Joint Analysis of the Discount Factor and Payoff Parameters in Dynamic Discrete Choice Games
2016/10/18
研討會日期 : 2016-10-18
時間 : 14:30
主講人 : Professor Sorawoot Srisuma
主持人 : Professor Le-Yu Chen
地點 : Conference Room B110
演講者簡介 : Professor Srisuma received his Ph.D. in Economics from London School of Economics in 2010. He is currently a Senior Lecturer at University of Surrey. His research fields are Econometrics, and Empirical Industrial Organization.
演講摘要 : Most empirical models of dynamic games assume the discount factor to be known and focus on the estimation of the payoff parameters. However, the discount factor can be identified when the payoffs satisfy parametric or other nonparametric restrictions. We show when the payoffs take the popular linear-in-parameter specification, the joint identification of the discount factor and payoff parameters can be simplified to a one-dimensional model that is easy to analyze. We also show that switching costs (e.g. entry costs) that often feature in empirical work can be identified in closed-form, independently of the discount factor and other specification of the payoff function. Our identification strategies are constructive. They lead to easy to compute estimands that are global solutions. Estimating the discount factor permits direct inference on borrowing rate. Our estimates of the switching costs can be used for specification testing. We illustrate with a Monte Carlo study and the dataset from Ryan (2012).
