Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93889
Authors: 
Otsu, Taisuke
Pesendorfer, Martin
Takahashi, Yuya
Year of Publication: 
2013
Series/Report no.: 
SFB/TR 15 Discussion Paper 423
Abstract: 
This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that the data are generated from a single equilibrium. We formulate tests of (i) the conditional choice probabilities, (ii) the steady-state distribution of states and (iii) the conditional distribution of states conditional on an initial state. In a Monte Carlo study we find that the chi-squared test of the steady-state distribution performs well and has high power even with a small number of markets and time periods. We apply the chi-squared test to the empirical application of Ryan (2012) that analyzes dynamics of the U.S. Portland Cement industry and test if his assumption of single equilibrium is supported by the data.
Subjects: 
Dynamic Markov Game
Multiplicity of Equilibria
Testing
JEL: 
C12
C72
D44
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.