Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)
AbstractThis paper considers the problem of estimating the distribution of payoffs in a discrete dynamic game, focusing on models where the goal is to learn about the distribution of firms' entry and exit costs. The idea is to begin with non parametric first stage estimates of entry and continuation values obtained by computing sample averages of the realized continuation values of entrants who do enter and incumbents who do continue. Under certain assumptions these values are linear functions of the parameters of the problem, and hence are not computationally burdensome to use. Attention is given to the small sample problem of estimation error in the non parametric estimates and this leads to a preference for use of particularly simple estimates of continuation values and moments.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 10506.
Date of creation: May 2004
Date of revision:
Publication status: published as Pakes, Ariel, Michael Ostrovsky, and Steven Berry. “Simple Estimators for the Parameters of Discrete Dynamic Games, with Entry/Exit Examples.” RAND Journal of Economics 38, 2 (Summer 2007): 373-399.
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Other versions of this item:
- Ariel Pakes & Michael Ostrovsky & Steven Berry, 2007. "Simple estimators for the parameters of discrete dynamic games (with entry/exit examples)," RAND Journal of Economics, RAND Corporation, RAND Corporation, vol. 38(2), pages 373-399, 06.
- Ariel Pakes & Michael Ostrovsky & Steve Berry, 2004. "Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Examples)," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 2036, Harvard - Institute of Economic Research.
- L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-07 (All new papers)
- NEP-COM-2004-06-07 (Industrial Competition)
- NEP-ECM-2004-06-10 (Econometrics)
- NEP-ENT-2004-06-07 (Entrepreneurship)
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