IDENTIFICATION IN DISCRETE MARKOV DECISION MODELS
研究了在Rust(1987)假设下，当收益函数参数化时，马尔可夫决策模型中结构参数的识别条件，通过伪模型验证识别性，并扩展到动态离散行动博弈。
We derive conditions for the identification of the structural parameters in Markov decision model under the assumptions of Rust (1987, Econometrica 55, 999–1033) when the payoff function is parametrically specified. Identification in this class of dynamic problems is difficult to establish since the parameters of interest enter the value function nonlinearly, and the value function is only defined implicitly as a fixed point of some functional equation. We show it is sufficient to verify identification in the pseudomodel, which is more tractable as it is originally designed to reduce the computational burden in the estimation problem, for the identification of the data generating parameter of the underling model. Our results extend naturally to a class of dynamic discrete action games commonly used in empirical industrial organizations.