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Steven BERRY (Yale University) – “An Instrumental Variable Approach to Dynamic Models” joint with G. Compiani

June 22, 12:15 pm - 1:30 pm

The Microeconomics Seminar: Every Wednesday at 12:15 pm (exceptionally on Friday).

Time: 12:15 pm – 1:30 pm
Date: 22nd of June 2018
Place: Room 3001.

Steven BERRY (Yale University) – “An Instrumental Variable Approach to Dynamic Models” joint with G. Compiani

Abstract: We present a new class of methods for the identification and estimation of dynamic models with serially correlated unobservables, which typically imply that state variables often reflect econometrically endogenous market structure. We propose the use of Generalized Instrument Variables methods to identify those dynamic policy functions that are consistent with instrumental variable (IV) restrictions on unobserved states. Extending popular “two-step” dynamic estimation methods, these policy functions then identify a set of structural parameters that are consistent with the dynamic model, with the IV restrictions and the data. We provide computed illustrations to both single agent and oligopoly examples. We also present a simple empirical analysis that supports a counterfactual study of a possible environmental policy that increases fixed costs.

Organizers:
Marie-Laure Allain, Pierre Boyer, Laurent Linnemer  &  Morgane Cure (CREST)

Sponsors:
CREST

Food is provided.

Details

Date:
June 22
Time:
12:15 pm - 1:30 pm
Event Categories:
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Venue