Testing homogeneity in dynamic discrete games in finite samples

• 成果类型: Article
• 署名作者: Bugni, Federico A.; Bunting, Jackson; Ura, Takuya
• 署名单位: Northwestern University; University of Washington; University of Washington Seattle; University of California System; University of California Davis
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE2059
• 发表日期: 2025
• 关键词: sequential estimation; estimators; models; identification; MARKETS

摘要

The literature on dynamic discrete games often assumes that the conditional choice probabilities and the state transition probabilities are homogeneous across markets and over time. We refer to this as the homogeneity assumption in dynamic discrete games. This assumption enables empirical studies to estimate the game's structural parameters by pooling data from multiple markets and from many time periods. In this paper, we propose a hypothesis test to evaluate whether the homogeneity assumption holds in the data. Our hypothesis test is the result of an approximate randomization test, implemented via a Markov chain Monte Carlo (MCMC) algorithm. We show that our hypothesis test becomes valid as the (user-defined) number of MCMC draws diverges, for any fixed number of markets, time periods, and players. We apply our test to the empirical study of the U.S. Portland cement industry in Ryan (2012).