Estimating a Dynamic Oligopolistic Game with Serially Correlated Unobserved Production Costs ∗

  title={Estimating a Dynamic Oligopolistic Game with Serially Correlated Unobserved Production Costs ∗},
  author={A. Ronald Gallant and Fuqua},
We propose a likelihood based method that relies on sequential importance sampling to estimate dynamic discrete games of complete information with serially correlated unobserved state variables. Our method is applicable to similar games that have a Markovian representation of the latent dynamics and an algorithm to solve the game. We apply the method to a dynamic oligopolistic game of entry for the generic pharmaceutical industry in which the production costs of firms are the serially… CONTINUE READING


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