Advancement to Candidacy Presentation: “GMM Estimation in Stochastic Dynamic Games with Nonlinear Transition Dynamics”, Yihong Liu

Speaker

Yihong Liu, University of California, Santa Barbara

Biography

Yihong Liu is a fourth-year Ph.D. student in Economics at UCSB. He earned his B.A. in Economics from Shanghai University of Finance and Economics and his M.A. in Economics from Duke University. His research primarily focuses on environmental economics, resource economics, and econometrics. His current research focuses on the estimation of dynamic games in resource economics, and robust inference in two-step estimation procedures, including matching difference-in-differences and matching triple-differences designs. In his spare time, he enjoys watching UCSB Gauchos’ basketball games and Shanghai Shenhua’s soccer matches.

Event Details

Yihong Liu will be presenting his Advancement to Candidacy paper, “GMM Estimation in Stochastic Dynamic Games with Nonlinear Transition Dynamics”. To access the Advancement paper, you must have an active UCSB NetID and password.

Abstract and JEL Codes

We derive a set of sufficient conditions under which the equilibrium of a stochastic dynamic game can be characterized by analytical optimality conditions. These sufficient conditions are broadly applicable to various public goods problems, such as fisheries management or infectious disease controls in resource economics. We demonstrate that the sufficient conditions enable the estimation of the game's structural parameters using the Generalized Method of Moments (GMM). The proposed estimation procedure addresses two critical features commonly found in resource economics that often pose computational challenges: heterogeneous payoffs among agents and, more importantly, interactive stock growth governed by highly nonlinear spatial-temporal transition dynamics. We establish the consistency and asymptotic normality of our GMM estimator. Lastly, we assess its performance through a simulation that resembles the fishery game of Japanese anchovy harvesting among Japan, Korea, and China.

Keywords: structural estimation, generalized method of moments, stochastic dynamic game, renewable resource, public goods

JEL Codes: Q20, C73, C57