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Set Inference for Semiparametric Discrete Games

  • Kyoo il Kim

    (SMU)

Registered author(s):

    We consider estimation and inference of parameters in discrete games allowing for multiple equilibria, without using an equilibrium selection rule. We do a set inference while a game model can contain infinite dimensional parameters. Examples can include signaling games with discrete types where the type distribution is nonparametrically specified and entry-exit games with partially linear payoffs functions. A consistent set estimator and a con.dence interval of a function of parameters are provided in this paper. We note that achieving a consistent point estimation often requires an information reduction. Due to this less use of information, we may end up a point estimator with a larger variance and have a wider confidence interval than those of the set estimator using the full information in the model. This finding justifies the use of the set inference even though we can achieve a consistent point estimation. It is an interesting future research to compare these two alternatives : CI from the point estimation with the usage of less information vs. CI from the set estimation with the usage of the full information.

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    File URL: http://www.eaber.org/node/22454
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    Paper provided by East Asian Bureau of Economic Research in its series Labor Economics Working Papers with number 22454.

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    Date of creation: Jan 2006
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    Handle: RePEc:eab:laborw:22454
    Contact details of provider: Postal: JG Crawford Building #13, Asia Pacific School of Economics and Government, Australian National University, ACT 0200
    Web page: http://www.eaber.org

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    1. J. Levin & P. Bajari, 2004. "Estimating Dynamic Models of Imperfect Competition," 2004 Meeting Papers 579, Society for Economic Dynamics.
    2. Ciliberto, Federico & Tamer, Elie, 2009. "Market structure and multiple equilibria in airline markets," MPRA Paper 38635, University Library of Munich, Germany.
    3. Pesendorfer, Martin & Schmidt-Dengler, Philipp, 2003. "Identification and Estimation of Dynamic Games," CEPR Discussion Papers 3965, C.E.P.R. Discussion Papers.
    4. Andrew Sweeting, 2005. "Coordination Games, Multiple Equilibria and the Timing of Radio Commercials," 2005 Meeting Papers 490, Society for Economic Dynamics.
    5. Bresnahan, Timothy F. & Reiss, Peter C., 1991. "Empirical models of discrete games," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 57-81.
    6. Aradillas-Lopez, Andres, 2010. "Semiparametric estimation of a simultaneous game with incomplete information," Journal of Econometrics, Elsevier, vol. 157(2), pages 409-431, August.
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