Simple estimators for the parameters of discrete dynamic games (with entry/exit examples)

We estimate parameters from data on discrete dynamic games, using entry/exit games to illustrate. Semiparametric first-stage estimates of entry and continuation values are computed from sample averages of the realized continuation values of entrants and incumbents. Under certain assumptions, these values are easy-to-compute analytic functions of the parameters of interest. The entry and continuation values are used to determine the model's predictions for entry and exit conditional on the parameter vector, and the estimates compare these predictions with the data on entry and exit rates. Small-sample properties are discussed and lead to the simplest of estimators.