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部分识别拍卖模型的信息论方法AI 解读

We consider a situation in which we have data from ascending auctions with symmetric bidders, independent private values, and exogenous entry in which the bidders’ value distribution is partially identified. Focusing on the case in which the seller intends to use a second price auction, we discuss how to determine an optimal reserve price. We justify the use of maximum entropy, explore the properties of the estimand, determine the asymptotic properties of our maximum entropy…

完全信息博弈的反事实预测：部分识别下的点预测AI 解读

We study the problem of counterfactual prediction in discrete decision games with complete information, pure strategies, and Nash equilibria: the presence of multiple equilibria poses unique challenges. We introduce multiple types of counterfactuals to establish sharp identified bounds for their prediction probabilities. We propose and compare various point prediction methods, namely midpoint prediction, an approach using a Dirichlet-based prior, a maximum entropy method,…

积分得分估计AI 解读

We study the properties of the integrated score estimator (ISE), which is the Laplace version of Manski’s maximum score estimator (MMSE). The ISE belongs to a class of estimators whose basic asymptotic properties were studied in Jun, Pinkse, and Wan (2015, Journal of Econometrics 187(1), 201–216). Here, we establish that the MMSE, or more precisely $$\root 3 \of n |\hat \theta _M - \theta _0 |$$ , (locally first order) stochastically dominates the ISE under the conditions…

含二元内生解释变量的非参数三角模型估计AI 解读

We consider identification and estimation in a nonparametric triangular system with a binary endogenous regressor and nonseparable errors. For identification, we take a control function approach utilizing the Dynkin system idea. We articulate various trade‐offs, including continuity, monotonicity and differentiability. For estimation, we use the idea of local instruments under smoothness assumptions, but we do not assume additive separability in latent variables. Our…

三角系统中更紧的识别界AI 解读

We study a nonparametric triangular system with (potentially discrete) endogenous regressors and nonseparable errors. Like in other work in this area, the parameter of interest is the structural function evaluated at particular values. We impose a global exclusion and exogeneity condition, in contrast to Chesher (2005), but develop a rank condition which is weaker than Chesher's. The alternative rank condition can be satisfied for binary endogenous regressors, and it often…

拍卖模型中强正相依性的一致非参数检验AI 解读

We propose a new nonparametric test of affiliation, a strong form of positive dependence with independence as a special, knife-edge, case. The test is consistent against all departures from the null of affiliation, and its null distribution is standard normal. Like most nonparametric tests, a sample-size dependent input parameter is needed. We provide an informal procedure for choosing the input parameter and evaluate the test's performance using a simulation study. Our test…

高效半参数似不相关分位数回归估计AI 解读

We propose an efficient semiparametric estimator for the coefficients of a multivariate linear regression model—with a conditional quantile restriction for each equation—in which the conditional distributions of errors given regressors are unknown. The procedure can be used to estimate multiple conditional quantiles of the same regression relationship. The proposed estimator is asymptotically as efficient as if the true optimal instruments were known. Simulation results…

广告竞争的半结构模型AI 解读

Abstract We propose a semi‐structural discrete‐choice model that can be used to estimate static or dynamic decision rules. It is particularly useful in strategic contexts when games involve a rich set of choices, when private information is correlated, and when one wants to uncover the effect of historic behavior (on, for example, prices, sales, and profits). We apply our discrete‐choice estimator to study decision rules for a dynamic game of price and advertising…

摘要暂缺

We investigate the nature of price competition among firms that produce differentiated products and compete in markets that are limited in extent. We propose an instrumental variables series estimator for the matrix of cross price response coefficients, demonstrate that our estimator is consistent, and derive its asymptotic distribution. Our semiparametric approach allows us to discriminate among models of global competition, in which all products compete with all others,…

摘要暂缺