Semiparametric Identification of Structural Dynamic Optimal Stopping Time Models
2008/02/12
研討會日期 : 2008-02-12
時間 : 15:00
主講人 : Mr. Chen, Le-Yu
地點 : B棟110室
演講者簡介 : Mr. Chen, Le-Yu為Ph.D. Economics，University College London (August 2008 expected)。
其主要研究領域為Econometrics、Applied Econometrics及Microeconometrics。
現申請本所研究職務中。
演講摘要 : This paper presents new identification results for the class of structural dynamic optimal stopping time models that are built upon the framework of the structural discrete Markov decision processes proposed by Rust (1994). We demonstrate how to semiparametrically identify the deep structural parameters of interest in the case where the utility function of an absorbing choice in the model is parametric but the distribution of unobserved state variables is nonparametric. Our identification strategy depends on availability of a continuous observed state variable that satisfies certain exclusion restrictions. If such excluded variable is accessible, we show that the dynamic optimal stopping model is semiparametrically identified using control function approaches.
