Nonparametric Identification of Dynamic Games with Discrete and Continuous Choices

Availability:

Working Paper: dcident.pdf (revised November 28, 2009).

Abstract. This paper considers nonparametric identification of dynamic games of incomplete information in which players make both discrete and continuous choices. Such models are commonly used in applied work in industrial organization where, for example, firms make discrete entry and exit decisions followed by continuous investment decisions. We first review existing identification results for single agent dynamic discrete choice models before turning to single-agent models with an additional continuous choice variable and finally to multi-agent models with both discrete and continuous choices. We provide new conditions for nonparametric identification of the utility function in both cases.

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

JEL Classification: C5, C14, C73.

BibTeX Record:

@TechReport{blevins09nonparametric,
  author       = {Jason R. Blevins},
  title        = {Nonparametric Identification of Dynamic Games
                  with Discrete and Continuous Choices},
  institution  = {Duke University},
  year         = 2009,
  type         = {Unpublished manuscript}
}