Bounds on parameters in panel dynamic discrete choice models

Bo E. Honoré, Elie Tamer

Research output: Contribution to journalArticle

82 Scopus citations

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 these insights, 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.

Original languageEnglish (US)
Pages (from-to)611-629
Number of pages19
JournalEconometrica
Volume74
Issue number3
DOIs
StatePublished - May 1 2006

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Keywords

  • Bounds
  • Identification
  • Initial condition problem
  • Nonlinear panel data models

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