  Empirical research often cites observed choice responses to variation that
shifts expected discounted future utilities, but not current utilities, as an
intuitive source of information on time preferences. We study the
identification of dynamic discrete choice models under such economically
motivated exclusion restrictions on primitive utilities. We show that each
exclusion restriction leads to an easily interpretable moment condition with
the discount factor as the only unknown parameter. The identified set of
discount factors that solves this condition is finite, but not necessarily a
singleton. Consequently, in contrast to common intuition, an exclusion
restriction does not in general give point identification. Finally, we show
that exclusion restrictions have nontrivial empirical content: The implied
moment conditions impose restrictions on choices that are absent from the
unconstrained model.
