Advanced Search
MyIDEAS: Login to save this paper or follow this series

Identification of Games of Incomplete Information with Multiple Equilibria and Common Unobserved Heterogeneity

Contents:

Author Info

  • Victor Aguirregabiria
  • Pedro Mira

Abstract

This paper deals with the identification and estimation of discrete games of incomplete information with multiple equilibria when we allow for three types of unobservables for the researcher: (a) payoff-relevant variables that are players' private information; (b) payoff-relevant variables that are common knowledge to all the players; and (c) non-payoff-relevant or "sunspot" variables which are common knowledge to the players. The specification of the payoff function is nonparametric, and the probability distributions of the unobservables is also nonparametric but with finite support (i.e., finite mixture model). We show that if the number of players in the game is greater than two and the number of discrete choice alternatives is greater than the number of mixtures in the distribution of the unobservables, then the model is nonparametrically identified under the same type of exclusion restrictions that we need for identification without unobserved heterogeneity. In particular, it is possible to separately identify the relative contributions of payoff-relevant and "sunspot" type of unobserved heterogeneity to observed players' behavior. We also present results on the identification of counterfactual experiments using the estimated model.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.economics.utoronto.ca/public/workingPapers/tecipa-474.pdf
File Function: Main Text
Download Restriction: no

Bibliographic Info

Paper provided by University of Toronto, Department of Economics in its series Working Papers with number tecipa-474.

as in new window
Length: Unknown pages
Date of creation: 02 Feb 2013
Date of revision:
Handle: RePEc:tor:tecipa:tecipa-474

Contact details of provider:
Postal: 150 St. George Street, Toronto, Ontario
Phone: (416) 978-5283

Related research

Keywords: Discrete games of incomplete information; Multiple equilibria in the data; Unobserved heterogeneity; Sunspots; Finite mixture models.;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Donald R. Davis & David E. Weinstein, 2008. "A Search For Multiple Equilibria In Urban Industrial Structure," Journal of Regional Science, Wiley Blackwell, Wiley Blackwell, vol. 48(1), pages 29-65.
  2. Robin, Jean-Marc & Smith, Richard J., 2000. "Tests Of Rank," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 16(02), pages 151-175, April.
  3. Peter Hall & Amnon Neeman & Reza Pakyari & Ryan Elmore, 2005. "Nonparametric inference in multivariate mixtures," Biometrika, Biometrika Trust, Biometrika Trust, vol. 92(3), pages 667-678, September.
  4. Victor Aguirregabiria & Pedro Mira, 2004. "Sequential Estimation Of Dynamic Discrete Games," Working Papers, CEMFI wp2004_0413, CEMFI.
  5. Martin Pesendorfer & Philipp Schmidt-Dengler, 2008. "Asymptotic Least Squares Estimators for Dynamic Games -super-1," Review of Economic Studies, Oxford University Press, vol. 75(3), pages 901-928.
  6. Hahn, Jinyong & Moon, Hyungsik Roger, 2010. "Panel Data Models With Finite Number Of Multiple Equilibria," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 26(03), pages 863-881, June.
  7. Aureo de Paula & Xun Tang, 2010. "Inference of Signs of Interaction Effects in Simultaneous Games with Incomplete Information," PIER Working Paper Archive 10-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. Krugman, Paul, 1991. "Increasing Returns and Economic Geography," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(3), pages 483-99, June.
  9. Federico Ciliberto & Elie Tamer, 2009. "Market Structure and Multiple Equilibria in Airline Markets," Econometrica, Econometric Society, Econometric Society, vol. 77(6), pages 1791-1828, November.
  10. Jonathan Levin (Stanford University) & Pat Bajari & Lanier Benkard, 2004. "Estimating Dynamic Models of Imperfect Competition," Econometric Society 2004 North American Winter Meetings, Econometric Society 627, Econometric Society.
  11. Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, Elsevier, vol. 76(1-2), pages 223-250.
  12. Delgado, Miguel A. & Hidalgo, Javier, 2000. "Nonparametric inference on structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 96(1), pages 113-144, May.
  13. Doraszelski, Ulrich & Escobar, Juan, 2008. "A Theory of Regular Markov Perfect Equilibria in Dynamic Stochastic Games: Genericity, Stability, and Purification," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6805, C.E.P.R. Discussion Papers.
  14. Patrick Bayer & Christopher Timmins, 2007. "Estimating Equilibrium Models Of Sorting Across Locations," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 117(518), pages 353-374, 03.
  15. Paul B. Ellickson & Sanjog Misra, 2008. "Supermarket Pricing Strategies," Marketing Science, INFORMS, INFORMS, vol. 27(5), pages 811-828, 09-10.
  16. Andrea Moro, 2003. "The Effect Of Statistical Discrimination On Black-White Wage Inequality: Estimating A Model With Multiple Equilibria," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 467-500, 05.
  17. Bayer, Patrick & Timmins, Christopher, 2005. "On the equilibrium properties of locational sorting models," Journal of Urban Economics, Elsevier, vol. 57(3), pages 462-477, May.
  18. Beenstock, Michael & Szpiro, George, 2002. "Specification search in nonlinear time-series models using the genetic algorithm," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(5), pages 811-835, May.
  19. Elie Tamer, 2003. "Incomplete Simultaneous Discrete Response Model with Multiple Equilibria," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 70(1), pages 147-165, January.
  20. Bajari, Patrick & Hong, Han & Krainer, John & Nekipelov, Denis, 2010. "Estimating Static Models of Strategic Interactions," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 28(4), pages 469-482.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:tor:tecipa:tecipa-474. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RePEc Maintainer).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.