全球智库信息集成服务系统(G2TT): Semiparametric Estimation of a Dynamic Game of Incomplete Information

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/t0320
来源ID	Technical Working Paper 0320
	Semiparametric Estimation of a Dynamic Game of Incomplete Information
	Patrick Bajari; Han Hong
发表日期	2006-02-13
出版年	2006
语种	英语
摘要	Recently, empirical industrial organization economists have proposed estimators for dynamic games of incomplete information. In these models, agents choose from a finite number actions and maximize expected discounted utility in a Markov perfect equilibrium. Previous econometric methods estimate the probability distribution of agents%u2019 actions in a first stage. In a second step, a finite vector of parameters of the period return function are estimated. In this paper, we develop semiparametric estimators for dynamic games allowing for continuous state variables and a nonparametric first stage. The estimates of the structural parameters are T1/2 consistent (where T is the sample size) and asymptotically normal even though the first stage is estimated nonparametrically. We also propose sufficient conditions for identification of the model.
主题	Industrial Organization ; Regulatory Economics ; Econometrics ; Estimation Methods
URL	https://www.nber.org/papers/t0320
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/569671
推荐引用方式 GB/T 7714	Patrick Bajari,Han Hong. Semiparametric Estimation of a Dynamic Game of Incomplete Information. 2006.

条目包含的文件
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t0320.pdf（432KB）	智库出版物		限制开放	CC BY-NC-SA	浏览