Giovanni Compiani

University of Chicago
Booth School of Business
5807 S. Woodlawn Ave
Chicago, IL 60605

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: University of Chicago, Booth School of Business

NBER Working Papers and Publications

August 2020An Instrumental Variable Approach to Dynamic Models
with Steven T. Berry: w27756
We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically endogenous market structure. We propose the use of Generalized Instrument Variables methods to identify those dynamic policy functions that are consistent with instrumental variable (IV) restrictions. Extending popular "two-step" methods, these policy functions then identify a set of structural parameters that are consistent with the dynamic model, the IV restrictions and the data. We provide computed illustrations to both single-agent and oligopoly examples. We also present a simple empirical anal...
March 2020A Method to Estimate Discrete Choice Models that is Robust to Consumer Search
with Jason Abaluck: w26849
We state a sufficient condition under which choice data alone suffices to identify consumer preferences when choices are not fully informed. Suppose that: (i) the data generating process is a search model in which the attribute hidden to consumers is observed by the econometrician; (ii) if a consumer searches good j, she also searches goods which are better than j in terms of the non-hidden component of utility; and (iii) consumers choose the good that maximizes overall utility among searched goods. Canonical models will be biased: the value of the hidden attribute will be understated because consumers will be unresponsive to variation in the attribute for goods that they do not search. Under the conditions above and additional mild restrictions, an alternative method of recovering prefere...
July 2018Common Values, Unobserved Heterogeneity, and Endogenous Entry in U.S. Offshore Oil Lease Auction
with Philip Haile, Marcelo Sant'Anna: w24795
An oil lease auction is the classic example motivating a common values model. However, formal testing for common values has been hindered by unobserved auction-level heterogeneity, which is likely to affect both participation in an auction and bidders’ willingness to pay. We develop and apply an empirical approach for first-price sealed bid auctions with affiliated values, unobserved heterogeneity, and endogenous bidder entry. The approach also accommodates spatial dependence and sample selection. Following Haile, Hong and Shum (2003), we specify a reduced form for bidder entry outcomes and rely on an instrument for entry. However, we relax their control function requirements and demonstrate that our specification is generated by a fully specified game motivated by our application. We show...
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