| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4037 |
| DP4037 Properties of Optimal Forecasts | |
| Henry Allan Timmermann; Andrew Patton | |
| 发表日期 | 2003-08-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This Paper studies the identification problem in infinite horizon Markovian games and proposes a generally applicable estimation method. Every period firms simultaneously select an action from a finite set. We characterize the set of Markov equilibria. Period profits are a linear function of equilibrium choice probabilities. The question of identification of these values is then reduced to the existence of a solution to this linear equation system. We characterize the identification conditions. We propose a simple estimation procedure that follows the steps in the identification argument. The estimator is consistent, asymptotic normally distributed, and efficient. We have collected quarterly time series data on pubs, restaurants, coffeehouses, bakeries and carpenters for two Austrian towns between 1982 and 2002. A dynamic entry game is estimated in which firms simultaneously decide whether to enter, remain active, or exit the industry. The period profit estimates are used to simulate the equilibrium behaviour under a policy experiment in which a unit tax is imposed on firms deciding to enter the industry. |
| 主题 | Industrial Organization |
| 关键词 | Estimation of dynamic oligopoly Entry games |
| URL | https://cepr.org/publications/dp4037 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533012 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Andrew Patton. DP4037 Properties of Optimal Forecasts. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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