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Comments on “identification and semiparametric estimation of a finite horizon dynamic discrete choice model with a terminating action”

Author

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  • Øystein Daljord

    (University of Chicago)

  • Denis Nekipelov

    (University of Virginia)

  • Minjung Park

    (Ewha Womans University)

Abstract

Bajari et al. (Quantitative Marketing and Economics, 14(4), 271–323, 2016) showed conditions under which the discount factor is identified in a finite horizon optimal stopping problem. We show that these conditions can be cast as a special case of a class of exclusion restrictions which are relevant for a broader scope of applications, and extend the identification result to both finite horizon and infinite horizon optimal stopping problems under more general exclusion restrictions. We also show how a similar approach gives identification of general discount functions in finite horizon optimal stopping problems. The identification results directly suggest estimators of the discount functions that are easy to compute.

Suggested Citation

  • Øystein Daljord & Denis Nekipelov & Minjung Park, 2019. "Comments on “identification and semiparametric estimation of a finite horizon dynamic discrete choice model with a terminating action”," Quantitative Marketing and Economics (QME), Springer, vol. 17(4), pages 439-449, December.
    • Handle: RePEc:kap:qmktec:v:17:y:2019:i:4:d:10.1007_s11129-019-09210-w
    DOI: 10.1007/s11129-019-09210-w
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    References listed on IDEAS

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    Cited by:

    1. Murasawa, Yasutomo, 2023. "大学中退の逐次意思決定モデルの構造推定 [Structural estimation of a sequential decision model of college dropout]," MPRA Paper 118183, University Library of Munich, Germany.
    2. Chao Wang & Stefan Weiergraeber & Ruli Xiao, 2022. "Identification of Dynamic Discrete Choice Models with Hyperbolic Discounting Using a Terminating Action," CAEPR Working Papers 2022-010 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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