Identifying dynamic discrete choice models

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Econometric models of dynamic discrete choice processes are applied to a wide variety of economic problems. Recent research on their empirical content has brought important new insights. It has clarified the conditions for their identification from choice and covariate panel data in the absence of dynamic selection on unobservables. It has provided important new identification results for discrete-time models with unobserved heterogeneity and unobserved states. Finally, it has enhanced the attractiveness of continuous-time models, by developing new insights on the identification of continuous-time optimal stopping models. Current developments in the literature promise to shed further light on the specification and identification of models with unobserved state variables, theory-based nonproportional hazard models, continuous-time optimal stopping models with time-varying covariates, and dynamic games in discrete and continuous time.
Original languageEnglish
Pages (from-to)367-394
JournalAnnual Review of Economics
Publication statusPublished - 2010


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