Estimating Static Models of Strategic Interactions
We study the estimation of static games of incomplete information with multiple equilibria. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which allows the actions of a group of agents to be interdependent. While the estimator we study is quite f...
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| Veröffentlicht in: | Journal of business & economic statistics 2010-10, Vol.28 (4), p.469-482 |
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| container_end_page | 482 |
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| container_issue | 4 |
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| container_title | Journal of business & economic statistics |
| container_volume | 28 |
| creator | Bajari, Patrick Hong, Han Krainer, John Nekipelov, Denis |
| description | We study the estimation of static games of incomplete information with multiple equilibria. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which allows the actions of a group of agents to be interdependent. While the estimator we study is quite flexible, in most cases it can be easily implemented using standard statistical packages such as STATA. We also propose an algorithm for simulating the model which finds all equilibria to the game. As an application of our estimator, we study recommendations for high technology stocks between 1998-2003. We find that strategic motives, typically ignored in the empirical literature, appear to be an important consideration in the recommendations submitted by equity analysts. |
| doi_str_mv | 10.1198/jbes.2009.07264 |
| format | Article |
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| source | JSTOR Mathematics & Statistics; JSTOR Archive Collection A-Z Listing |
| subjects | Algorithms Brokerages Business structures Conflicts of interest Discrete choice Earnings forecasting Economic models Estimating techniques Estimators Game theory Investment banking Investment policy Recommendations Simulation Stock analyst recommendation Structural estimation Studies Variable coefficients |
| title | Estimating Static Models of Strategic Interactions |
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