Estimating Simultaneous Games with Incomplete Information under Median Restrictions
AbstractI estimate a simultaneous discrete game with incomplete information where players’ private information are only required to be median independent of observed states and can be correlated with observable states. This median restriction is weaker than other assumptions on players’ private information in the literature (e.g. perfect knowledge of its distribution or its independence of the observable states). I show index coefficients in players’ utility functions are point-identified under an exclusion restriction and fairly weak conditions on the support of states. This identification strategy is fundamentally different from that in a single-agent binary response models with median restrictions, and does not involve any parametric assumption on equilibrium selection in the presence of multiple Bayesian Nash equilibria. I then propose a two-step extreme estimator for the linear coefficients, and prove its consistency.
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Bibliographic InfoPaper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 09-023.
Length: 17 pages
Date of creation: 30 Apr 2009
Date of revision:
Games with incomplete information; semiparametric identification; median restrictions; consistent estimation;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-28 (All new papers)
- NEP-CTA-2009-07-28 (Contract Theory & Applications)
- NEP-ECM-2009-07-28 (Econometrics)
- NEP-GTH-2009-07-28 (Game Theory)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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