Estimating dynamic models of imperfect competition
By: Patrick Bajari, C. Lanier Benkard, Jonathan Levin.
Contributors: Benkard, C. Lanier.; Levin, Jonathan.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10450; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10450.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Competition, Imperfect -- Econometric models.
Description: "We describe a two-step algorithm for estimating dynamic games under the assumption that behavior is consistent with Markov Perfect Equilibrium.  In the first step, the policy functions and the law of motion for the state variables are estimated.  In the second step, the remaining structural parameters are estimated using the optimality conditions for equilibrium.  The second step estimator is a simple simulated minimum distance estimator.  The algorithm applies to a broad class of models, including I.O.  models with both discrete and continuous controls such as the Ericson and Pakes (1995) model.  We test the algorithm on a class of dynamic discrete choice models with normally distributed errors, and a class of dynamic oligopoly models similar to that of Pakes and McGuire (1994)"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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