Synopsis
This module will focus on the use of partially identifying models for applications in industrial organization, investigating a mix of methodological, theoretical, econometric and applied issues. Particular areas of application in the IO literature will comprise a selection of research employing various models of auctions, entry, matching, and demand estimation. For each area of application, we will cover both the econometric theory underlying the partial identification analysis employed, as well as the motivation for the use of the partially identifying model in empirical practice. We will discuss what features of these applications have made the use of such models successful, and highlight their ability to aid the credibility of empirical findings, for example by allowing for the possibility of multiple equilibria, or by dispensing with strong restrictions on unobservable heterogeneity that do not follow from economic theory.
Background
This is a class for second year PhD students interested in research in microeconometrics or empirical IO using structural models, or both. We expect all of you to have micro background on the order of what is covered in the first year micro sequence and Mas-Colell, Whinston, and Green (1995), and econometrics background on the order of what is covered in the first years econometrics sequence. In addition, this class will require you to be able to program. You are expected to have a working knowledge of MATLAB and STATA, or equivalent software (such as R, Julia, Java, Python, C++, whatever). However, it will be advantageous for you to settle on software that is part of the current equilibrium in economics.
Office Hour
Allan Collard-Wexler: Sign up for office hours on website.
Adam Rosen: Thursdays 13:30 – 14:30, Social Sciences 221B.
Assessments
Course grades will be determined by a combination of problem sets, in class presentations of research papers, and a research proposal of approximately three to four pages.
Lecture Plan and Reading List
The schedule is tentative and subject to change.
- Wednesday 8 January: Introduction and motivation. Multiple equilibria, incomplete models, and partial identification.
Primary references: Ho and Rosen (2017).
Supplementary references: Manski (1989, 2007), Pakes (2010, 2014), .
Monday 13 January: Identification, Partial Identification, Generalized IV Models. Primary references: Chesher and Rosen (2020), Molinari (2020).
Supplementary references: Koopmans (1949, 1950), Manski (2003, 2007), Matzkin (2007), Tamer (2010), Chesher and Rosen (2017b).
Wednesday 15 January: Identification, Partial Identification, Generalized IV Models.. References: Same as previous lecture.
For presentation: Manski (1990).
Problem Set 1: Partial Identification.
Monday 20 January: MLK Jr holiday. No class.
Wednesday 22 January: Empirical work on auctions (1).
Primary references: Hendricks and Porter (1988) and Porter and Zona (1993).
Supplementary references: Myerson (1981), Klemperer (2004) (first chapter in particular at https://www.nuff.ox.ac.uk/users/klemperer/virtualbook/07_chapter1.pdf).
John Asker’s Lecture notes on Auctions (http://www.johnasker.com/Auctions%20I.pdf).
Monday 27 January: Empirical work on auctions (2).
Primary references: Laffont, Ossard, and Vuong (1995), Guerre, Perrigne, and Vuong (2000).
Supplementary references: Paarsch, Hong, and others (2006), Athey and Haile (2007), Hendricks and Porter (2007).
For presentation: Asker (2010).
Wednesday 29 January: Empirical work on auctions (3): recent applications.
Primary references: Bhattacharya, Roberts, and Ordin (2019) and Cassola, Hortaçsu, and Kastl (2013).
Supplementary references: Hortaçsu and McAdams (2010).
Monday 3 February: Incomplete models of auctions (1).
Primary references: Haile and Tamer (2003).
Supplementary references: Athey and Haile (2002), Gentry and Li (2014), Chesher and Rosen (2017a, 2017b), Freyberger and Larsen (2017).
Wednesday 5 February: Incomplete models of auctions (2).
References: Same as previous lecture.
For presentation: Aradillas-Lopez, Gandhi, and Quint (2013).
Problem Set 2: Auctions.
Monday 10 February: Incomplete models of auctions (3).
References: Same as previous two lectures.
Wednesday 12 February: Entry models (1).
Primary references: Mankiw and Whinston (1986), Bresnahan and Reiss (1990, 1991a, 1991b).
Supplementary references: Sutton (1991), Syverson (2004), Dixit and Stiglitz (1977).
Monday 17 February: Entry models (2).
References: Same as previous lecture.
For presentation: Backus (2019).
Wednesday 19 February: Entry models (3).
Primary references: Berry (1992).
Supplementary references: none.
Monday 24 February: Entry models (4).
