Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Examples)

Ariel Pakes, Michael Ostrovsky and Steven Berry ()

No 2036, Harvard Institute of Economic Research Working Papers from Harvard - Institute of Economic Research

Abstract: This paper considers the problem of estimating the distribution of payoffs in a discrete dynamic game, focusing on models where the goal is to learn about the distribution of firms' entry and exit costs. The idea is to begin with non parametric first stage etimates of entry and continuation values obtained by computing sample averages of the realized continuation values of entrants who do enter and incumbents who do continue. Under certain assumptions these values are linear functions of the parameters of the problem, and hence are not computationally burdensome to use. Attention is given to the small sample problem of estimation error in the non parametric estimates and this leads to a preference for use of particularly simple estimates of continuation values and moments.

Date: 2004
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Related works:
Journal Article: Simple estimators for the parameters of discrete dynamic games (with entry/exit examples) (2007)
Working Paper: Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples) (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:harver:2036

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