English, Article, Journal or magazine article edition: Estimating Dynamic Models of Imperfect Competition J. Levin; P. Bajari

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Bookmark: http://trove.nla.gov.au/version/57166
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Estimating Dynamic Models of Imperfect Competition
Author
  • J. Levin
  • P. Bajari
Physical Description
  • preprint
Notes
  • 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)
  • oligopoly markov estimation
  • RePEc:red:sed004:579
Language
  • English
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