- Meeting Time: Tuesday and Thursday 10:30 AM–12:18 PM.
- Location: Macquigg Lab 0161.
- Website: http://jblevins.org/courses/econ843f11/
- Instructor: Professor Jason Blevins firstname.lastname@example.org
- Office hours: 415 Arps Hall, by appointment.
The main goals of this course are to introduce students to current research topics in microeconometrics, primarily in the areas of dynamic structural models of strategic interaction and partial identification, and to familiarize students with a set of tools–both applied and theoretical tools–which they can apply to their own dissertation research. The material will be relevant to students writing dissertations in econometrics and/or applied microeconomics.
The course will begin with a general discussion of identification, in which we attempt to understand what features of econometric models we can even theoretically hope to estimate with the data at hand. Once we know what parameters or functionals are identified, we can discuss estimators, the properties of those estimators, and how to implement them. Before considering more specific models, we will briefly review several useful econometric and computational methods that will be useful in implementing many of the estimators we will see throughout the remainder of the course.
The core part of the course will focus on estimating models of strategic interaction. We will start by discussing identification and estimation of static games–both complete information and incomplete information games. This will include models with multiple equilibria, in which certain model features may be only partially identified, requiring the use of set estimation methods, which we will return to in more detail later. Dynamic single-agent models will be introduced next, leading up to a discussion of identification and estimation of dynamic games. Finally, we will end the course with a broader look at topics in partial identification.
Economics 742, 841, and 842 or equivalent with instructor consent.
Please check the course website often for announcements and for the exact schedule of papers to be discussed and student presentations. Students are responsible for all articles, notes, problem sets, and announcements posted on the website.
This course will primarily consist of discussions of individual research papers. These papers will be challenging, and so students should spend time reading them before class in order to better internalize the material and to facilitate discussion. Participation in class discussion will be a significant factor in determining the final grade.
There will be a small number of intensive applied problem sets which will involve implementing estimators discussed in class. Familiarity with software packages such as Matlab or Gauss will be required to complete these assignments. Knowledge of compiled programming languages such as Fortran or C can also be helpful.
Each student will also be expected to give a 45-minute presentation on one of the papers on the reading list at some point during the quarter. Please look over the reading list before the first meeting and select a handful of papers that sound interesting to you.
Students must also complete a final project, which may be either:
- an original research proposal—theoretical or applied—which will become part of the student’s dissertation, or
- a replication of an existing paper, possibly with a different dataset.
Students will be graded based on the problem sets (40%), final project (30%), and class participation (30%). There will be no in-class exams. Collaboration in small groups of two or three is encouraged, both in discussing the papers and working on the problem sets. However, students must ultimately turn in their own code, write-up, and results.
- Computation and Estimation of Nonlinear Models
- Static Games of Complete Information
- Static Games of Incomplete Information
- Static Games with Multiple Equilibria
- Single Agent Dynamic Models
- Dynamic Games of Incomplete Information
- Partial Identification
Schedule and Materials
- September 22: Identification: A General Overview.
- Koopmans (1949)
- Hurwicz (1950).
- Student Presentation Sign-Up (Due Thursday, September 29)
- Problem Set 1 (Due Thursday, October 6)
- September 27: Identification of nonlinear models.
- Matzkin (1992)
- Matzkin (2008).
- September 29: Simulation-Based Estimation.
- Train (2009, Chapter 10) and Hajivassiliou and Ruud (1994).
- See also Lerman and Manski (1981), McFadden (1989), and Lee (1995).
- October 4: MCMC and Importance Sampling:
- Chernozhukov and Hong (2003).
- Ackerberg (2009).
- October 6: no class.
- October 11: Static Games:
- Bresnahan and Reiss (1991, J. Econometrics).
- Berry (1992).
- October 13: Static Games:
- Tamer (2003).
- Bajari, Hong, and Ryan (2010).
- October 18: Static Games:
- Bresnahan and Reiss (1991, JPE) by Xin Yu.
- Bayer and Timmins (2005) by Chao Ma.
- October 20: Static Games:
- Ackerberg and Gowrisankaran (2006) by Xiaoyi Han.
- Sweeting (2009) by Xingbai Xu.
- Problem Set 2 (Due Thursday, November 10)
- October 25: Static games with multiple equilibria:
- Ciliberto and E. Tamer (2009).
