Estimating Static Models of Strategic Interaction

Patrick Bajari, Han Hong, John Krainer and Denis Nekipelov ()

No 12013, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We propose a method for estimating static games of incomplete information. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which allows the actions of a group of agents to be interdependent. Unlike most earlier work, the method we propose is semiparametric and does not require the covariates to lie in a discrete set. While the estimator we propose is quite flexible, we demonstrate that in most cases it can be easily implemented using standard statistical packages such as STATA. We also propose an algorithm for simulating the model which finds all equilibria to the game. As an application of our estimator, we study recommendations for high technology stocks between 1998-2003. We find that strategic motives, typically ignored in the empirical literature, appear to be an important consideration in the recommendations submitted by equity analysts.

JEL-codes: C1 L0 L5 (search for similar items in EconPapers)
Date: 2006-02
New Economics Papers: this item is included in nep-dcm, nep-ecm, nep-gth and nep-ict
Note: IO
References: View complete reference list from CitEc
Citations: View citations in EconPapers (80)

Published as Estimating Static Models of Strategic Interactions (with Han Hong, John Krainer and Denis Nekipelov), Journal of Business and Economic Statistics Oct 2010, Vol. 28, No. 4, 469-482

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Journal Article: Estimating Static Models of Strategic Interactions (2010)
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