TY  - JOUR
AU  - Bajari,Patrick
AU  - Hong,Han
AU  - Krainer,John
AU  - Nekipelov,Denis
TI  - Estimating Static Models of Strategic Interaction
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12013
PY  - 2006
Y2  - February 2006
UR  - http://www.nber.org/papers/w12013
L1  - http://www.nber.org/papers/w12013.pdf
N1  - Author contact info:
Patrick Bajari
Professor of Economics
University of Minnesota
4-101 Hanson Hall
1925 4th Street South
Minneapolis, MN 55455
Tel: 612/625-8369
Fax: 612/624-0209
E-Mail: bajari@econ.umn.edu

Han Hong
Landau Economics Building
579 Serra Mall
Stanford, CA 94305
E-Mail: doubleh@stanford.edu

John Krainer
Research Department
Federal Reserve Bank of San Francisco
P.O. Box 7702
San Francisco, CA  94120
E-Mail: john.krainer@sf.frb.org

Denis Nekipelov
UC, Berkeley
530 Evans Hall, #3880
Berkeley, CA 94720-3880
E-Mail: nekipelov@econ.berkeley.edu
AB  - 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.
ER  -