Estimating Dynamic Models of Imperfect Competition
提出一种两步法估计动态博弈模型，假设行为符合马尔可夫完美均衡，适用于离散和连续控制的产业竞争模型，并通过模拟测试验证了算法的有效性。
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 algorithm applies to a broad class of models, including industry competition models with both discrete and continuous controls such as the Ericson and Pakes (1995) model. We test the algorithm on a class of dynamic discrete choice models with normally distributed errors and a class of dynamic oligopoly models similar to that of Pakes and McGuire (1994). Copyright The Econometric Society 2007.