Using Subjective Expectations Data to Allow for Unobserved Heterogeneity in Hotz-Miller Estimation Strategies
Using Subjective Expectations Data to Allow for Unobserved Heterogeneity in Hotz-Miller Estimation Strategies
复制标题
使用主观期望数据来考虑 Hotz-Miller 估计策略中未观察到的异质性
DOI：
10.2139/ssrn.2129303
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
Yu Zheng
中科院分区：
文献类型：
--
作者：
J. Pantano;Yu Zheng
我们引入了一种新的方法来允许离散选择动态规划模型的两步结构估计策略（即避免完全解决方法的策略）中未观察到的异质性。我们通过采用fiÂ…混合效应方法来贡献文献：而不是识别未观察到的异质性分布，我们实际上在第一步揭示了每个观察的真实未观察类型。我们通过利用经济模型得出的条件选择概率与两种主观的自我报告的未来选择概率评估之间的紧密联系来做到这一点，这些评估通常是在主要调查中得出的。我们揭示了理想期望数据在识别不同类别模型的未观察类型方面的不寻常的力量。更有经验意义的是，我们表明，当我们允许在不太理想的情况下得出这些主观的未来选择概率时，例如，当自我报告在“焦点”参考值处显示大量“堆积”时，我们的结果是成立的。
We introduce a novel approach to allow for unobserved heterogeneity in two-step structural estimation strategies for discrete choice dynamic programming models (i.e strategies that avoid full solution methods). We contribute to the literature by adopting a fiÂ…xed effects approach: rather than identifying an unobserved heterogeneity distribution, we actually reveal the true unobserved type of each observation in a first step. We do so by exploiting the tight link between the conditional choice probabilities that are derived from the economic model and just two subjective self-reported assessments about future choice probabilities such as those commonly elicited in major surveys. We uncover the unusual power of ideal expectations data to identify unobserved types for different classes of models. Of more empirical relevance, we show that our results hold when we allow these subjective future choice probabilities to be elicited in less than ideal circumstances, such as, for example, when self-reports display substantial "heaping" at "focal" reference values.
DOI：
10.3982/ecta5658
发表时间：
2009-11
期刊：
IO: Empirical Studies of Firms & Markets
影响因子：
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作者：
Susumu Imai;Neelam Jain;Andrew T. Ching
通讯作者：
Susumu Imai;Neelam Jain;Andrew T. Ching