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Identification and Efficient Semiparametric Estimation of a Dynamic Discrete Game

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  • Patrick Bajari
  • Victor Chernozhukov
  • Han Hong
  • Denis Nekipelov

Abstract

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 statistical properties of nonparametric and semiparametric estimators for the econometric dynamic game model. We also show how to achieve semiparametric efficiency of dynamic discrete choice models using a sieve based conditional moment framework. Numerical simulations are used to demonstrate the finite sample properties of the dynamic game estimators. An empirical application to the dynamic demand of the potato chip market shows that this technique can provide a useful tool to distinguish long term demand from short term demand by heterogeneous consumers.

Suggested Citation

  • Patrick Bajari & Victor Chernozhukov & Han Hong & Denis Nekipelov, 2015. "Identification and Efficient Semiparametric Estimation of a Dynamic Discrete Game," NBER Working Papers 21125, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:21125
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    References listed on IDEAS

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    2. Jackson Bunting, 2022. "Continuous permanent unobserved heterogeneity in dynamic discrete choice models," Papers 2202.03960, arXiv.org, revised Feb 2024.
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    9. Abbring, Jaap & Campbell, J.R. & Tilly, J. & Yang, N., 2018. "Very Simple Markov-Perfect Industry Dynamics (revision of 2017-021) : Empirics," Discussion Paper 2018-040, Tilburg University, Center for Economic Research.
    10. Zhaohui (Zoey) Jiang & Yan Huang & Damian R. Beil, 2022. "The Role of Feedback in Dynamic Crowdsourcing Contests: A Structural Empirical Analysis," Management Science, INFORMS, vol. 68(7), pages 4858-4877, July.
    11. Pedro M. Gardete, 2016. "Competing Under Asymmetric Information: The Case of Dynamic Random Access Memory Manufacturing," Management Science, INFORMS, vol. 62(11), pages 3291-3309, November.
    12. A. Ronald Gallant & Han Hong & Ahmed Khwaja, 2018. "The Dynamic Spillovers of Entry: An Application to the Generic Drug Industry," Management Science, INFORMS, vol. 64(3), pages 1189-1211, March.
    13. Rojas Valdes, Ruben I. & Lin Lawell, C.-Y. Cynthia & Taylor, J. Edward, 2017. "The Dynamic Migration Game: A Structural Econometric Model and Application to Rural Mexico," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 259184, Agricultural and Applied Economics Association.
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    15. Kheiravar, Khaled H, 2019. "Economic and Econometric Analyses of the World Petroleum Industry, Energy Subsidies, and Air Pollution," Institute of Transportation Studies, Working Paper Series qt3gj151w9, Institute of Transportation Studies, UC Davis.

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    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • L0 - Industrial Organization - - General

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