| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21125 |
| 来源ID | Working Paper 21125 |
| Identification and Efficient Semiparametric Estimation of a Dynamic Discrete Game | |
| Patrick Bajari; Victor Chernozhukov; Han Hong; Denis Nekipelov | |
| 发表日期 | 2015-05-04 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Game Theory ; Industrial Organization |
| URL | https://www.nber.org/papers/w21125 |
| 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/578800 |
| 推荐引用方式 GB/T 7714 | Patrick Bajari,Victor Chernozhukov,Han Hong,et al. Identification and Efficient Semiparametric Estimation of a Dynamic Discrete Game. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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