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Solution-robust estimation of strategic models

Author

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  • Aradillas-López, Andrés

Abstract

A number of normal-form games with parametric payoff functions have the feature that all solutions can be characterized by a collection of (semi)parametric functions that contain information about the payoff parameters and serve as sufficient statistics. Under additional exclusion restrictions involving selection mechanisms, these games can be expressed as semiparametric multiple index models and payoff parameters can be estimated using existing methods.

Suggested Citation

  • Aradillas-López, Andrés, 2025. "Solution-robust estimation of strategic models," Economics Letters, Elsevier, vol. 257(C).
    • Handle: RePEc:eee:ecolet:v:257:y:2025:i:c:s016517652500535x
    DOI: 10.1016/j.econlet.2025.112698
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    References listed on IDEAS

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    1. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
    2. Donkers, Bas & Schafgans, Marcia, 2008. "Specification And Estimation Of Semiparametric Multiple-Index Models," Econometric Theory, Cambridge University Press, vol. 24(6), pages 1584-1606, December.
    3. Andres Aradillas-Lopez & Bo E. Honoré & James L. Powell, 2007. "Pairwise Difference Estimation With Nonparametric Control Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1119-1158, November.
    4. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
    5. Honore, Bo E. & Powell, James L., 1994. "Pairwise difference estimators of censored and truncated regression models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 241-278.
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    More about this item

    Keywords

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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions

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