Comments on “identification and semiparametric estimation of a finite horizon dynamic discrete choice model with a terminating action”

Øystein Daljord (), Denis Nekipelov () and Minjung Park ()
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Øystein Daljord: University of Chicago
Denis Nekipelov: University of Virginia

Quantitative Marketing and Economics (QME), 2019, vol. 17, issue 4, No 4, 439-449

Abstract: Abstract Bajari et al. (Quantitative Marketing and Economics, 14(4), 271–323, 2016) showed conditions under which the discount factor is identified in a finite horizon optimal stopping problem. We show that these conditions can be cast as a special case of a class of exclusion restrictions which are relevant for a broader scope of applications, and extend the identification result to both finite horizon and infinite horizon optimal stopping problems under more general exclusion restrictions. We also show how a similar approach gives identification of general discount functions in finite horizon optimal stopping problems. The identification results directly suggest estimators of the discount functions that are easy to compute.

JEL-codes: C14 C50 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11129-019-09210-w

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