Nonparametric Identification of Dynamic Games with Discrete and Continuous Choices

Jason R. Blevins
Ohio State University

Versions and Availability:

• Ohio State University Working Paper 10–02, 2010:
  • IDEAS: osuewp:10–02
  • EconPapers: osuewp:10–02
  • Ohio State: 10–02.pdf
  • Local copy: dcident.pdf

Abstract. This paper shows that the payoff functions in a class of dynamic games of incomplete information are nonparametrically identified under standard assumptions currently used in applied work. Models of this kind are prevalent in empirical industrial organization where, for example, firms in oligopolistic industries make discrete entry and exit decisions followed by continuous investment or pricing decisions. We also provide results for single-agent models, a leading special case which is commonly employed in applied microeconomics more generally.

Keywords: dynamic games, dynamic discrete choice, nonparametric identification.

JEL Classification: C5, C14, C73.

BibTeX Record:

@TechReport{blevins10nonparametric,
  author       = {Jason R. Blevins},
  title        = {Nonparametric Identification of Dynamic Games
                  with Discrete and Continuous Choices},
  institution  = {Ohio State University},
  year         = 2010,
  type         = {Working Paper},
  number       = {10-02}
}