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

Ariel Pakes, Michael Ostrovsky and Steven Berry ()

No 10506, NBER Working Papers from National Bureau of Economic Research, Inc

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 estimates 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.

JEL-codes: C51 L10 (search for similar items in EconPapers)
Date: 2004-05
New Economics Papers: this item is included in nep-com, nep-ecm and nep-ent
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Published as Pakes, Ariel, Michael Ostrovsky, and Steven Berry. “Simple Estimators for the Parameters of Discrete Dynamic Games, with Entry/Exit Examples.” RAND Journal of Economics 38, 2 (Summer 2007): 373-399.

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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 Examples) (2004)
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