Estimating Dynamic Models of Imperfect Competition
Abstract
We describe a two-step algorithm for estimating dynamic games under the assumption that behavior is consistent with Markov perfect equilibrium. In the first step, the policy functions and the law of motion for the state variables are estimated. In the second step, the remaining structural parameters are estimated using the optimality conditions for equilibrium. The second step estimator is a simple simulated minimum distance estimator. The...
Paper Details
Title
Estimating Dynamic Models of Imperfect Competition
Published Date
Sep 1, 2007
Journal
Volume
75
Issue
5
Pages
1331 - 1370
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