Game Theory and Econometrics: A Survey of Some Recent Research

We survey an emerging literature on the econometric analysis of static and dynamic models of strategic interactions. Econometric methods of identication and estimation allow researcher to make use of observed data on individual choice behavior and on the conditional transition distribution of state variables to recover the underlying structural parameters of payo functions and discount rates nonparametrically without imposing strong functional form assumptions. We also discuss the progress that the literature has made on understanding the role of unobserved heterogeneity in the estimation analysis of these models, and other related issues.

[1]  J. Heckman,et al.  A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data , 1984 .

[2]  Quang Vuong,et al.  Simultaneous Equations Models for Dummy Endogenous Variables: A Game Theoretic Formulation with an Application to Labor Force Participation , 1984 .

[3]  John Rust.  Structural estimation of markov decision processes , 1986 .

[4]  John Rust.  Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher , 1987 .

[5]  George Hendrikse,et al.  The Theory of Industrial Organization , 1989 .

[6]  T. Bresnahan,et al.  Entry in Monopoly Market , 1990 .

[7]  Timothy F. Bresnahan,et al.  Empirical models of discrete games , 1991 .

[8]  C. Manski.  Identification of Endogenous Social Effects: The Reflection Problem , 1993 .

[9]  Steven T. Berry.  Estimation of a Model of Entry in the Airline Industry , 1992 .

[10]  V. J. Hotz,et al.  Conditional Choice Probabilities and the Estimation of Dynamic Models , 1993 .

[11]  James L. Powell,et al.  Estimation of semiparametric models , 1994 .

[12]  Jianqing Fan,et al.  Local polynomial modelling and its applications , 1994 .

[13]  John Rust.  Using Randomization to Break the Curse of Dimensionality , 1997 .

[14]  William A. Brock,et al.  Discrete Choice with Social Interactions , 2001 .

[15]  A. Pakes,et al.  Markov-Perfect Industry Dynamics: A Framework for Empirical Work , 1995 .

[16]  R. McKelvey,et al.  Quantal Response Equilibria for Normal Form Games , 1995 .

[17]  M. Keane,et al.  The Career Decisions of Young Men , 1997, Journal of Political Economy.

[18]  Kenneth I. Wolpin,et al.  The Effect of Parental Transfers and Borrowing Constraints On Educational Attainment , 1999 .

[19]  Victor Aguirregabiria,et al.  Swapping the Nested Fixed-Point Algorithm: a Class of Estimators for Discrete Markov Decision Models , 2002 .

[20]  Christopher R. Taber.  Semiparametric identification and heterogeneity in discrete choice dynamic programming models , 2000 .

[21]  Daniel A. Ackerberg.  A new use of importance sampling to reduce computational burden in simulation estimation , 2001 .

[22]  Martin Pesendorfer,et al.  Estimation of a Dynamic Auction Game , 2001 .

[23]  V. Chernozhukov,et al.  An MCMC Approach to Classical Estimation , 2002, 2301.07782.

[24]  T. Magnac,et al.  Identifying Dynamic Discrete Decision Processes , 2002 .

[25]  V. Chernozhukov,et al.  An MCMC approach to classical estimation , 2003 .

[26]  Martin Pesendorfer,et al.  Identification and Estimation of Dynamic Games , 2003 .

[27]  E. Tamer.  Incomplete Simultaneous Discrete Response Model with Multiple Equilibria , 2003 .

[28]  W. Newey,et al.  Instrumental variable estimation of nonparametric models , 2003 .

[29]  Xiaohong Chen,et al.  Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions , 2003 .

[30]  C. L. Benkard,et al.  Estimating Dynamic Models of Imperfect Competition , 2004 .

[31]  Victor Aguirregabiria,et al.  Sequential Estimation of Dynamic Discrete Games , 2007 .

[32]  Rosa L. Matzkin,et al.  The Browser War - Econometric Analysis of Markov Perfect Equilibrium in Markets with Network Effects 1 , 2004 .

[33]  Steven T. Berry,et al.  Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Examples) , 2004 .

[34]  E. Tamer,et al.  Market Structure and Multiple Equilibria in Airline Markets , 2009 .

