Niccolò Lomys (Toulouse School of Economics) is presenting at the VJE-Seminar


Niccolò Lomys talks about "Structural Estimation in Complex Dynamic Environments" on March 18, 1:15 pm- 2:30 pm

Abstract:  We develop an approach to identification and estimation of a game's primitives when agents interact repeatedly but, because of the environment's complexity, may not know or understand key features of the interaction. Instead of relying on equilibrium assumptions, we impose an asymptotic ε-regret (ε-AR) condition on the observed play. According to ε-AR, the time average of the counterfactual increase in past payoffs, had different actions been played, becomes small in the long run. Under the ε-AR assumption, we (partially) identify the structural parameters of the stage game. We do so in two steps. First, we prove that the time average of play satisfying ε-AR converges to the set of Bayes (coarse) correlated ε-equilibrium predictions of the stage game. Then, we use the static limiting model to obtain consistent estimates of the parameters of interest. We apply the method to study pricing behavior on an e-commerce platform and show that it yields useful bounds on the distribution of sellers' marginal costs.
Website of Niccolò Lomys

VJES - Niccolò Lomys