This paper develops a dynamic model of consumer search that, despite placing very little structure on the dynamic problem faced by consumers, allows us to exploit intertemporal variation in within-period price and search cost distributions to estimate the population distribution from which...

In models of strategic interaction, there may be important order of entry effects if one player can credibly commit to an action (e.g., entry) before other players. If one estimates a simultaneous-move model, then the move-order effects will be confounded with the payoffs. This paper considers...

When a continuous time model is sampled only at equally spaced intervals, a priori restrictions on the parameters can provide natural identifying restrictions which serve to rule out otherwise observationally equivalent parameter values. Specifically, we consider identification of the parameter...

This paper shows that the payoff functions in a class of dynamic games of incomplete information are nonparametrically identified under standard assumptions currently used in applied work. Models of this kind are prevalent in empirical industrial organization where, for example, firms in...

This paper develops methods for estimating dynamic structural microeconomic models with serially correlated latent state variables. The proposed estimators are based on sequential Monte Carlo methods, or particle filters, and simultaneously estimate both the structural parameters and the...