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Estimating dynamic models of imperfect competition

Author: Patrick L Bajari; C Lanier Benkard; Jonathan D Levin; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2004.
Series: Working paper series (National Bureau of Economic Research), no. 10450.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"We describe a two-step algorithm for estimating dynamic games under the assumption that behavior is consistent with Markov Perfect Equilibrium. In the first step, the policy functions and the law of motion for the state variables are estimated. In the second step, the remaining structural parameters are estimated using the optimality conditions for equilibrium. The second step estimator is a simple simulated  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Patrick L Bajari; C Lanier Benkard; Jonathan D Levin; National Bureau of Economic Research.
OCLC Number: 56335486
Notes: "April 2004."
Description: 1 online resource (38 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 10450.
Responsibility: Patrick Bajari, C. Lanier Benkard, Jonathan Levin.

Abstract:

"We describe a two-step algorithm for estimating dynamic games under the assumption that behavior is consistent with Markov Perfect Equilibrium. In the first step, the policy functions and the law of motion for the state variables are estimated. In the second step, the remaining structural parameters are estimated using the optimality conditions for equilibrium. The second step estimator is a simple simulated minimum distance estimator. The algorithm applies to a broad class of models, including I.O. models with both discrete and continuous controls such as the Ericson and Pakes (1995) model. We test the algorithm on a class of dynamic discrete choice models with normally distributed errors, and a class of dynamic oligopoly models similar to that of Pakes and McGuire (1994)"--National Bureau of Economic Research web site.

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