Joint analysis of the discount factor and payoff parameters in dynamic discrete choice models

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dc.contributor.authorKomarova, Tatiana
dc.contributor.authorFABIO ADRIANO MIESSI SANCHES
dc.contributor.authorSilva Junior, Daniel
dc.contributor.authorSrisuma, Sorawoot
dc.coverage.paisNão Informadopt_BR
dc.creatorKomarova, Tatiana
dc.creatorSilva Junior, Daniel
dc.creatorSrisuma, Sorawoot
dc.date.accessioned2022-11-11T14:14:55Z
dc.date.available2022-11-11T14:14:55Z
dc.date.issued2018
dc.description.otherMost empirical and theoretical econometric studies of dynamic discrete choice models assume the discount factor to be known. We show the knowledge of the discount factor is not necessary to identify parts, or even all, of the payoff function. We show the discount factor can be generically identified jointly with the payoff parameters. On the other hand, it is known the payoff function cannot be nonparametrically identified without any a priori restrictions. Our identification of the discount factor is robust to any normalization choice on the payoff parameters. In IO applications, normalizations are usually made on switching costs, such as entry costs and scrap values.We also showthat switching costs can be nonparametrically identified, in closed-form, independently of the discount factor and other parts of the payoff function. Our identification strategies are constructive. They lead to easy to compute estimands that are global solutions. We illustrate with aMonte Carlo study and the dataset used in Ryan (2012).pt_BR
dc.format.extentp. 1153-1194pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.3982/QE675pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4708
dc.identifier.volume9pt_BR
dc.language.isoInglêspt_BR
dc.publisherNão informadopt_BR
dc.relation.ispartofQuantitative Economicspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsDiscount factorpt_BR
dc.subject.keywordsDynamic discrete choice problempt_BR
dc.subject.keywordsIdentificationpt_BR
dc.subject.keywordsEstimationpt_BR
dc.subject.keywordsSwitching costspt_BR
dc.titleJoint analysis of the discount factor and payoff parameters in dynamic discrete choice modelspt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://qeconomics.org/ojs/index.php/qe/article/view/618
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication80b08d65-f22c-4df9-9e17-9b169f92ceed
relation.isAuthorOfPublication.latestForDiscovery80b08d65-f22c-4df9-9e17-9b169f92ceed
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