Identifying dynamic discrete choice models off short panels
利用短面板识别动态离散选择模型AI 解读 ↓
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利用短面板识别动态离散选择模型AI 解读 ↓
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This paper analyzes the identification of flow payoffs and counterfactual choice probabilities (CCPs) in single-agent dynamic discrete choice models. We develop new results on non-stationary models where the time horizon for the agent extends beyond the length of the data (short panels). We show that counterfactual CCPs in short panels are identified when induced by temporary policy changes affecting payoffs, even though the utility flows are not. Counterfactual CCPs induced by innovations to state transitions are generally not identified unless the model exhibits single action finite dependence, and the payoffs of those actions establishing single action finite dependence are known.
测度线性表示模型中识别、计算与推断的对抗方法
We develop a framework for identification, computation, and inference in econometric models with a linear-in-measures representation. These models express maintained restrictions as moment conditions linear in the joint probability measure of observed and latent inputs, and map that measure linearly to the distribution of outputs, even with nonlinear outcome equations. We construct an adversarial discrepancy function whose zeros characterize the identified set for structural…
潜在状态测量不完善时的条件选择概率估计
Traditional dynamic discrete choice model—Conditional Choice Probability estimator (DDCM‐CCP) literature considered identification using the likelihood of longitudinal choice only. However, such an approach has a limitation in identifying flexible dynamics for latent state due to the discrete and typically small‐dimensional nature of choice. This paper extends this literature to utilize imperfect measurements, called proxies, for a latent discrete state. I first show that…
Abstract In nonlinear panel data models, fixed-effects methods are often criticized because they cannot identify average marginal effects (AMEs) in short panels. In contrast with that criticism, we prove the point identification of different AMEs, including causal effects of changes in the lagged dependent variable or the last choice's duration, in a panel dynamic logit model for T as small as three. Our proofs are constructive and provide simple closed-form expressions for…
潜在效用与置换不变性:显示偏好方法
This paper provides partial identification results for latent utility models that satisfy an invariance property on unobservables such as exchangeability. We employ a simple revealed preference argument to “difference out” unobservables, obtaining identifying inequalities for utility indices. We show the differencing argument is also useful for counterfactual analysis. The framework generalizes existing work in discrete choice by allowing latent feasibility sets and by…
固定效应动态离散选择模型中平均边际效应的识别
In nonlinear panel data models, fixed effects methods are often criticized because they cannot identify average marginal effects (AMEs) in short panels. The common argument is that identifying AMEs requires knowledge of the distribution of unobserved heterogeneity, but this distribution is not identified in a fixed effects model with a short panel. In this paper, we derive identification results that contradict this argument. In a panel data dynamic logit model, and for $T$ a…
短面板的稳健分析
Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed effects" and, in dynamic models, initial conditions. This paper presents a generally applicable method for characterizing sharp identified sets when models place no restrictions on the probability distribution of certain latent variables…