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Estimation of (static or dynamic) games under equilibrium multiplicity

Otsu, Taisuke, Pesendorfer, Martin, Sasaki, Yuya and Takahashi, Yuya (2022) Estimation of (static or dynamic) games under equilibrium multiplicity. International Economic Review, 63 (3). 1165 - 1188. ISSN 1007-0974

[img] Text (Estimation of (static or dynamic) games under equilibrium multiplicity) - Accepted Version
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Identification Number: 10.1111/iere.12564

Abstract

We propose a multiplicity-robust estimation method for static or dynamic games. The method allows for distinct behaviors and strategies across markets by treating market-specific behaviors as correlated latent variables, with their conditional probability measure treated as an infinite-dimensional nuisance parameter. Instead of solving the intermediate infinite-dimensional optimization problem, we consider the equivalent finite-dimensional dual problem. This property allows for a practically feasible characterization of the identified region for the structural parameters. We apply the estimation method to newspaper market previously studied in Gentzkow et al. (American Economic Review 104 (2014), 3073–114) to characterize the identified region of marginal costs.

Item Type: Article
Official URL: https://onlinelibrary.wiley.com/journal/14682354
Additional Information: © 2021 Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Date Deposited: 03 Dec 2021 12:30
Last Modified: 16 Aug 2022 07:03
URI: http://eprints.lse.ac.uk/id/eprint/112785

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