Identifying the Discount Factor in Dynamic Discrete Choice Models скачать в хорошем качестве

Identifying the Discount Factor in Dynamic Discrete Choice Models

Can we separately identify how much people value the future versus their current preferences? In most dynamic discrete choice models, the discount factor β and utility parameters are confounded—leading to an identification problem that John Rust highlighted in his famous 1987 bus engine replacement paper. This video explores the identification challenges around the discount factor and introduces the concept of "intertemporal wedges"—variables that affect future states without affecting current utility. I explain how clever researchers have used these wedges to separately identify time preferences from other utility parameters. Slides used in the video are available here: https://raw.githack.com/tyleransom/st... Source code for the slides is here: https://github.com/tyleransom/structu... Scientific reference: Arcidiacono, P., Sieg, H., & Sloan, F. (2007). "Living Rationally Under the Volcano? An Empirical Analysis of Heavy Drinking and Smoking." International Economic Review, 48(1), 37–65. https://doi.org/10.1111/j.1468-2354.2... Key Topics Covered: Why the discount factor β and utility parameters θ are typically confounded Rust's identification argument from footnote 12 of his 1987 paper Two observationally equivalent explanations: low β vs. low future utility How intertemporal wedges can break this identification problem Case study: Arcidiacono, Sieg, and Sloan (2007) using age to identify discount factors in elderly smoking/drinking decisions Additional examples: policy announcements, information variation, and heterogeneity in transition probabilities This video concludes our mini-series on dynamic discrete choice models. Our next series will cover recently developed techniques that allow us to estimate these models without solving them—bypassing the nested fixed point algorithm entirely. Tyler Ransom is an Associate Professor of Economics at the University of Oklahoma. Subscribe for more videos on data science, econometrics, and research methods! #Econometrics #StructuralEconometrics #DynamicDiscreteChoice #DiscountFactor #TimePreferences #BehavioralEconomics #EconomicResearch #discountfactoridentification #intertemporalwedges #dynamicdiscretechoice #JohnRust #structuraleconometrics #timepreferences #identificationproblem #betaidentification #Bellmanequations #dynamicprogramming #nestedfixedpoint #HaroldZurcher #busenginereplacement #discountrate #myopicbehavior #forward-lookingbehavior #statetransitions #utilityfunctionidentification #confoundedparameters #ArcidiaconoSiegSloan #smokingbehavior #elderlydecisionmaking #healtheconomics #policyannouncements #informationheterogeneity #transitionprobabilities #economictheory #appliedeconometrics #microeconometrics #rationalexpectations #intertemporaloptimization #preferenceparameters #behavioralidentification #credibleidentification #causalinference #structuralmodeling #economicmodeling #computationaleconomics #quantitativeeconomics #empiricalmethods #researchmethods #graduateeconometrics #PhDeconomics #economicmethodology #TylerRansom #UniversityofOklahoma #economicstutorial #econometricsexplained #dynamicmodels #discretechoicemodels #multinomialchoice #choicemodeling #economicapplications