Estimating Static Models of Strategic Interaction

Patrick Bajari, Han Hong, John Krainer, Denis Nekipelov

NBER Working Paper No. 12013
Issued in February 2006
NBER Program(s):   IO

We propose a method for estimating static games of incomplete information. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which allows the actions of a group of agents to be interdependent. Unlike most earlier work, the method we propose is semiparametric and does not require the covariates to lie in a discrete set. While the estimator we propose is quite flexible, we demonstrate that in most cases it can be easily implemented using standard statistical packages such as STATA. We also propose an algorithm for simulating the model which finds all equilibria to the game. As an application of our estimator, we study recommendations for high technology stocks between 1998-2003. We find that strategic motives, typically ignored in the empirical literature, appear to be an important consideration in the recommendations submitted by equity analysts.

download in pdf format
   (549 K)

email paper

This paper is available as PDF (549 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w12013

Published: Estimating Static Models of Strategic Interactions (with Han Hong, John Krainer and Denis Nekipelov), Journal of Business and Economic Statistics Oct 2010, Vol. 28, No. 4, 469-482 citation courtesy of

Users who downloaded this paper also downloaded these:
Bajari and Hong t0320 Semiparametric Estimation of a Dynamic Game of Incomplete Information
Bajari and Krainer w10665 An Empirical Model of Stock Analysts' Recommendations: Market Fundamentals, Conflicts of Interest, and Peer Effects
Pesendorfer and Schmidt-Dengler w9726 Identification and Estimation of Dynamic Games
Pakes, Ostrovsky, and Berry w10506 Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)
Bajari and Horta├žsu w9889 Are Structural Estimates of Auction Models Reasonable? Evidence from Experimental Data
NBER Videos

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email:

Contact Us