Minimum distance estimators for dynamic games

• 成果类型: Article
• 署名作者: Srisuma, Sorawoot
• 署名单位: University of Surrey
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE266
• 发表日期: 2013
• 页码: 549-583
• 关键词: Dynamic games; Markov perfect equilibrium; semiparametric estimation with nonsmooth objective functions

摘要

We develop a minimum distance estimator for dynamic games of incomplete information. We take a two-step approach, following Hotz and Miller (1993), based on the pseudo-model that does not solve the dynamic equilibrium so as to circumvent the potential indeterminacy issues associated with multiple equilibria. The class of games estimable by our methodology includes the familiar discrete unordered action games as well as games where players' actions are monotone (discrete, continuous, or mixed) in the their private values. We also provide conditions for the existence of pure strategy Markov perfect equilibria in monotone action games under increasing differences condition.