NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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):Industrial Organization

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

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:
Friedman and Warshawsky w1682 The Cost of Annuities: Implications for Saving Behavior and Bequests
Farmer w18284 The Evolution of Endogenous Business Cycles
Paxson and Waldfogel w7343 Work, Welfare, and Child Maltreatment
Dobbie and Fryer w17632 Getting Beneath the Veil of Effective Schools: Evidence from New York City
Henderson and Kuncoro w12110 "Sick of Local Government Corruption? Vote Islamic"
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

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

Contact Us