Working Papers

Identification and Estimation of Entry Games Under Symmetry of Unobservables

PDF, Online Supplement

Abstract: This paper provides a new point identification and estimation method for two-player entry games with complete information, based on symmetry of unobservables. Neither equilibrium selection nor parametric distributional assumptions are required. In addition, a weaker support condition is used relative to the existing literature. Unlike other semiparametric estimators, the estimator proposed here is root n consistent. A test of the required symmetry condition is provided. Monte Carlo evidence shows that the estimator performs well with moderate sample sizes, and is robust to unimodal and multimodal error distributions. The estimator is applied to an entry game of discount retailers in Jia (2008). The results show that, in contrast to existing studies, allowing for non-normal errors doubles the estimated magnitude of competition effects.

Semiparametric Identification and Estimation of Multinomial Discrete Choice Models using Error Symmetry, PDF , with Jin Yan and Arthor Lewbel

Abstract: We provide a new strategy to point identify and estimate cross-sectional multinomial choice models, using conditional error symmetry. Our model nests common random coefficient specifications (without having to specify which regressors have random coefficients), and more generally allows for arbitrary heteroskedasticity on non-excluded regressors, unknown error distribution, and does not require a “large support” assumption on excluded regressors. We propose an estimator that minimizes the squared differences of the estimated error density at pairs of symmetric points about the origin. Our estimator is root N consistent and asymptotically normal, making statistical inference straightforward.

Does Retirement Increase Stock Market Participation? Evidence from a Fuzzy Regression Discontinuity, PDF , with Guodong Chen and Tong-yob Nam

Abstract: Using U.S. Health Retirement Study (HRS) survey data, this study empirically identifies the causal effect of retirement on stock market participation by exploiting exogenous variation in a social security benefit requirement generated by a cutoff age for claiming benefits. Through a regression discontinuity design, the study finds that retirement increases households’ propensity to participate in the stock market by about 61 percentage points. The pattern can be explained by the fact that households spend more time following the stock market after retirement.

Delayed Marriage and College Enrollment: Evidence from a Large National Campaign in China, PDF , with Guodong Chen

Abstract: Our study estimates the causal effect of a year of delay in first marriage on college enrollment. We exploit a national family planning program and devise a difference-in-difference strategy to address endogeneity. Using the 2000 population census, we combine the difference in program intensity across regions with the difference in exposure across cohorts induced by the timing of the program implementation. We find that the program significantly delayed the age of first marriage and that each additional year of delay induced by the program during respondents’ 20s is associated with a 4.1 to 6.8 percent decrease in the likelihood of college enrollment for males. The effect is even larger for the sample of college candidates who were eligible to take the college entrance examination.