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STRUCTURAL ESTIMATION OF SEQUENTIAL GAMES OF COMPLETE INFORMATION
Author(s) -
Blevins Jason R.
Publication year - 2015
Publication title -
economic inquiry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.823
H-Index - 72
eISSN - 1465-7295
pISSN - 0095-2583
DOI - 10.1111/ecin.12189
Subject(s) - commit , estimator , order (exchange) , stochastic game , identification (biology) , nonparametric statistics , econometrics , action (physics) , economics , computer science , estimation , mathematical economics , monte carlo method , microeconomics , mathematics , statistics , botany , physics , management , finance , quantum mechanics , database , biology
In models of strategic interaction, there may be important order of entry effects if one player can credibly commit to an action (e.g., entry) before other players. If one estimates a simultaneous‐move model, then the move‐order effects will be confounded with the payoffs. This article considers nonparametric identification and simulation‐based estimation of sequential games of complete information. Relative to simultaneous‐move games, these models avoid the problem of multiple equilibria and require fewer payoff normalizations. We apply the estimator in several Monte Carlo experiments and to study entry‐order effects using data from the airline industry . ( JEL C57, C15, L93)