Martin Pesendorfer

Department of Economics
London School of Economics
Houghton Street
London WC2A 2AE
Tel: +44 020 795 6783
Fax: 203/432-6323

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NBER Working Papers and Publications

May 2003Identification and Estimation of Dynamic Games
with Philipp Schmidt-Dengler: w9726
This 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 town...
December 2001Estimation of a Dynamic Auction Game
with Mireia Jofre-Bonet: w8626
This paper proposes an estimation method for a repeated auction game under the presence of capacity contraints. The estimation strategy is computationally simple as it does not require solving for the equilibrium of the game. It uses a two stage approach. In the first stage the distribution of bids conditional on state variables is estimated using data on bids, bidder characteristics and contract characteristics. In the second stage, an expression of the expected sum of future profits based on the distribution of bids is obtained, and costs are inferred based on the first order condition of optimal bids. We apply the estimation method to repeated highway construction procurement auctions in the state of California between May 1996 and May 1999. In this market, previously won uncompleted co...

Published: Jofre-Bonet, Mireia and Martin Pesendorfer. "Estimation Of A Dynamic Auction Game," Econometrica, 2003, v71(5,Sep), 1443-1489. citation courtesy of

October 1998Horizontal Mergers in the Paper Industry
This paper examines mergers and acquisitions in the US paper and paperboard industry. This industry experienced a wave of horizontal mergers during the mid 1980s. We study implications of mergers on consumers, rival firms, and welfare. The analysis is based on a model of investment decisions. We compare the equilibrium investment decisions prior to and after the merger wave. The evidence indicates that the efficiency of the majority of acquiring firms increases following an acquisition. Based on the parameter estimates, we calculate merger welfare effects. We find that total welfare increased by $583.5 million as a result of the mergers.

Published: Pesendorfer, Martin. "Horizontal Mergers In The Paper Industry," Rand Journal of Economics, 2003, v34(3,Autumn), 495-515. citation courtesy of

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