數量經濟與金融系列講座第336期：Political Turnover, Ownership, and Corporate Investment

題目👨🏼‍🏫👨🏽‍🚀：Political Turnover, Ownership, and Corporate Investment

主講♣︎：曹夏平 副教授

中山大學嶺南意昂2金融系博導

中山大學嶺南意昂2創新創業中心主任

嶺南意昂2博士項目主任

時間🤹🏼‍♀️：2017年3月7日 13:30-15:00

Abstract: This paper develops estimation methods for network formation using observed data from a single large network. We characterize network formation as a simultaneous-move game with incomplete information, where we allow for utility externalities from indirect friends such as friends in common, so the expected utility from direct friends can be nonlinear. Nonlinearity poses a challenge in estimation because each individual faces an interdependent multinomial discrete choice problem with 2ⁿ⁻¹ alternatives, which is difficult to solve. We propose a novel method to linearize the expected utility using Legendre transform and derive a closed-form expression for the conditional choice probability (CCP). Using the closed-form expression, we show that the CCP in n-player games converge to the CCP in a limit game as n approaches infinity. We propose a two-step estimation procedure that requires few assumptions on equilibrium selection, is simple to compute, and provides asymptotically valid estimators for the parameters. Monte Carlo results show that the estimation procedure can provide accurate estimates if networks are large.