- Bajari, Hong, Krainer, and Nekipelov (2010).
- October 27: Single Agent Dynamics:
- Wolpin (1984) by Gracious Diiro.
- Keane and Wolpin (1997) by Seonghoon Kim.
- November 1: Single Agent Dynamic Discrete Choice:
- Pakes (1986).
- Rust (1987, 1994).
- November 3: Single Agent Dynamic Discrete Choice:
- Hotz and Miller (1993).
- Aguirregabiria and Mira (2002).
- November 10: Single Agent DDC and Dynamic Games:
- Hotz, Miller, Sanders, and Smith (1994) by Chih-Sheng Hsieh.
- Pakes and McGuire (1994) by Takeki Sunakawa.
- Problem Set 3 (Due Thursday, December 1)
- November 15: Dynamic Discrete Games:
- Pesendorfer and Schmidt-Dengler (2008).
- November 16: Identification of Single-Agent DDC Models:
- Location: Arps Hall 437, 9:30–11:18 AM
- Magnac and Thesmar (2002).
- November 17: Dynamic Games:
- Jofre-Bonet and Pesendorfer (2003) by Jafar Olimov.
- Aguirregabiria and Mira (2007).
- November 22: Dynamic Games:
- Bajari, Benkard, and Levin (2007).
- Arcidiacono, Bayer, Blevins, and Ellickson (2010).
- November 24: Thanksgiving, no class.
- November 29: Partial Identification:
- Manski and Tamer (2002).
- Chernozhukov, Hong, and Tamer (2007).
- December 1: Partial Identification:
- Magnac and Maurin (2008).
- Honore and Tamer (2006) by Chao Yang.
Below are lists of selected papers for each topic we will cover. The primary papers which I will cover in class appear in bold. The other papers listed are good possibilities for student presentations (and I may also cover some of them myself). As the quarter progresses, a schedule of papers to be covered each class will be posted above.
Koopmans, T. C. (1949). Identification Problems in Economic Model Construction. Econometrica 17, 125–144.
Koopmans, T. C. (1953). Identification Problems in Economic Model Construction. In Studies in Econometric Methods, Cowles Commission Monograph 14. New Haven: Yale University Press.
Matzkin, R. L. (1992). Nonparametric and Distribution-Free Estimation of the Binary Threshold Crossing and The Binary Choice Models. Econometrica 60, 239–270.
Matzkin, R. L. (2008). Identification in Nonparametric Simultaneous Equations. Econometrica 76, 945–978.
Brown, B. W. (1983). The Identification Problem in Systems Nonlinear in the Variables. Econometrica 51, 175–196.
Roehrig, C. S. (1988). Conditions for Identification in Nonparametric and Parametric Models. Econometrica 56, 433–447.
Benkard, C. L., and S. Berry (2006). On the Nonparametric Identification of Non-Linear Simultaneous Equations Models: Comment on Brown (1983) and Rhoerig (1988). Econometrica 74, 1429–1440.
Fisher, Franklin M. (1966). The Identification Problem in Econometrics. McGraw-Hill.
Hsiao, Cheng (1983). Identification. In Handbook of Econometrics, Vol. 1. Amsterdam: North-Holland.
Computation and Estimation of Nonlinear Models
McFadden, D. (1989). A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration. Econometrica 57, 995–1026.
Lerman, Steven R. and C. F. Manski (1981). On the Use of Simulated Frequencies to Approximate Choice Probabilities. In Structural Analysis of Discrete Data and Econometric Applications, eds. C. F. Manski and D. L. McFadden. Cambridge, MA: MIT Press.
Lee, L.-F. (1995). Asymptotic Bias in Simulated Maximum Likelihood Estimation of Discrete Choice Models. Econometric Theory 11, 437–483.
Hajivassiliou, V. and P. Ruud (1994). Classical Estimation Methods for LDV Models using Simulation. In Handbook of Econometrics, Volume 4, eds. R. Engle and D. McFadden. New York: Elsevier.
Chernozhukov, V. and H. Hong (2003). An MCMC Approach to Classical Estimation. Journal of Econometrics 115, 293–346.
Ackerberg, D. A. (2009). A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation. Quantitative Marketing and Economics 7, 343–376.
Train, Kenneth (2009). Discrete Choice Methods with Simulation, second edition. Cambridge University Press.
