Identification and estimation of dynamic structural models with unobserved choices

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: cemmap working paper ; No. CWP35/19

Classification and Topics

• Classification: Wirtschaft ; Econometric and Statistical Methods and Methodology: General ; Semiparametric and Nonparametric Methods: General ; Methodological Issues: General ; Model Construction and Estimation ; Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior ; Asymmetric and Private Information; Mechanism Design
• Subject: dynamic discrete choice models ; unobserved choice ; moral hazard ; guber-natorial elections

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hu, Yingyao ; Xin, Yi
• Event: Veröffentlichung
• (who): Centre for Microdata Methods and Practice (cemmap)
• (where): London
• (when): 2019

Further information

• DOI: doi:10.1920/wp.cem.2019.3519
• Handle: http://hdl.handle.net/10419/211128
• Last update: 10.03.2025, 11:44 AM CET