In this paper, we study the identification and estimation of a dynamic discrete game allowing for discrete or continuous state variables. We first provide a general nonparametric identification result under the imposition of an exclusion restriction on agent payoffs. Next we analyze large sample...

A recent literature considers the identification of heterogeneous demand and supply models via "quasi-experimental'' variation, as from instrumental variables. In this paper we establish nonparametric identification of differentiated products demand when one has "micro data'' linking...

We consider the invertibility of a nonparametric nonseparable demand system. Invertibility of demand is important in several contexts, including identification of demand, estimation of demand, testing of revealed preference, and economic theory requiring uniqueness of market clearing prices. We...

What model features and calibration strategies yield a large average marginal propensity to consume (MPC) in heterogeneous agent models? Through a systematic investigation of models with different preferences, dimensions of ex-ante heterogeneity, income processes and asset structure, we show...

This paper characterizes empirically how government budget variables, such as spending, taxes, and deficits, affected private-sector consumption in the high-budget-deficit economy of Israel during the first half of the 1980s. The paper develops and estimates an intertemporal optimizing model of...

One of the important determinants of the response of saving and consumption to the real interest rate is the elasticity of intertemporal substitution. That elasticity can be measured by the response of the rate of change of consumption to changes in the expected real interest rate. A detailed...

Over the last 15 years, the typical household has increasingly concentrated its spending on a few preferred products. However, this is not driven by "superstar" products capturing larger market shares. Instead, households increasingly purchase different products from each other. As a result,...

A long literature has developed econometric methods for estimating individual-consumer-level demand systems that accommodate corner solutions. The increasing access to transaction-level customer purchase histories across a wide array of markets and industries vastly expands the prospect for...

We study the long-run evolution of brand preferences, using new data on consumers' life histories and purchases of consumer packaged goods. Variation in where consumers have lived in the past allows us to isolate the causal effect of past experiences on current purchases, holding constant...

The widely-used estimator of Berry, Levinsohn and Pakes (1995) produces estimates of consumer preferences from a discrete-choice demand model with random coefficients, market-level demand shocks and endogenous prices. We derive numerical theory results characterizing the properties of the nested...