Estimating Static Models of Strategic Interaction / Patrick Bajari, Han Hong, John Krainer, Denis Nekipelov.

Format:

Book

Author/Creator:

Bajari, Patrick.

Contributor:

National Bureau of Economic Research.

Hong, Han.

Krainer, John.

Nekipelov, Denis.

Series:

Working Paper Series (National Bureau of Economic Research) no. w12013.

NBER working paper series no. w12013

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2006.

Summary:

We propose a method for estimating static games of incomplete information. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which allows the actions of a group of agents to be interdependent. Unlike most earlier work, the method we propose is semiparametric and does not require the covariates to lie in a discrete set. While the estimator we propose is quite flexible, we demonstrate that in most cases it can be easily implemented using standard statistical packages such as STATA. We also propose an algorithm for simulating the model which finds all equilibria to the game. As an application of our estimator, we study recommendations for high technology stocks between 1998-2003. We find that strategic motives, typically ignored in the empirical literature, appear to be an important consideration in the recommendations submitted by equity analysts.

Notes:

Print version record

February 2006.