Primary references: Mazzeo (2002), Seim (2006).
Supplementary references: Bajari, Hong, and Ryan (2010)
For presentation: TBD.
Wednesday 26 February: Incomplete models of entry (1).
Primary references: Tamer (2003), Ciliberto and Tamer (2009).
Supplementary references: Berry and Tamer (2007), Aradillas-López and Tamer (2008), Aradillas-López (2010), Beresteanu, Molchanov, and Molinari (2011), Galichon and Henry (2011), Kline (2016).
For presentation: Heckman (1978).
Problem Set 3: Entry Models.
Monday 2 March: Inference in incomplete models. (1)
Primary references: Ciliberto and Tamer (2009), Chernozhukov, Hong, and Tamer (2007).
Supplementary references: Rosen (2008), Andrews and Soares (2010), Holmes (2011), Beresteanu and Molinari (2008), Bugni (2010), Canay (2010), Romano and Shaikh (2010), Canay and Shaikh (2017).
Wednesday 4 March: Application of incomplete entry models using moment inequalities .
Primary references: Holmes (2011).
Supplementary references: Eizenberg (2014), Wollmann (2018).
For presentation: Ho (2009).
Monday 9 March: No class. Spring Break.
Wednesday 11 March: No class. Spring Break.
Monday 16 March: Incomplete models of entry (2).
Primary references: Chesher and Rosen (2019).
Supplementary references: Berry and Tamer (2007), Aradillas-López and Tamer (2008), Aradillas-López (2010), Beresteanu, Molchanov, and Molinari (2011), Galichon and Henry (2011), Kline (2016).
Wednesday 18 March: Incomplete models of entry (3).
References: Same as last lecture.
For presentation: Kline and Tamer (2012).
Problem Set 4: Inference in Incomplete Models.
Monday 23 March: Inference in incomplete models. (2)
Primary references: Imbens and Manski (2004), Stoye (2009), Rosen (2008).
Supplementary references: Beresteanu and Molinari (2008), Bugni (2010), Canay (2010), Romano and Shaikh (2010), Canay and Shaikh (2017).
Wednesday 25 March: Inference with conditional moment inequalities.
Primary references: Andrews and Shi (2013), Chernozhukov, Lee, and Rosen (2013)
Supplementary references: Chernozhukov, Chetverikov, and Kato (2013), Armstrong (2014, 2015), Bugni, Canay, and Shi (2017), Kaido, Molinari, and Stoye (2017), Belloni, Bugni, and Chernozhukov (2018), Chen, Christensen, and Tamer (2018), Chetverikov (2018). For presentation: Andrews and Soares (2010)
Monday 30 March: Partially identifying models of demand.
Primary references: Nevo (2001), Pakes (2010) Ho and Pakes (2014).
Supplementary references: Berry, Levinsohn, and Pakes (1995), Griliches and Hausmann (1986), Blundell, Browning, and Crawford (2008), Nevo and Rosen (2012), Blundell, Kristensen, and Matzkin (2014), Hausman and Newey (2016), Kitamura and Stoye (n.d.).
Wednesday 1 April: IV models for discrete choice.
Primary references: Chesher, Rosen, and Smolinski (2013).
Supplementary references: Charles F. Manski (2007), Chesher (2010), Chesher and Smolinski (2012), Chesher and Rosen (2020), Chesher, Rosen, and Siddique (2019).
Monday 6 April: Partially Identifying Models of Networks.
Primary references: .
Supplementary references: Ishii (2005).
Wednesday 8 April: Open.
Monday 13 April: Open.
Wednesday 15 April: Open.
Andrews, Donald W. K., and Xiaoxia Shi. 2013. “Inference Based on Conditional Moment Inequalities.”Econometrica 81 (2): 609–66.
Andrews, Donald W. K., and Gustavo Soares. 2010. “Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection.”Econometrica 78 (1): 119–57.
Aradillas-Lopez, Andres, Amit Gandhi, and Daniel Quint. 2013. “Identification and Inference in Ascending Auctions with Correlated Private Values.”Econometrica 81 (2): 489–534.
Aradillas-López, Andres. 2010. “Semiparametric Estimation of a Simultaneous Game with Incomplete Information.”Journal of Econometrics 157 (2): 409–31.
Aradillas-López, Andres, and Elie Tamer. 2008. “The Identification Power of Equilibrium in Simple Games.”Journal of Business and Economic Statistics 26 (3): 261–83.