[35]  Joy L. Ishii.  Compatibility , Competition , and Investment in Network Industries : ATM Networks in the Banking Industry , 2005 .

[36]  C. L. Benkard,et al.  Markov Perfect Industry Dynamics with Many Firms , 2005 .

[37]  Andrew T. Ching,et al.  Bayesian Estimation of Dynamic Discrete Choice Models , 2009 .

[38]  A. McLennan.  The Expected Number of Nash Equilibria of a Normal Form Game , 2005 .

[39]  Steven T. Berry,et al.  Identification in Models of Oligopoly Entry ∗ , 2006 .

[40]  K. Judd,et al.  A New Optimization Approach to Maximum Likelihood Estimation of Structural Models , 2006 .

[41]  Katja Seim,et al.  An empirical model of firm entry with endogenous product-type choices , 2006 .

[42]  Elie Tamer,et al.  Advances in Economics and Econometrics: Identification in Models of Oligopoly Entry , 2006 .

[43]  T. Holmes.  The Diffusion of Wal-Mart and Economies of Density , 2008 .

[44]  Kenneth L. Judd,et al.  Dynamic Stochastic Games with Sequential State-to-State Transitions , 2007 .

[45]  Fuqua,et al.  Estimating a Dynamic Oligopolistic Game with Serially Correlated Unobserved Production Costs∗ , 2008 .

[46]  Panle Jia,et al.  What Happens When Wal‐Mart Comes to Town: An Empirical Analysis of the Discount Retailing Industry , 2008 .

[47]  Andrew Sweeting,et al.  The Strategic Timing Incentives of Commercial Radio Stations: An Empirical Analysis Using Multiple Equilibria , 2008 .

[48]  Han Hong,et al.  Nonparametric and Semiparametric Analysis of a Dynamic Game Model , 2008 .

[49]  Demian Pouzo,et al.  Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals , 2008 .

[50]  M. Shum,et al.  Nonparametric identification of dynamic models with unobserved state variables , 2008 .

[51]  Martin Pesendorfer,et al.  Asymptotic Least Squares Estimators for Dynamic Games , 2008 .

[52]  Yang Wang.  Subjective Expectations: Test for Bias and Implications for Choices (Job Market Paper) , 2008 .

[53]  Robert C. Miller,et al.  CCP Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity , 2008 .

[54]  H. Kasahara,et al.  Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices , 2009 .

[55]  A. Norets,et al.  Inference in Dynamic Discrete Choice Models With Serially orrelated Unobserved State Variables , 2009 .

[56]  Jeremy T. Fox,et al.  Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation , 2009 .

[57]  Jason R. Blevins,et al.  Estimation of Dynamic Discrete Choice Models in Continuous Time April 28 , 2010 , 2010 .

[58]  Ulrich Doraszelski,et al.  A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method , 2008, Oper. Res..

[59]  Han Hong,et al.  Estimating Static Models of Strategic Interactions , 2010 .

[60]  Han Hong,et al.  Computing Equilibria in Static Games of Incomplete Information Using the All-Solution Homotopy , 2010 .

[61]  Martin Pesendorfer,et al.  Sequential Estimation of Dynamic Discrete Games: A Comment , 2010 .

[62]  Andres Aradillas-Lopez,et al.  Semiparametric estimation of a simultaneous game with incomplete information , 2010 .

[63]  Che-Lin Su,et al.  Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coecients Demand Estimation Forthcoming: Econometrica , 2011 .

[64]  Yuya Takahashi,et al.  A Semiparametric Test of Agent's Information Sets for Games of Incomplete Information , 2012 .

[65]  Daniel A. Ackerberg,et al.  A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators , 2011, Review of Economics and Statistics.

[66]  Yu Zheng,et al.  Using Subjective Expectations Data to Allow for Unobserved Heterogeneity in Hotz-Miller Estimation Strategies , 2013 .

[67]  V. Chernozhukov,et al.  Identification and Efficient Semiparametric Estimation of a Dynamic Discrete Game , 2015 .

[68]  A. Pakes,et al.  Moment Inequalities and Their Application , 2015 .