Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples) / Ariel Pakes, Michael Ostrovsky, Steve Berry.

Format:

Book

Author/Creator:

Pakes, Ariel.

Contributor:

National Bureau of Economic Research.

Ostrovsky, Michael.

Berry, Steve.

Series:

Working Paper Series (National Bureau of Economic Research) no. w10506.

NBER working paper series no. w10506

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Simple Estimators for the Parameters of Discrete Dynamic Games

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2004.

Summary:

This 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.

Notes:

Print version record

May 2004.