ESTIMATION OF (STATIC OR DYNAMIC) GAMES UNDER EQUILIBRIUM MULTIPLICITY

• 成果类型: Article
• 署名作者: Otsu, Taisuke; Pesendorfer, Martin; Sasaki, Yuya; Takahashi, Yuya
• 署名单位: University of London; London School Economics & Political Science; Vanderbilt University; University of Washington; University of Washington Seattle
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12564
• 发表日期: 2022
• 页码: 1165-1188
• 关键词: models

摘要

We propose a multiplicity-robust estimation method for static or dynamic games. The method allows for distinct behaviors and strategies across markets by treating market-specific behaviors as correlated latent variables, with their conditional probability measure treated as an infinite-dimensional nuisance parameter. Instead of solving the intermediate infinite-dimensional optimization problem, we consider the equivalent finite-dimensional dual problem. This property allows for a practically feasible characterization of the identified region for the structural parameters. We apply the estimation method to newspaper market previously studied in Gentzkow et al. (American Economic Review 104 (2014), 3073-114) to characterize the identified region of marginal costs.