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IESE Research Papers,
IESE Business School
No D/867: On the identification of the costs of simultaneous search
Jose L. Moraga-Gonzalez (), Zsolt Sandor and Matthijs R. Wildenbeest
Additional contact information
Jose L. Moraga-Gonzalez: IESE Business School, Postal: Research Division, Av Pearson 21, 08034 Barcelona, SPAIN
Zsolt Sandor: University of Groningen
Matthijs R. Wildenbeest: Kelley School of Business
Abstract: This paper studies the identification of the costs of simultaneous search in a class of (portfolio) problems studied by Chade and Smith (2006). We show that aggregate data from a single market, or disaggregate data from a single market segment, do not provide sufficient information to identify the costs of simultaneous search in any reasonable interval. We then show that by pooling aggregate data from multiple markets, or disaggregate data from multiple market segments, the econometrician can identify the costs of simultaneous search in a non-empty interval. Within the context of specific examples, we illustrate that identification of the search cost distribution in its full support may easily be obtained.
Keywords: search costs; portfolio choice; non-parametric identification
16 pages, July 11, 2010
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DI-0867-E.pdf
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