Armstrong, Timothy B. 2014. “Weighted Ks Statistics for Inference on Conditional Moment Inequalities.”Journal of Econometrics 181 (2): 92–116.
———. 2015. “Asymptotically Exact Inference in Conditional Moment Inequality Models.”Journal of Econometrics 186 (1): 51–65.
Asker, John. 2010. “A Study of the Internal Organization of a Bidding Cartel.”American Economic Review 100 (3): 724–62.
Athey, Susan, and Phil Haile. 2002. “Identification of Standard Auction Models.”Econometrica 70 (6): 2107–40.
Athey, Susan, and Philip A Haile. 2007. “Nonparametric Approaches to Auctions.”Handbook of Econometrics 6: 3847–3965.
Backus, Matthew. 2019. “Why Is Productivity Correlated with Competition?”National Bureau of Economic Research.
Bajari, Pat, Han Hong, and Stephen P. Ryan. 2010. “Identification and Estimation of a Discrete Game of Complete Information.”Econometrica 78 (5): 1529–68.
Belloni, Alex, Federico Bugni, and Victor Chernozhukov. 2018. “Subvector Inference in Partially Identified Models with Many Moment Inequalities.”https://arxiv.org/pdf/1806.11466.pdf.
Beresteanu, Arie, Ilya Molchanov, and Francesca Molinari. 2011. “Sharp Identification Regions in Models with Convex Moment Predictions.”Econometrica 79 (6): 1785–1821.
Beresteanu, Arie, and Francesca Molinari. 2008. “Asymptotic Properties for a Class of Partially Identified Models.”Econometrica 76 (4): 763–814.
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Berry, Stephen, and Elie Tamer. 2007. “Identification in Models of Oligopoly Entry.”In Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Volume Ii, edited by Richard Blundell, Whitney Newey, and Torsten Persson, 46–85. Cambridge University Press.
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Bhattacharya, Vivek, James Roberts, and Andrey Ordin. 2019. “Bidding and Drilling Under Uncertainty: Identification and Estimation of Contingent Payment Auctions.”Working Paper, Duke University.
Blundell, Richard, Martin Browning, and Ian Crawford. 2008. “Best Nonparametric Bounds on Demand Responses.”Econometrica 76 (6): 1227–62.
Blundell, Richard, Dennis Kristensen, and Rosa Matzkin. 2014. “Bounding Quantile Demand Functions Using Revealed Preference Inequalities.”Journal of Econometrics 179 (2): 112–27.
Bresnahan, Timothy F., and Peter J. Reiss. 1990. “Entry in Monopoly Markets.”Review of Economic Studies 57: 531–53.
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Bugni, Federico. 2010. “Bootstrap Inference for Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set.”Econometrica 78 (2): 735–53.
Bugni, Federico, Ivan Canay, and Xiaoxia Shi. 2017. “Inference for Subvectors and Other Functions of Partially Identified Parameters in Moment Inequality Models.”Quantitative Economics 8 (1): 1–38.
Canay, Ivan. 2010. “EL Inference for Partially Identified Models: Large Deviations Optimality and Bootstrap Validity.”Journal of Econometrics 156 (2): 408–25.
Canay, Ivan, and Azeem Shaikh. 2017. “Practical and Theoretical Advances for Inference in Partially Identified Models.”In Advances in Economics and Econometrics: Eleventh World Congress, Volume Ii, edited by Bo Honore, Ariel Pakes, Monika Piazzesi, and Larry Samuelson. Cambridge University Press.
Cassola, Nuno, Ali Hortaçsu, and Jakub Kastl. 2013. “The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds.”Econometrica 81 (4): 1309–45.
Chen, Xiaohong, Timothy M. Christensen, and Elie Tamer. 2018. “Monte Carlo Confidence Sets for Identified Sets.”Econometrica 86 (6): 1965–2018.
Chernozhukov, Victor, Denis Chetverikov, and Kengo Kato. 2013. “Testing Many Moment Inequalities.”
Chernozhukov, Victor, Han Hong, and Elie Tamer. 2007. “Estimation and Confidence Regions for Parameter Sets in Econometric Models.”Econometrica 75 (5): 1243–84.
Chernozhukov, Victor, Sokbae Lee, and Adam Rosen. 2013. “Intersection Bounds: Estimation and Inference.”Econometrica 81 (2): 667–737.
