This paper studies dynamic discrete choices by relaxing the assumption of rational expectations. That is, agents' subjective expectations about the state transition are unknown and allowed to differ from their objectively estimable counterparts. We show that agents' subjective expectations and...

The interaction of economic agents is one of the most important elements in economic analyses. While most empirical studies investigate peer effects on objective final achievements, peer effects on subjective outcomes are inherently difficult to identify and estimate because these variables are...

We show that the identification results of finite mixture and misclassification models are equivalent in a widely-used scenario except an extra ordering assumption. In the misclassification model, an ordering condition is imposed to pin down the precise values of the latent variable, which are...

We propose a novel methodology for nonparametric identification of first-price auction models with independent private values, which allows for one-dimensional auction-specific unobserved heterogeneity, based on recent results from the econometric literature on nonclassical measurement error in...

We present a method for estimating Markov dynamic models with unobserved state variables which can be serially correlated over time. We focus on the case where all the model variables have discrete support. Our estimator is simple to compute because it is noniterative, and involves only...

In this paper we consider the nonparametric identification of Markov dynamic games models in which each firm has its own unobserved state variable, which is persistent over time. This class of models includes most models in the Ericson and Pakes (1995) and Pakes and McGuire (1994) framework. We...