Downloads
This paper develops identification and estimation methods for dynamic structural models when agents’ actions are unobserved by econometricians. We provide conditions under which choice probabilities and latent state transition rules are nonparametrically identified with a continuous state variable in a single-agent dynamic discrete choice model. Our identification results extend to (1) models with serially correlated unobserved heterogeneity and continuous choices, (2) cases in which only discrete state variables are available, and (3) dynamic discrete games. We apply our method to study moral hazard problems in US gubernatorial elections. We find that the probabilities of shirking increase as the governors approach the end of their terms.
Authors
Johns Hopkins University
Yi Xin
Working Paper details
- DOI
- 10.1920/wp.cem.2019.3519
- Publisher
- The IFS
Suggested citation
Hu, Y and Xin, Y. (2019). Identification and estimation of dynamic structural models with unobserved choices. London: The IFS. Available at: https://ifs.org.uk/publications/identification-and-estimation-dynamic-structural-models-unobserved-choices (accessed: 1 July 2024).
More from IFS
Understand this issue
Gender norms, violence and adolescent girls’ trajectories: Evidence from India
24 October 2022
What are the challenges in getting debt on a falling path?
28 June 2024
Election Special: Your questions answered
27 June 2024
Policy analysis
IFS Deputy Director Carl Emmerson appointed to the UK Statistics Authority Methodological Assurance Review Panel
14 April 2023
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Compu- tation which build likelihoods based on limited information.
12 August 2014
Is there really an NHS productivity crisis?
17 November 2023
Academic research
Inference for rank-rank regressions
28 May 2024
Sample composition and representativeness on Understanding Society
2 February 2024
The impact of labour demand shocks when occupational labour supplies are heterogeneous
28 June 2024