Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217193 
Year of Publication: 
2020
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 11 [Issue:] 2 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2020 [Pages:] 471-501
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
Empirical research often cites observed choice responses to variation that shifts expected discounted future utilities, but not current utilities, as an intuitive source of information on time preferences. We study the identification of dynamic discrete choice models under such economically motivated exclusion restrictions on primitive utilities. We show that each exclusion restriction leads to an easily interpretable moment condition with the discount factor as the only unknown parameter. The identified set of discount factors that solves this condition is finite, but not necessarily a singleton. Consequently, in contrast to common intuition, an exclusion restriction does not in general give point identification. Finally, we show that exclusion restrictions have nontrivial empirical content: The implied moment conditions impose restrictions on choices that are absent from the unconstrained model.
Subjects: 
Discount factor
dynamic discrete choice
empirical content
identification
JEL: 
C25
C61
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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