Bounds on Parameters in Dynamic Discrete Choice Models

Bo E. Honoré and Elie Tamer
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Bo E. Honoré: Department of Economics, University of Princeton

No 2004-23, CAM Working Papers from University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics

Abstract: Identification of dynamic nonlinear panel data models is an important and delicate problem in econometrics. In this paper we provide insights that shed light on the identification of parameters of some commonly used models. Using this insight, we are able to show through simple calculations that point identification often fails in these models. On the other hand, these calculations also suggest that the model restricts the parameter to lie in a region that is very small in many cases, and the failure of point identification may therefore be of little practical importance in those cases. Although the emphasis is on identification, our techniques are constructive in that they can easily form the basis for consistent estimates of the identified sets.

JEL-codes: C23 C25 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2002-10, Revised 2004-08
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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