Static Games of Complete Information
Berry, S. (1992). Estimation of a Model of Entry in the Airline Industry. Econometrica 60, 889–917.
Bresnahan, T. F. and P. C. Reiss (1991). Empirical Models of Discrete Games. Journal of Econometrics 48, 57–81.
Tamer, E. (2003). Incomplete Simultaneous Discrete Response Model with Multiple Equilibria. Review of Economic Studies 70, 147–165.
Bajari, P., Hong, H. and Ryan, S. P. (2010). Identification and Estimation of a Discrete Game of Compete Information. Econometrica 78, 1529–1568.
Bresnahan, T. F. and P. C. Reiss (1991). Entry and Competition in Concentrated Markets. Journal of Political Economy 99, 977–1009.
Bresnahan, T. and P. C. Reiss (1990). Entry in Monopoly Markets. Review of Economic Studies 57, 531–553.
Mazzeo, M. (2002). Product Choice and Oligopoly Market Structure. RAND Journal of Economics 33, 221–242.
Jia, P. (2008). What Happens When Wal-Mart Comes to Town: An Empirical Analysis of the Discount Industry. Econometrica 76, 1263–1316.
Static Games of Incomplete Information
Brock, W. A. and S. N. Durlauf (2001). Discrete Choice with Social Interactions. Review of Economic Studies 68, 235–260.
Bajari, P., H. Hong, J. Krainer, and D. Nekipelov (2010). Estimating Static Models of Strategic Interactions. Journal of Business and Economic Statistics 28, 469–482.
Bajari, P., H. Hong, and D. Nekipelov (2010). Game Theory and Econometrics: A Survey of Some Recent Research. Unpublished manuscript.
Bayer, P. and Timmins, C. (2005). On the Equilibrium Properties of Locational Sorting Models. Journal of Urban Economics 57, 462–477.
Seim, K. (2006). An Empirical Model of Firm Entry with Endogenous Product-Type Choices. RAND Journal of Economics 37, 619–640.
Ackerberg, D. and G. Gowrisankaran (2006). Quantifying Equilibrium Network Externalities in the ACH Banking Industry. RAND Journal of Economics 37, 738–761.
Ellickson, P. and S. Misra (2008). Supermarket Pricing Strategies. Marketing Science 27, 811–828.
Static Games with Multiple Equilibria
Berry, S. and E. Tamer (2006). Identification in Models of Oligopoly Entry. Advances in Economics and Econometrics, Blundell, Newey, and Persson (Eds.), Vol. 2, Ninth World Congress. Cambridge University Press.
Ciliberto, F. and E. Tamer (2009). Market Structure and Multiple Equilibrium in Airline Markets. Econometrica 77, 1791–1828.
Andrews, D. W. K., Berry, S., and P. Jia (2004). Confidence Regions for Parameters in Discrete Games with Multiple Equilibria, with an Application to Discount Chain Store Location. Unpublished manuscript, Yale University.
Beresteanu, A., F. Molinari, and I. Molchanov (2011). Sharp Identification Regions in Models with Convex Moment Predictions. CEMMAP Working Paper CWP25/10.
Pakes, A., J. Porter, K. Ho, and J. Ishii (2006). Moment Inequalities and Their Application. Unpublished manuscript, Harvard University.
Galichon, A. and M. Henry (2011). Set Identification in Models with Multiple Equilibria. Review of Economic Studies, forthcoming.
Sweeting, A. (2009). The Strategic Timing Incentives of Commercial Radio Stations: An Empirical Analysis Using Multiple Equilibria. RAND Journal of Economics 40, 710–742.
Sequential-Move Static Games
Einav, L. (2010). Not All Rivals Look Alike: Estimating an Equilibrium Model of The Release Date Timing Game. Economic Inquiry 48, 369–390.
Blevins, J. R. (2008). Structural Estimation of Sequential Games of Complete Information. Unpublished manuscript, Ohio State University.
Single-Agent Dynamic Models
Pakes, A. (1986). Patents as Options: Some Estimates of the Value of Holding European Patent Stocks. Econometrica 54, 755–784.
Rust, J. (1987). Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher. Econometrica 55, 999–1033.
Hotz, V. J. and R. A. Miller (1993). Conditional Choice Probabilities and the Estimation of Dynamic Models. Review of Economic Studies 60, 397–429.
