Related papers: Semiparametric Identification of the Discount Fact…
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
Originating in evolutionary game theory, the class of "zero-determinant" strategies enables a player to unilaterally enforce linear payoff relationships in simple repeated games. An upshot of this kind of payoff constraint is that it can…
We consider the estimation of dynamic discrete choice models in a semiparametric setting, in which the per-period utility functions are known up to a finite number of parameters, but the distribution of utility shocks is left unspecified.…
There is growing empirical evidence that firm heterogeneity is technologically non-neutral. This paper extends Gandhi et al.'s (2020) proxy variable framework for structurally identifying production functions to a more general case when…
What payoffs are positionally determined for deterministic two-player antagonistic games on finite directed graphs? In this paper we study this question for payoffs that are continuous. The main reason why continuous positionally determined…
This paper develops a novel econometric framework for static discrete choice games with costly information acquisition. In traditional discrete games, players are assumed to perfectly know their own payoffs when making decisions, ignoring…
In this paper, we study the contextual dynamic pricing problem where the market value of a product is linear in its observed features plus some market noise. Products are sold one at a time, and only a binary response indicating success or…
Dynamic discrete choice models are widely employed to answer substantive and policy questions in settings where individuals' current choices have future implications. However, estimation of these models is often computationally intensive…
Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components…
This paper revisits the identification and estimation of a class of semiparametric (distribution-free) panel data binary choice models with lagged dependent variables, exogenous covariates, and entity fixed effects. We provide a novel…
Semiparametric inference on average causal effects from observational data is based on assumptions yielding identification of the effects. In practice, several distinct identifying assumptions may be plausible; an analyst has to make a…
In a nonparametric instrumental regression model, we strengthen the conventional moment independence assumption towards full statistical independence between instrument and error term. This allows us to prove identification results and…
Canonical models of Markov decision processes (MDPs) usually consider geometric discounting based on a constant discount factor. While this standard modeling approach has led to many elegant results, some recent studies indicate the…
Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…
Nonseparable panel models are important in a variety of economic settings, including discrete choice. This paper gives identification and estimation results for nonseparable models under time homogeneity conditions that are like "time is…
Functional data are frequently accompanied by a parametric template that describes the typical shapes of the functions. However, these parametric templates can incur significant bias, which undermines both utility and interpretability. To…
Firms are more likely to introduce products in markets where they anticipate stronger demand. They also possess information that is unobserved to researchers. This creates endogenous selection bias in the estimation of demand parameters.…
This note provides upper bounds on the number of operations required to compute by value iterations a nearly optimal policy for an infinite-horizon discounted Markov decision process with a finite number of states and actions. For a given…
We study existence and uniqueness of the fixed points solutions of a large class of non-linear variable discounted transfer operators associated to a sequential decision-making process. We establish regularity properties of these solutions,…
Many statistical estimands of interest (e.g., in regression or causality) are functions of the joint distribution of multiple random variables. But in some applications, data is not available that measures all random variables on each…