  We propose a regression-based approach to estimate how individuals'
expectations influence their responses to a counterfactual change. We provide
conditions under which average partial effects based on regression estimates
recover structural effects. We propose a practical three-step estimation method
that relies on panel data on subjective expectations. We illustrate our
approach in a model of consumption and saving, focusing on the impact of an
income tax that not only changes current income but also affects beliefs about
future income. Applying our approach to Italian survey data, we find that
individuals' beliefs matter for evaluating the impact of tax policies on
consumption decisions.
