Nonparametric inference on the number of equilibria
AbstractThis paper proposes an estimator and develops an inference procedure for the number of roots of functions which are nonparametrically identified by conditional moment restrictions. It is shown that a smoothed plug-in estimator of the number of roots is super-consistent under i.i.d. asymptotics, but asymptotically normal under non-standard asymptotics. The smoothed estimator is furthermore asymptotically efficient relative to a simple plug-in estimator. The procedure proposed is used to construct confidence sets for the number of equilibria of static games of incomplete information and of stochastic difference equations. In an application to panel data on neighborhood composition in the United States, no evidence of multiple equilibria is found.
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Bibliographic InfoPaper provided by Harvard University OpenScholar in its series Working Paper with number 32847.
Date of creation: Jan 2011
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- Aureo de Paula, 2012.
"Econometric analysis of games with multiple equilibria,"
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
CWP29/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- ï¿½ureo de Paula, 2013. "Econometric Analysis of Games with Multiple Equilibria," Annual Review of Economics, Annual Reviews, Annual Reviews, vol. 5(1), pages 107-131, 05.
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