Semiparametric Estimation of a Dynamic Game of Incomplete Information

Recently, empirical industrial organization economists have proposed estimators for dynamic games of incomplete information. In these models, agents choose from a finite number actions and maximize expected discounted utility in a Markov perfect equilibrium. Previous econometric methods estimate the probability distribution of agents’ actions in a first stage. In a second step, a finite vector of parameters of the period return function are estimated. In this paper, we develop semiparametric estimators for dynamic games allowing for continuous state variables and a nonparametric first stage. The estimates of the structural parameters are T1/2 consistent (where T is the sample size) and asymptotically normal even though the first stage is estimated nonparametrically. We also propose sufficient conditions for identification of the model.

You may purchase this paper on-line in .pdf format from SSRN.com ($5) for electronic delivery.

Machine-readable bibliographic record - MARC, RIS, BibTeX