Rust, J. (1994). Structural Estimation of Markov Decision Processes. In R. F. Engle and D. L. McFadden (Eds.), Handbook of Econometrics, Volume 4, Amsterdam. North Holland.
Aguirregabiria, V. and Mira, P. (2002). Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models. Econometrica 70, 1519–1543.
T. Magnac and D. Thesmar (2002). Identifying Dynamic Discrete Decision Processes. Econometrica 70, 801–816.
Aguirregabiria, V. (2010). Another Look at the Identification of Dynamic Discrete Decision Processes: An Application to Retirement Behavior. Journal of Business and Economic Statistics 28, 201–218.
Gotz, G. A. and J. J. McCall (1980). Estimation in sequential decision-making models: A methodological note. Economics Letters 6, 131–136.
Miller, R. A. (1984). Job matching and occupational choice. Journal of Political Economy 92, 1086–1120.
Wolpin, K. I. (1984). An estimable dynamic stochastic model of fertility and child mortality. Journal of Political Economy 92, 852–874.
Rust, J. (1988). Maximum Likelihood Estimation of Discrete Control Processes. SIAM Journal on Control and Optimimization 26, 1006–1024.
Eckstein, Z. and K. I. Wolpin (1989). The Specification and Estimation of Dynamic Stochastic Discrete Choice Models: A Survey. Journal of Human Resources 24, 562–598.
Hotz, V. J., R. A. Miller, S. Sanders, and J. Smith (1994). A Simulation Estimator for Dynamic Models of Discrete Choice. Review of Economic Studies 61, 265–289.
Keane, M. P. and K. I. Wolpin (1997). The Career Decisions of Young Men. Journal of Political Economy 105, 473–522.
Kasahara, H. and K. Shimotsu (2009). Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices. Econometrica 77, 135–175.
Imai, S., N. Jain, and A. Ching (2009). Bayesian Estimation of Dynamic Discrete Choice Models. Econometrica 77, 1865–1899.
Norets, A. (2009). Inference in Dynamic Discrete Choice Models with Serially Correlated Unobserved State Variables. Econometrica 77, 1665–1682.
Arcidiacono, P. and R. A. Miller (2010). CCP Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity. Unpublished manuscript, Duke University.
Kasahara, H. and K. Shimotsu (2009). Sequential Estimation of Structural Models with a Fixed Point Constraint. Unpublished manuscript, University of British Columbia.
Shum, M. and Y. Hu (2010). Nonparametric Identification of Dynamic Models with Unobserved State Variables. Unpublished manuscript, California Institute of Technology.
Shum, M. and Y. Hu (2008). Identifying Dynamic Games with Serially-Correlated Unobservables. Unpublished manuscript, California Institute of Technology.
Norets, A. and X. Tang (2010). Semiparametric Inference in Dynamic Binary Choice Models. Unpublished manuscript, Princeton University.
Pesendorfer, M. and P. Schmidt-Dengler (2008). Asymptotic Least Squares Estimators for Dynamic Games. Review of Economic Studies 75, 901–928.
Bajari, P., V. Chernozhukov, H. Hong, and D. Nekipelov (2009). Nonparametric and Semiparametric Analysis of a Dynamic Discrete Game. Unpublished manuscript, Stanford University.
Bajari, P., C. L. Benkard, and J. Levin (2007). Estimating Dynamic Models of Imperfect Competition. Econometrica 75, 1331–1370.
Aguirregabiria, V. and P. Mira (2010). Dynamic discrete choice structural models: A survey. Journal of Econometrics 156, 38–67.
Blevins, J. R. (2011). Nonparametric Identification of Dynamic Games with Discrete and Continuous Choices. OSU Working Paper 10–02.
Aguirregabiria, V. and P. Mira (2007). Sequential estimation of dynamic discrete games. Econometrica 75, 1–53.
Arcidiacono, P., P. Bayer, J. R. Blevins, and P. Ellickson (2010). Estimation of Dynamic Discrete Choice Models in Continuous Time. ERID Working Paper Number 50.
Ericson, R. and A. Pakes (1995). Markov-Perfect Industry Dynamics: A Framework for Empirical Work. Review of Economics and Statistics 62, 53–82.
Pakes, A. and P. McGuire (1994). Computing Markov-perfect Nash equilibria: Numerical Implications of a Dynamic Differentiated Product Model. RAND Journal of Economics 25, 555–589.
