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Semiparametric Analysis of Binary Games of Incomplete Information

Author

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  • Nianqing Liu

    (Shanghai University of Finance and Economics)

  • Haiqing Xu

    (Department of Economics, Texas University)

Abstract

This paper studies the identification and estimation in an I-player binary game of incomplete information. Our approach allows players' type to be correlated across players. By focusing on the monotone pure strategy Bayesian Nash Equilibrium (BNE), we show that the equilibrium strategies can be represented as a single-agent binary response model. Under weak restrictions, we show that the distribution of incomplete information can be nonparametrically identified. Further, we establish the identification of payoff functions in a linear-index setup. Following Klein and Spady (1993), we propose a three-stage estimation procedure and show that our estimator is square-root-n consistent, asymptotically normally distributed.

Suggested Citation

  • Nianqing Liu & Haiqing Xu, "undated". "Semiparametric Analysis of Binary Games of Incomplete Information," Department of Economics Working Papers 130911, The University of Texas at Austin, Department of Economics, revised Nov 2012.
    • Handle: RePEc:tex:wpaper:130911
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    References listed on IDEAS

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    Cited by:

    1. Nianqing Liu & Quang Vuong & Haiqing Xu, 2012. "Rationalization and Identification of Discrete Games with Correlated Types," Department of Economics Working Papers 130915, The University of Texas at Austin, Department of Economics.

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    More about this item

    Keywords

    Bayesian Nash Equilibrium; Discrete game; Incomplete information; Monotone strategy;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games

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