Journal
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
Volume 28, Issue 4, Pages 469-482Publisher
AMER STATISTICAL ASSOC
DOI: 10.1198/jbes.2009.07264
Keywords
Discrete choice; Stock analyst recommendation; Structural estimation
Funding
- National Science Foundation [SES-0339828, SES-0452143]
- Sloan Foundation
- Divn Of Social and Economic Sciences
- Direct For Social, Behav & Economic Scie [0924784] Funding Source: National Science Foundation
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We study the estimation of static games of incomplete information with multiple equilibria. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which allows the actions of a group of agents to be interdependent. While the estimator we study is quite flexible, in most cases it can be easily implemented using standard statistical packages such as STATA. We also propose an algorithm for simulating the model which finds all equilibria to the game. As an application of our estimator, we study recommendations for high technology stocks between 1998-2003. We find that strategic motives, typically ignored in the empirical literature, appear to be an important consideration in the recommendations submitted by equity analysts.
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