Rust, J. (1994). Estimation of Dynamic Structural Models, Problems and Prospects: Discrete Decision Processes. In C. Sims (Ed.), Advances in Econometrics: Sixth World Congress, Volume 2. Cambridge University Press.
Benkard, L. (2004). A Dynamic Analysis of the Market for Wide-Bodied Commercial Aircraft. Review of Economic Studies 71, 581–611.
Pakes, A., M. Ostrovsky, and S. Berry (2007) Simple Estimators for the Parameters of Discrete Dynamic Games, with Entry/Exit Examples. RAND Journal of Economics 38, 373–399.
Ryan, S. P. (2011). The Costs of Environmental Regulation in a Concentrated Industry. Unpublished manuscript, MIT.
Beresteanu, A., P. B. Ellickson, and S. Misra (2011). The Dynamics of Retail Oligopoly. Unpublished manuscript, University of Rochester.
Collard-Wexler, A. (2010). Demand Fluctuations in the Ready-Mix Concrete Industry. Unpublished manuscript, NYU Stern.
Macieira, J. (2009). A Dynamic Model of Innovation and Technological Competition in the Supercomputer Industry. Unpublished manuscript, Virginia Tech.
Blevins, J. R. (2011). Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models. OSU Working Paper 11–01.
Doraszelski, U. and K. L. Judd (2008). Avoiding the curse of dimensionality in dynamic stochastic games. Unpublished manuscript, Harvard University.
Grieco, P. L. E. (2011). Discrete Games with Flexible Information Structures: An Application to Local Grocery Markets. Unpublished manuscript, Pennsylvania State University.
Doraszelski, U. and A. Pakes (2007). A framework for applied dynamic analysis in IO. In M. Armstrong and R. H. Porter (Eds.), Handbook of Industrial Organization, Volume 3. North Holland.
Pakes, A. and P. McGuire (2001). Stochastic Algorithms, Symmetric Markov Perfect Equilibrium, and the ‘Curse’ of Dimensionality. Econometrica 69, 1261–1281.
Weintraub, G. Y., C. L. Benkard, and B. Van Roy (2008). Markov perfect industry dynamics with many firms. Econometrica 76, 1375–1411.
Su, C.-L. and K. L. Judd (2008). Constrained Optimization Approaches to Estimation of Structural Models. Unpublished manuscript, University of Chicago.
Jofre-Bonet, M. and M. Pesendorfer (2003). Estimation of a Dynamic Auction Game. Econometrica 71, 1443–1489.
Srisuma, S. (2011). Estimation of Structural Optimization Models: A Note on Identification. Unpublished manuscript, London School of Economics.
Topics in Partial Identification
Manski, C. F. and E. Tamer (2002). Inference on Regressions with Interval Data on a Regressor or Outcome. Econometrica 70, 519–546.
Chernozhukov, V., H. Hong, E. Tamer (2007). Estimation and Confidence Regions for Parameter Sets in Econometric Models. Econometrica 75, 1243–1284.
Tamer, E. (2010). Partial Identification in Econometrics. Annual Review of Economics 2, 167–195.
Manski, C. (1990). Nonparametric Bounds on Treatment Effects. American Economic Review 80, Papers and Proceedings, 319–323.
Magnac, T. and E. Maurin (2008). Partial Identification in Monotone Binary Models: Discrete Regressors and Interval Data. Review of Economic Studies 75, 835–864.
Imbens, G., and C. Manski (2004). Confidence Intervals for Partially Identified Parameters. Econometrica 72, 1845–1857.
Honoré, B. E. and E. Tamer (2006). Bounds on Parameters in Dynamic Discrete Choice Models. Econometrica 74, 611–629
Beresteanu, A. and F. Molinari (2008). Asymptotic Properties for a Class of Partially Identified Models. Econometrica 76, 763–814.
Stoye, J. (2009). More on Confidence Intervals for Partially Identified Parameters. Econometrica 77, 1299–1315.
Andrews, D. W. K. and P. Jia (2008). Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure. Cowles Foundation Discussion Paper No. 1676.
Andrews, D. W. K. and G. Soares (2010). Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection. Econometrica 78, 119–157.
Blevins, J. R. (2011). Partial Identification and Inference in Binary Choice and Duration Panel Data Models. Unpublished manuscript, Ohio State University.