Bajari, Benkard and Levin (2007) propose an estimation methodology for a broad class of dynamic optimization problems. To carry out their procedure, one needs to select a set of alternative policy functions and compare the implied expected payoffs with that from the data. We show that this can...

We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation procedure is simple as it directly generalizes the...

Estimation of dynamic games is known to be a numerically challenging task. A common form of the payoff functions employed in practice takes the linear-in-parameter specification. We show a least squares estimator taking a familiar OLS/GLS expression is available in such case. Our proposed...

We propose a general two-step estimator for a popular Markov discrete choice model that includes a class of Markovian games with continuous observable state space. Our estimation procedure generalizes the computationally attractive methodology of Pesendorfer and Schmidt-Dengler (2008) that...

Bajari, Benkard and Levin (2007) propose an estimation methodology for a broadclass of dynamic optimization problems. To carry out their procedure, one needs toselect a set of alternative policy functions and compare the implied expectedpayoffs with that from the data. We show that this can...

We propose a general two-step estimation method for the structural parameters ofpopular semiparametric Markovian discrete choice models that include a class ofMarkovian Games andallow for continuous observable state space. The estimation procedure is simpleas it directly generalizes the...

We consider nonparametric identification and estimation of consumption based asset pricing Euler equations. This entails estimation of pricing kernels or equivalently marginal utility functions up to scale. The standard way of writing these Euler pricing equations yields Fredholm integral...