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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. ISSN 1007-0974 (In Press)

[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 problem which requires optimization over the infinite dimensional set, we consider the equivalent dual problem which entails optimization over only a finitedimensional Euclidean space. 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. (2014) to characterize the identified region of marginal costs.

Item Type: Article
Official URL: https://onlinelibrary.wiley.com/journal/14682354
Additional Information: © 2021 John Wiley & Sons
Divisions: Economics
Subjects: Q Science > QA Mathematics
H Social Sciences > HB Economic Theory
Date Deposited: 03 Dec 2021 12:30
Last Modified: 26 Jan 2022 14:48
URI: http://eprints.lse.ac.uk/id/eprint/112785

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