|
EconStor >
The Johns Hopkins University, Baltimore, Md. >
Department of Economics, The Johns Hopkins University >
Working Papers, Department of Economics, The Johns Hopkins University >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/49870
|
| | |
| Title: | | Identifying dynamic games with serially-correlated unobservables  |
| Authors: | | Hu, Yingyao Shum, Matthew |
| Issue Date: | | 2008 |
| Series/Report no.: | | Working papers // the Johns Hopkins University, Department of Economics 546 |
| Abstract: | | In this paper we consider the nonparametric identification of Markov dynamic games models in which each firm has its own unobserved state variable, which is persistent over time. This class of models includes most models in the Ericson and Pakes (1995) and Pakes and McGuire (1994) framework. We provide conditions under which the joint Markov equilibrium process of the firms' observed and unobserved variables can be nonparametrically identified from data. For stationary continuous action games, we show that only three observations of the observed component are required to identify the equilibrium Markov process of the dynamic game. When agents' choice variables are discrete, but the unobserved state variables are continuous, four observations are required. |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Papers, Department of Economics, The Johns Hopkins University
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/49870
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|