Pooling data across markets in dynamic Markov games
Taisuke Otsu,
Martin Pesendorfer and
Yuya Takahashi
Quantitative Economics, 2016, vol. 7, issue 2, 523-559
Abstract:
This paper proposes several statistical tests for finite state Markov games to examine whether data from distinct markets can be pooled. We formulate homogeneity tests of (i) the conditional choice and state transition probabilities, (ii) the steady‐state distribution, and (iii) the conditional state distribution given an initial state. The null hypotheses of these homogeneity tests are necessary conditions (or maintained assumptions) for poolability of the data. Thus rejections of these null imply that the data cannot be pooled across markets. Acceptances of these null are considered as supporting evidences for the maintained assumptions of estimation using pooled data. In a Monte Carlo study we find that the test based on the steady‐state distribution performs well and has high power even with small numbers of markets and time periods. We apply the tests to the empirical study of Ryan (2012) that analyzes dynamics of the U.S. Portland cement industry and assess if the data across markets can be pooled.
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (17)
Downloads: (external link)
http://hdl.handle.net/
Related works:
Working Paper: Pooling data across markets in dynamic Markov games (2016) 
Working Paper: Pooling data across markets in dynamic Markov games (2015) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:wly:quante:v:7:y:2016:i:2:p:523-559
Ordering information: This journal article can be ordered from
https://www.econometricsociety.org/membership
Access Statistics for this article
More articles in Quantitative Economics from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().