Aguirregabiria, Victor (2008): Comment: The Identification Power of Equilibrium in Simple Games. Published in: Journal of Business and Economic Statistics , Vol. 26, No. 3 (1. July 2008): pp. 283-289.
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This paper studies the identification of structural parameters in dynamic games when we replace the assumption of Markov Perfect Equilibrium (MPE) with weaker conditions such as rational behavior and rationalizability. The identification of players' time discount factors is of especial interest. I present identification results for a simple two-periods/two-players dynamic game of market entry-exit. Under the assumption of level-2 rationality (i.e., players are rational and they know that they are rational), a exclusion restriction and a large-support condition on one of the exogenous explanatory variables are sufficient for point-identification of all the structural parameters.
|Item Type:||MPRA Paper|
|Original Title:||Comment: The Identification Power of Equilibrium in Simple Games|
|Keywords:||Identification, Empirical dynamic discrete games, Rational behavior, Rationalizability.|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Victor Aguirregabiria|
|Date Deposited:||01. Jul 2009 09:02|
|Last Modified:||09. Mar 2015 16:24|
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