Discrete Choice in Continuous Time : Implications of an Intertemporal Version of the Iia Property

This paper proposes a particular behavioral axiom to characterize the stochastic structure of static discrete choice models with serially correlated utilities. This assumption extends Luce's axiom; "Independence from Irrelevant Alternatives", to the intertemporal setting. Under general regularity conditions the implication of this assumption is that the individual choice process is a Markov chain with transition probabilities that have a particularly simple structure. It is also discussed how the framework can be extended to deal with structural state dependence