econ.ku.dk/cam/wp0910/wp0203/2004-23.pdf/
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Bibliographic Info

Paper provided by University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics in its series CAM Working Papers with number 2004-23.

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Length: 16 pages
Date of creation: Oct 2002
Date of revision: Aug 2004
Handle: RePEc:kud:kuieca:2004_23

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Cited by:
  1. Stéphane Bonhomme & Ulrich Sauder, 2009. "Accounting For Unobservables In Comparing Selective And Comprehensive Schooling," Working Papers wp2009_0906, CEMFI.
  2. Arie Beresteanu & Francesca Molinari, 2006. "Asymptotic properties for a class of partially identified models," CeMMAP working papers CWP10/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Martin Browning & Jesus M. Carro, 2010. "Heterogeneity in dynamic discrete choice models," Econometrics Journal, Royal Economic Society, vol. 13(1), pages 1-39, 02.
  4. Carro, Jesus M., 2007. "Estimating dynamic panel data discrete choice models with fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 503-528, October.
  5. Timothy Halliday, 2006. "Identifying State Dependence in Non-Stationary Processes," Working Papers 200601, University of Hawaii at Manoa, Department of Economics.
  6. Bo E. Honore & Adriana Lleras Muney, 2004. "Bounds in Competing Risks Models and the War on Cancer," NBER Working Papers 10963, National Bureau of Economic Research, Inc.
  7. Timothy Halliday, 2007. "Testing for State Dependence with Time-Variant Transition Probabilities," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 685-703.

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