Autor: Daniel Silva Junior

WP 101 Minimum Distance Estimation of Search Costs using Price Distribution

Abstract – Hong and Shum (2006) show equilibrium restrictions in a search model can be used to identify quantiles of the search cost distribution from observed prices alone. These quantiles can be di¢ cult to estimate in practice. This paper uses a minimum distance approach to estimate them that is easy to compute. A version of our estimator is a solution to a nonlinear least squares problem that can be straightforwardly programmed on softwares such as STATA. We show our estimator is consistent and has an asymptotic normal distribution. Its distribution can be consistently estimated by a boostrap. Our estimator can be used to estimate the cost distribution nonparametrically on a larger support when prices from heterogeneous markets are available. There we propose a two-step sieve estimator. The …rst step estimates quantiles from each market. They are used in the second step as generated variables to perform nonparametric sieve estimation. We derive the uniform rate of convergence of the sieve estimator that can be used to quantify the errors incurred from interpolating data across markets. To illustrate we use online bookmaking odds for English football leagues’matches, as prices, and find evidence that suggests search costs for consumers have fallen following a change in the British law that allows gambling operators to advertise more widely. Download do Paper Ano: 2016 Working-paper: 101 Daniel Silva Junior Ler todos os Posts de...

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WP 100 Bank Privatization and Market Structure of the Banking Industry: Evidence from a Dynamic Structural Model

Abstract – This paper examines the effects of bank privatization on the market structure of the banking industry. A dynamic game between Brazilian public and private banks is estimated. We show that profits of private banks are positively affected by the number of public banks and negatively affected by the number of private banks operating in small isolated markets. We used the model to analyze two counterfactual scenarios. In the first, public banks are privatized; in the second public banks are closed. Both counterfactuals predict a significant drop in the number of bank branches operating in small isolated markets. Download do Paper Ano: 2016 Working-paper: 100 Daniel Silva Junior Ler todos os Posts de Daniel Silva Junior’s Share...

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WP 099 ORDINARY LEAST SQUARES ESTIMATION OF A DYNAMIC GAME MODEL

Abstract – 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 a case. Our proposed estimator has a closed form. It can be computed without any numerical optimization and always minimizes the least squares objective function. We specify the optimally weighted GLS estimator that is efficient in the class of estimators under consideration. Our estimator appears to perform well in a simple Monte Carlo experiment. Download do Paper Ano: 2016 Working-paper: 099 Daniel Silva Junior Ler todos os Posts de Daniel Silva Junior’s Share...

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WP 097 Joint Analysis of the Discount Factor and Payoff Parameters in Dynamic Discrete Choice Games

Abstract – Most empirical models of dynamic games assume the discount factor to be known and focus on the estimation of the payoff parameters. However, the discount factor can be identified when the payoffs satisfy parametric or other nonparametric restrictions. We show when the payoffs take the popular linear-in-parameter specification, the joint identification of the discount factor and payoff parameters can be simplified to a one-dimensional model that is easy to analyze. We also show that switching costs (e.g. entry costs) that often feature in empirical work can be identified in closed-form, independently of the discount factor and other specification of the payoff function. Our identification strategies are constructive. They lead to easy to compute estimands that are global solutions. Estimating the discount factor permits direct inference on borrowing rate. Our estimates of the switching costs can be used for specification testing. We illustrate with a Monte Carlo study and the dataset from Ryan (2012). Download do Paper Ano: 2016 Working-paper: 097 Daniel Silva Junior Ler todos os Posts de Daniel Silva Junior’s Share...

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