519,728 research outputs found
Dynamic Discrete Choice and Dynamic Treatment Effects
This paper considers semiparametric identification of structural dynamic discrete choice models and models for dynamic treatment effects. Time to treatment and counterfactual outcomes associated with treatment times are jointly analyzed. We examine the implicit assumptions of the dynamic treatment model using the structural model as a benchmark. For the structural model we show the gains from using cross equation restrictions connecting choices to associated measurements and outcomes. In the dynamic discrete choice model, we identify both subjective and objective outcomes, distinguishing ex post and ex ante outcomes. We show how to identify agent information sets.
CHOICE AND TEMPORAL WELFARE IMPACTS: DYNAMIC GEV DISCRETE CHOICE MODELS
Welfare economics is often employed to measure the impact of economic policies or externalities. When demand is characterized by discrete choices, static models of consumer demand are employed for this type of analysis because of the difficulty in estimating dynamic discrete choice models. In this paper we provide a tractable approach to estimating dynamic discrete choice models of the Generalized Extreme Value (GEV) family that addresses many of the problems identified in the literature and provides a rich set of parameters describing dynamic choice. We apply this model to the case of recreational fishing site choice, comparing dynamic to static versions. In natural resource damage assessment cases, static discrete choice models of recreational site choice are often employed to calculate welfare measures, which will be biased if the underlying preferences are actually dynamic in nature. In our empirical case study we find that the dynamic model provides a richer behavioral model of site choice, and reflects the actual choices very well. We also find significant differences between static and dynamic welfare measures. However, we find that the dynamic model raises several concerns about the specification of the policy impact and the subsequent welfare measurement that are not raised in static cases.Demand and Price Analysis,
Model Adequacy Checks for Discrete Choice Dynamic Models
This paper proposes new parametric model adequacy tests for possibly
nonlinear and nonstationary time series models with noncontinuous data
distribution, which is often the case in applied work. In particular, we
consider the correct specification of parametric conditional distributions in
dynamic discrete choice models, not only of some particular conditional
characteristics such as moments or symmetry. Knowing the true distribution is
important in many circumstances, in particular to apply efficient maximum
likelihood methods, obtain consistent estimates of partial effects and
appropriate predictions of the probability of future events. We propose a
transformation of data which under the true conditional distribution leads to
continuous uniform iid series. The uniformity and serial independence of the
new series is then examined simultaneously. The transformation can be
considered as an extension of the integral transform tool for noncontinuous
data. We derive asymptotic properties of such tests taking into account the
parameter estimation effect. Since transformed series are iid we do not require
any mixing conditions and asymptotic results illustrate the double simultaneous
checking nature of our test. The test statistics converges under the null with
a parametric rate to the asymptotic distribution, which is case dependent,
hence we justify a parametric bootstrap approximation. The test has power
against local alternatives and is consistent. The performance of the new tests
is compared with classical specification checks for discrete choice models
Identification of structural dynamic discrete choice models
This paper presents new identification results for the class of structural dynamic discrete choice models that are built upon the framework of the structural discrete Markov decision processes proposed by Rust (1994). We demonstrate how to semiparametrically identify the deep structural parameters of interest in the case where utility function of one choice in the model is parametric but the distribution of unobserved heterogeneities is nonparametric. The proposed identification method does not rely on the availability of terminal period data and hence can be applied to infinite horizon structural dynamic models. For identification we assume availability of a continuous observed state variable that satisfies certain exclusion restrictions. If such excluded variable is accessible, we show that the structural dynamic discrete choice model is semiparametrically identified using the control function approach. This is a substantial revision of "Semiparametric identification of structural dynamic optimal stopping time models", CWP06/07.
Bayesian Estimation of Dynamic Discrete Choice Models
Structural estimation, Dynamic programming, MCMC
The Identification and Economic Content of Ordered Choice Models with Stochastic Thresholds
This paper extends the widely used ordered choice model by introducing stochastic thresholds and interval-specific outcomes. The model can be interpreted as a generalization of the GAFT (MPH) framework for discrete duration data that jointly models durations and outcomes associated with different stopping times. We establish conditions for nonparametric identification. We interpret the ordered choice model as a special case of a general discrete choice model and as a special case of a dynamic discrete choice model.
The Identification & Economic Content of Ordered Choice Models with Stochastic Thresholds
This paper extends the widely used ordered choice model by introducing stochastic thresholds and interval-specific outcomes. The model can be interpreted as a general- ization of the GAFT (MPH) framework for discrete duration data that jointly models durations and outcomes associated with different stopping times. We establish con- ditions for nonparametric identification. We interpret the ordered choice model as a special case of a general discrete choice model and as a special case of a dynamic discrete choice model.example keyword,example keyword, example keyword
Envelope Theorems for Non-Smooth and Non-Concave Optimization
We study general dynamic programming problems with continuous and discrete choices and general constraints. The value functions may have kinks arising (1) at indifference points between discrete choices and (2) at constraint boundaries. Nevertheless, we establish a general envelope theorem: first-order conditions are necessary at interior optimal choices. We only assume differentiability of the utility function with respect to the continuous choices. The continuous choice may be from any Banach space and the discrete choice from any non-empty set
- âŠ