Nonparametric and Semiparametric Analysis of a Dynamic Discrete Game
نویسندگان
چکیده
In this paper, we study the identification and estimation of a dynamic discrete game allowing for discrete or continuous state variables. We first provide a general nonparametric identification result under the imposition of an exclusion restrictions on agents payoffs. Next we analyze large sample statistical properties of nonparametric and semiparametric estimators for the econometric dynamic game model. Numerical simulations are used to demonstrate the finite sample properties of the dynamic game estimators.
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