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Set Inference for Semiparametric Discrete Games

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  • Kyoo il Kim

    (SMU)

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    Abstract

    We consider estimation and inference of parameters in discrete games allowing for multiple equilibria, without using an equilibrium selection rule. We do a set inference while a game model can contain infinite dimensional parameters. Examples can include signaling games with discrete types where the type distribution is nonparametrically specified and entry-exit games with partially linear payoffs functions. A consistent set estimator and a con.dence interval of a function of parameters are provided in this paper. We note that achieving a consistent point estimation often requires an information reduction. Due to this less use of information, we may end up a point estimator with a larger variance and have a wider confidence interval than those of the set estimator using the full information in the model. This finding justifies the use of the set inference even though we can achieve a consistent point estimation. It is an interesting future research to compare these two alternatives : CI from the point estimation with the usage of less information vs. CI from the set estimation with the usage of the full information.

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    File URL: http://www.eaber.org/node/22454
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    Bibliographic Info

    Paper provided by East Asian Bureau of Economic Research in its series Labor Economics Working Papers with number 22454.

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    Date of creation: Jan 2006
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    Handle: RePEc:eab:laborw:22454

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    Related research

    Keywords: Semiparametric Estimation; Set Inference; Inequality Moment Conditions; Signaling Game with Discrete Types;

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    1. Patrick Bajari & C. Lanier Benkard & Jonathan Levin, 2007. "Estimating Dynamic Models of Imperfect Competition," Econometrica, Econometric Society, Econometric Society, vol. 75(5), pages 1331-1370, 09.
    2. Aradillas-Lopez, Andres, 2010. "Semiparametric estimation of a simultaneous game with incomplete information," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 409-431, August.
    3. Elie Tamer & Federico Ciliberto, 2004. "Market Structure and Multiple Equilibria in Airline Markets," 2004 Meeting Papers, Society for Economic Dynamics 52, Society for Economic Dynamics.
    4. Bresnahan, Timothy F. & Reiss, Peter C., 1991. "Empirical models of discrete games," Journal of Econometrics, Elsevier, Elsevier, vol. 48(1-2), pages 57-81.
    5. Pesendorfer, Martin & Schmidt-Dengler, Philipp, 2003. "Identification and Estimation of Dynamic Games," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3965, C.E.P.R. Discussion Papers.
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