TY - JOUR
AU - Pakes,Ariel
AU - Ostrovsky,Michael
AU - Berry,Steve
TI - Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)
JF - National Bureau of Economic Research Working Paper Series
VL - No. 10506
PY - 2004
Y2 - May 2004
DO - 10.3386/w10506
UR - http://www.nber.org/papers/w10506
L1 - http://www.nber.org/papers/w10506.pdf
N1 - Author contact info:
Ariel Pakes
Department of Economics
Harvard University
Littauer Room 117
Cambridge, MA 02138
Tel: 617/495-5320
Fax: 617/496-7352
E-Mail: apakes@fas.harvard.edu
Michael Ostrovsky
Graduate School of Business
Stanford University
655 Knight Way
Stanford, CA 94305
Tel: 650/724-7280
E-Mail: ostrovsky@stanford.edu
Steven T. Berry
Yale University Department of Economics
Box 208264
37 Hillhouse Avenue
New Haven, CT 06520-8264
Tel: 203/432-3556
Fax: 203/432-6323
E-Mail: steven.berry@yale.edu
AB - 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 problem 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.
ER -