Chesher, Andrew. 2010. “Instrumental Variable Models for Discrete Outcomes.”Econometrica 78 (2): 575–601.
Chesher, Andrew, and Adam M. Rosen. 2017a. “Incomplete English Auction Models with Heterogeneity.”
Chesher, Andrew, and Adam Michael Rosen. 2017b. “Generalized Instrumental Variable Models.”Econometrica 85 (3): 959–90.
———. 2019. “Structural Modeling of Simultaneous Discrete Choice.”
———. 2020. “Generalized Instrumental Variable Models, Methods, and Applications.”In The Handbook of Econometrics, edited by Steven Durlauf, Lars Peter Hansen, Heckman James J., and Rosa Matzkin. Vol. 7a. Elsevier. https://www.ifs.org.uk/uploads/Generalized-Instrumental-Variable-Models-Methods-and-Applications.pdf.
Chesher, Andrew, Adam Michael Rosen, and Zahra Siddique. 2019. “Estimating Endogenous Effects on Ordered Outcomes.”
Chesher, Andrew, Adam Michael Rosen, and Konrad Smolinski. 2013. “An Instrumental Variable Model of Multiple Discrete Choice.”Quantitative Economics 4 (2): 157–96.
Chesher, Andrew, and Konrad Smolinski. 2012. “IV Models of Ordered Choice.”Journal of Econometrics 166 (1): 33–48.
Chetverikov, Denis. 2018. “Adaptive Tests of Conditional Moment Inequalities.”Econometric Theory 34 (1): 186–227.
Ciliberto, Federico, and Elie Tamer. 2009. “Market Structure and Multiple Equilibria in Airline Markets.”Econometrica 77 (6): 1791–1828.
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Eizenberg, Alon. 2014. “Upstream Innovation and Product Variety in the Us Home Pc Market.”Review of Economic Studies 81 (3): 1003–45.
Freyberger, Joachim, and Bradley J. Larsen. 2017. “Identification in Ascending Auctions, with an Application to Digital Rights Management.”https://www.ssc.wisc.edu/~jfreyberger/Auctions_Freyberger_Larsen.pdf.
Galichon, Alfred, and Marc Henry. 2011. “Set Identification in Models with Multiple Equilibria.”Review of Economic Studies 78 (4): 1264–98.
Gentry, Matthew, and Tong Li. 2014. “Identification in Auctions with Selective Entry.”Econometrica 82 (1): 315–44.
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Guerre, Emmanuel, Isabelle Perrigne, and Quang Vuong. 2000. “Optimal Nonparametric Estimation of First-Price Auctions.”Econometrica 68 (3): 525–74.
Haile, Philip A., and Elie Tamer. 2003. “Inference with an Incomplete Model of English Auctions.”Journal of Political Economy 111 (1): 1–51.
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Hendricks, Ken, and Robert H Porter. 2007. An Empirical Perspective on Auctions. Handbook of Industrial Organization. Vol. 3. Elsevier.
Ho, Kate, and Ariel Pakes. 2014. “Hospital Choices, Hospital Prices, and Financial Incentives to Physicians.”American Economic Review 104 (12): 3841–84.
Ho, Kate, and Adam M. Rosen. 2017. “Partial Identification in Applied Research: Benefits and Challenges.”In Advances in Economics and Econometrics: Eleventh World Congress, Volume Ii, edited by Bo Honore, Ariel Pakes, Monika Piazzesi, and Larry Samuelson, 292–345. Cambridge University Press.
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Hortaçsu, Ali, and David McAdams. 2010. “Mechanism Choice and Strategic Bidding in Divisible Good Auctions: An Empirical Analysis of the Turkish Treasury Auction Market.”Journal of Political Economy 118 (5): 833–65.
Imbens, Guido, and Charles F. Manski. 2004. “Confidence Intervals for Partially Identified Parameters.”Econometrica 72 (6): 1845–57.
Ishii, Joy. 2005. “Compatibility, Competition, and Investment in Network Industries: ATM Networks in the Banking Industry.”Unpublished Working Paper.
Kaido, Hiroaki, Francesca Molinari, and Joerg Stoye. 2017. “Inference for Projections of Identified Sets.”
Kitamura, Yuichi, and Joerg Stoye. n.d. “Nonparametric Analysis of Random Utility Models.”Econometrica.
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