02322cam a22002657 4500001000600000003000500006005001700011008004100028100002500069245012200094260006600216490004100282500001400323520112700337530006101464538007201525538003601597690010401633690009801737700003001835710004201865830007601907856003701983856003602020w9726NBER20150125221020.0150125s2003 mau||||fs|||| 000 0 eng d1 aPesendorfer, Martin.10aIdentification and Estimation of Dynamic Gamesh[electronic resource] /cMartin Pesendorfer, Philipp Schmidt-Dengler. aCambridge, Mass.bNational Bureau of Economic Researchc2003.1 aNBER working paper seriesvno. w9726 aMay 2003.3 aThis paper studies the identification problem in infinite horizon Markovian games and proposes a generally applicable estimation method. Every period firms simultaneously select an action from a finite set. We characterize the set of Markov equilibria. Period profits are a linear function of equilibrium choice probabilities. The question of identification of these values is then reduced to the existence of a solution to this linear equation system. We characterize the identification conditions. We propose a simple estimation procedure which follows the steps in the identification argument. The estimator is consistent, asymptotic normally distributed, and efficient. We have collected quarterly time series data on pubs, restaurants, coffeehouses, bakeries and carpenters for two Austrian towns between 1982 and 2002. A dynamic entry game is estimated in which firms simultaneously decide whether to enter, remain active, or exit the industry. The period profit estimates are used to simulate the equilibrium behavior under a policy experiment in which a unit tax is imposed on firms deciding to enter the industry. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aL1 - Market Structure, Firm Strategy, and Market Performance2Journal of Economic Literature class. 7aD43 - Oligopoly and Other Forms of Market Imperfection2Journal of Economic Literature class.1 aSchmidt-Dengler, Philipp.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w9726.4 uhttp://www.nber.org/papers/w972641uhttp://dx.doi.org/10.3386/w9726