Identifying Dynamic Games with Serially Correlated Unobservables

Yingyao Hu and Matthew Shum

A chapter in Structural Econometric Models, 2013, vol. 31, pp 97-113 from Emerald Group Publishing Limited

Abstract: In this article, we consider the nonparametric identification of Markov dynamic games models in which each firm has its own unobserved state variable, which is persistent over time. This class of models includes most models in theEricson and Pakes (1995)andPakes and McGuire (1994)framework. We provide conditions under which the joint Markov equilibrium process of the firms’ observed and unobserved variables can be nonparametrically identified from data. For stationary continuous action games, we show that only three observations of the observed component are required to identify the equilibrium Markov process of the dynamic game. When agents’ choice variables are discrete, but the unobserved state variables are continuous, four observations are required.

Keywords: Dynamic games; identification; unobserved heterogeneity; serial correlation; L13; C73; C14 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... 9053(2013)0000032003
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)

Related works:
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:eme:aecozz:s0731-9053(2013)0000032003

DOI: 10.1108/S0731-9053(2013)0000032003

Access Statistics for this chapter

More chapters in Advances in Econometrics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().