An Instrumental Variable Approach to Dynamic Models

• 成果类型: Article
• 署名作者: Berry, Steven T.; Compiani, Giovanni
• 署名单位: Yale University; National Bureau of Economic Research; University of Chicago
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdac061
• 发表日期: 2023
• 页码: 1724-1758
• 关键词: discrete-choice models; panel-data; nonparametric identification; moment inequalities; Industry dynamics; state dependence; inference; estimators; parameters; games

摘要

We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically endogenous market structure. We propose the use of Generalized Instrument Variables methods to identify those dynamic policy functions that are consistent with instrumental variable (IV) restrictions. Extending popular two-step methods, these policy functions then identify a set of structural parameters that are consistent with the dynamic model, the IV restrictions and the data. We provide computed illustrations to both single-agent and oligopoly examples. We also present a simple empirical analysis that, among other things, supports the counterfactual study of an environmental policy entailing an increase in sunk costs.