| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27756 |
| 来源ID | Working Paper 27756 |
| An Instrumental Variable Approach to Dynamic Models | |
| Steven T. Berry; Giovanni Compiani | |
| 发表日期 | 2020-08-31 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically endogenous market structure. We propose the use of Generalized Instrument Variables methods to identify those dynamic policy functions that are consistent with instrumental variable (IV) restrictions. Extending popular "two-step" methods, these policy functions then identify a set of structural parameters that are consistent with the dynamic model, the IV restrictions and the data. We provide computed illustrations to both single-agent and oligopoly examples. We also present a simple empirical analysis that, among other things, supports the counterfactual study of an environmental policy entailing an increase in sunk costs. |
| 主题 | Econometrics ; Estimation Methods ; Industrial Organization ; Market Structure and Firm Performance |
| URL | https://www.nber.org/papers/w27756 |
| 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/585428 |
| 推荐引用方式 GB/T 7714 | Steven T. Berry,Giovanni Compiani. An Instrumental Variable Approach to Dynamic Models. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w27756.pdf（1001KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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