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Title: Simple Estimators for the Parameters of Discrete Dynamic Games

Citation Type: Working Paper

Publication Year: 2004

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Abstract: This paper considers the problem of estimating the distribution of payoffs in a discrete dynamic game, focusing on models where the goal is to learn about the distribution of firms' entry and exit costs. The idea is to begin with non-parametric first stage estimates of entry and continuation values obtained by computing sample averages of the realized continuation values of entrants who do enter and incumbents who do continue. Under certain assumptions, these values are linear functions of the parameters of the problem, and hence are not computationally burdensome to use. Attention is given to the small sample of estimation error in the non parametric estimates and this leads to a preference for use of particularly simple estimates of continuation values and moments.

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Authors: Ostrovsky, Michael; Pakes, Ariel

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Publication Number: 2036

Institution: Harvard University

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Publisher Location: Cambridge, MA

Data Collections: IPUMS USA

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