Semiparametric Estimation of a Dynamic Game of Incomplete Information

Patrick Bajari and Han Hong

No 320, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: Recently, empirical industrial organization economists have proposed estimators for dynamic games of incomplete information. In these models, agents choose from a finite number actions and maximize expected discounted utility in a Markov perfect equilibrium. Previous econometric methods estimate the probability distribution of agents' actions in a first stage. In a second step, a finite vector of parameters of the period return function are estimated. In this paper, we develop semiparametric estimators for dynamic games allowing for continuous state variables and a nonparametric first stage. The estimates of the structural parameters are T1/2 consistent (where T is the sample size) and asymptotically normal even though the first stage is estimated nonparametrically. We also propose sufficient conditions for identification of the model.

JEL-codes: C1 L0 L5 (search for similar items in EconPapers)
Date: 2006-02
New Economics Papers: this item is included in nep-ecm, nep-gth and nep-upt
Note: TWP
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Citations: View citations in EconPapers (21)

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