Bounds on Parameters in Dynamic Discrete Choice Models
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.
|Date of creation:||Oct 2002|
|Date of revision:||Aug 2004|
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