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Abstract
The usual approach to econometric analysis of discrete choice under uncertainty imposes a parametric specification on agents' expectations. In some settings, one may estimate expectations nonparametrically and then infer preferences. Manski (1988) introduces this idea in the context of a population of agents who face finite horizon dynamic choice problems. The paper makes the idealized assumption that realizations reveal expectations perfectly. The present paper gives conditions under which the idea remains valid in the more realistic setting where realizations estimate expectations imperfectly.