Empirical Models of Industry Dynamics with Endogenous Market Structure

IF 6.8 2区 经济学 Q1 ECONOMICS
Steven T. Berry,Giovanni Compiani
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引用次数: 0

Abstract

This article reviews recent developments in the study of firm and industry dynamics, with a special emphasis on the econometric endogeneity of market structure. The endogeneity of market structure follows from the presence of serially correlated unobservable shocks to the profitability of firms’ dynamic decisions, a feature common to many empirical settings. Methods that ignore endogeneity can lead to misleading parameter estimates and misleading counterfactual results. We pay particular attention to extensions of standard two-step methods that leverage instrumental variables to address endogeneity in both single-agent and oligopoly models. A first step set-identifies dynamic policy functions together with serial correlation parameters, and a second step quickly solves for profit function parameters using an extension of existing forward-simulation methods. We discuss how these new methods provide a general solution to initial-conditions problems and how they can yield practical estimation strategies.
基于内生市场结构的产业动态实证模型
本文回顾了企业和行业动态研究的最新进展,特别强调了市场结构的计量经济学内生性。市场结构的内生性源于对企业动态决策的盈利能力存在一系列相关的不可观察的冲击,这是许多经验设置的共同特征。忽略内生性的方法可能导致误导性的参数估计和误导性的反事实结果。我们特别关注标准两步方法的扩展,这些方法利用工具变量来解决单智能体和寡头垄断模型中的内生性问题。第一步集识别动态策略函数和串行相关参数,第二步使用现有前向仿真方法的扩展快速求解利润函数参数。我们讨论了这些新方法如何提供初始条件问题的一般解决方案,以及它们如何产生实用的估计策略。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
9.70
自引率
3.60%
发文量
34
期刊介绍: The Annual Review of Economics covers significant developments in the field of economics, including macroeconomics and money; microeconomics, including economic psychology; international economics; public finance; health economics; education; economic growth and technological change; economic development; social economics, including culture, institutions, social interaction, and networks; game theory, political economy, and social choice; and more.
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