Bajari et al. (Quantitative Marketing and Economics, 14(4), 271–323, 2016) showed conditions under which the discount factor is identified in a finite horizon optimal stopping problem. We show that these conditions can be cast as a special case of a class of exclusion restrictions which are relevant for a broader scope of applications, and extend the identification result to both finite horizon and infinite horizon optimal stopping problems under more general exclusion restrictions. We also show how a similar approach gives identification of general discount functions in finite horizon optimal stopping problems. The identification results directly suggest estimators of the discount functions that are easy to compute.

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关于“具有终止作用的有限层动态离散选择模型的识别和半参数估计”的评论

Bajari等。（定量营销与经济学，14（4），271–323，2016）显示了在有限水平最优停止问题中确定折现因子的条件。我们表明，这些条件可以作为一类排除禁令的特例，这些禁令与更广泛的应用范围相关，并且将识别结果扩展到更一般的排除禁令下的有限范围和无限范围最佳停止问题。我们还展示了类似的方法如何在有限范围内的最佳停止问题中给出一般折扣函数的识别。识别结果直接建议了易于计算的折现函数的估计量。