We propose a method for estimating static games of incomplete information. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which allows the actions of a group of agents to be interdependent. Unlike most earlier work, the method we propose is semiparametric and does not require the covariates to lie in a discrete set. While the estimator we propose is quite flexible, we demonstrate that in most cases it can be easily implemented using standard statistical packages such as STATA. We also propose an algorithm for simulating the model which finds all equilibria to the game. As an application of our estimator, we study recommendations for high technology stocks between 1998-2003. We find that strategic motives, typically ignored in the empirical literature, appear to be an important consideration in the recommendations submitted by equity analysts.
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number
12013.
Length: Date of creation: Feb 2006 Date of revision: Handle: RePEc:nbr:nberwo:12013
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Find related papers by JEL classification: L0 - Industrial Organization - - General L5 - Industrial Organization - - Regulation and Industrial Policy C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
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