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Bayesian inference for Quantal Response Equilibrium in normal-form games

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  • Bland, James R.

Abstract

This paper develops a framework for estimating Quantal Response Equilibrium models from experimental data using Bayesian techniques. Bayesian techniques offer some advantages over the more commonly-used maximum likelihood approach: (i) more favorable small-sample properties, and (ii) ease of handling unobservable heterogeneity. As Quantal Response Equilibrium is a non-linear model, I also discuss some issues with choosing appropriate priors.

Suggested Citation

  • Bland, James R., 2026. "Bayesian inference for Quantal Response Equilibrium in normal-form games," Games and Economic Behavior, Elsevier, vol. 157(C), pages 619-636.
    • Handle: RePEc:eee:gamebe:v:157:y:2026:i:c:p:619-636
    DOI: 10.1016/j.geb.2023.05.005
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    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions
    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior

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