Yu Hao, Hiroyuki Kasahara, Katsumi Shimotsu
arXiv 26 Jul 2025 · Econometrics
arXiv:2507.19814 · PDF · Extracted main text
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we show that common nonparametric assumptions on per-period payoffs -- such as homogeneity of degree one, monotonicity, concavity, zero cross-differences, and complementarity -- provide identifying restrictions on the discount factor. These restrictions take the form of polynomial equalities and inequalities with degrees bounded by the cardinality of the state space. These restrictions also identify payoff functions under standard normalization at one action. In dynamic game models, we show that firm-specific discount factors can be identified using assumptions such as irrelevance of other firms' lagged actions, exchangeability, and the independence of adjustment costs from other firms' actions. Our results demonstrate that widely used nonparametric assumptions in economic analysis can provide substantial identifying power in dynamic structural models.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Abbring, J. H. and Daljord (2020) Identifying the Discount Factor in Dynamic Discrete Choice Models | 1.000 | 14 | 4 | 100% |
| 2 | Arcidiacono, P. and Miller, R. A (2011) Conditional Choice Probability Estimation of Dynamic Discrete Choice Models With Unobserved Heterogeneity | 1.000 | 10 | 5 | 100% |
| 3 | Hotz, V. J. and Miller, R. A (1993) Conditional Choice Probabilities and the Estimation of Dynamic Models | 0.928 | 4 | 3 | 100% |
| 4 | Abbring, J. H., Daljord, ., and Iskhakov, F (2020) Identifying Present-Biased Discount Functions in Dynamic Discrete Choice Models, arXiv preprint arXiv:2507.07286 | 0.874 | 9 | 2 | 100% |
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| 6 | Pesendorfer, M. and Schmidt-Dengler, P (2008) Asymptotic Least Squares Estimators for Dynamic Games | 0.874 | 6 | 2 | 100% |
| 7 | Kalouptsidi, M., Scott, P. T., and Souza-Rodrigues, E (2021) Identification of Counterfactuals in Dynamic Discrete Choice Models | 0.811 | 4 | 2 | 100% |
| 8 | Igami, M (2017) Estimating the Innovator's Dilemma: Structural Analysis of Creative Destruction in the Hard Disk Drive Industry, 1981–1998 | 0.737 | 3 | 2 | 100% |
| 9 | Magnac, T. and Thesmar, D (2002) Identifying Dynamic Discrete Decision Processes | 0.737 | 3 | 2 | 100% |
| 10 | Magnus, J. R. and Neudecker, H (2019) Matrix Differential Calculus with Applications in Statistics and Econometrics | 0.737 | 3 | 2 | 100% |
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