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Inference in a Synchronization Game with Social Interactions

  • Aureo de Paula

    ()

    (Department of Economics, University of Pennsylvania)

This paper studies inference in a continuous-time game where an agent’s decision to quit an activity depends on the participation of other players. In equilibrium, similar actions can be explained not only by direct influences, but also by correlated factors. Our model can be seen as a simultaneous duration model with multiple decision makers and interdependent durations. We study the problem of determining existence and uniqueness of equilibrium stopping strategies in this setting. This paper provides results and conditions for the detection of these endogenous effects. First, we show that the presence of such effects is a necessary and sufficient condition for simultaneous exits. This allows us to set up a nonparametric test for the presence of such influences which is robust to multiple equilibria. Second, we provide conditions under which parameters in the game are identified. Finally, we apply the model to data on desertion in the Union Army during the American Civil War and find evidence of endogenous influences.

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File URL: http://economics.sas.upenn.edu/system/files/working-papers/07-017.pdf
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Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 07-017.

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Length: 53 pages
Date of creation: 01 Oct 2004
Date of revision: 01 May 2007
Handle: RePEc:pen:papers:07-017
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  1. William A. Brock & Steven N. Durlauf, 2000. "Interactions-Based Models," Working Papers 00-05-028, Santa Fe Institute.
  2. Dora L. Costa & Matthew E. Kahn, 2001. "Cowards and Heroes: Group Loyalty in the American Civil War," NBER Working Papers 8627, National Bureau of Economic Research, Inc.
  3. repec:att:wimass:9127 is not listed on IDEAS
  4. Scheinkman, Jose A. & Zariphopoulou, Thaleia, 2001. "Optimal Environmental Management in the Presence of Irreversibilities," Journal of Economic Theory, Elsevier, vol. 96(1-2), pages 180-207, January.
  5. McManus, Douglas A., 1992. "How common is identification in parametric models?," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 5-23.
  6. Francesco Squintani & Hugo Hopenhayn, 2005. "Preemption Games with Private Information," 2005 Meeting Papers 80, Society for Economic Dynamics.
  7. Huang, Jing-zhi & Subrahmanyam, Marti G & Yu, G George, 1996. "Pricing and Hedging American Options: A Recursive Integration Method," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 277-300.
  8. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
  9. Hua He & William P. Keirstead & Joachim Rebholz, 1998. "Double Lookbacks," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 201-228.
  10. Ju, Nengjiu, 1998. "Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 627-46.
  11. Zvi Eckstein & Kenneth I. Wolpin, 1989. "The Specification and Estimation of Dynamic Stochastic Discrete Choice Models: A Survey," Journal of Human Resources, University of Wisconsin Press, vol. 24(4), pages 562-598.
  12. Morgan, John, 2004. "Clock Games: Theory and Experiments," Santa Cruz Department of Economics, Working Paper Series qt81m0r0jj, Department of Economics, UC Santa Cruz.
  13. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
  14. Manski, Charles F, 1993. "Identification of Endogenous Social Effects: The Reflection Problem," Review of Economic Studies, Wiley Blackwell, vol. 60(3), pages 531-42, July.
  15. Berg, G.J. & Lindeboom, M. & Ridder, G., 1993. "Attrition in longitudinal panel data, and the empirical analysis of dynamic labour market behaviour," Serie Research Memoranda 0014, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  16. Araujo, Aloisio & Mas-Colell, Andreu, 1978. "Notes on the smoothing of aggregate demand," Journal of Mathematical Economics, Elsevier, vol. 5(2), pages 113-127, September.
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