IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Identification and Estimation of Games with Incomplete Information Using Excluded Regressors, Second Version

  • Arthur Lewbel

    ()

    (Department of Economics, Boston College)

  • Xun Tang

    ()

    (Department of Economics, University of Pennsylvania)

We show nonparametric point identification of static binary games with incomplete information, using excluded regressors. An excluded regressor for player ¡ is a state variable that does not affect other players’ utility and is additively separable from other components in ¡’s payoff. When excluded regressors are conditionally independent from private information, the interaction effects between players and the marginal effects of excluded regressors on payoff are identified. In addition, if excluded regressors vary sufficiently relative to the support of private information, then the full payoff functions and the distribution of private information are also nonparametrically identified. We illustrate how excluded regressors satisfying these conditions arise in contexts such as entry games between firms, as variation in observed components of fixed costs. We extend our approach to accommodate the existence of multiple Bayesian Nash equilibria in the data-generating process without assuming equilibrium selection rules. For a semiparametric model with linear payoff, we propose root-N consistent and asymptotically normal estimators for parameters in players’payoffs.

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://economics.sas.upenn.edu/system/files/12-018.pdf
Download Restriction: no

Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 12-018.

as
in new window

Length: 61 pages
Date of creation: 25 Nov 2010
Date of revision: 20 Mar 2012
Handle: RePEc:pen:papers:12-018
Contact details of provider: Postal: 3718 Locust Walk, Philadelphia, PA 19104
Phone: 215-898-9992
Fax: 215-573-2378
Web page: http://economics.sas.upenn.edu/pierEmail:


More information through EDIRC

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. Brock, William A. & Durlauf, Steven N., 2007. "Identification of binary choice models with social interactions," Journal of Econometrics, Elsevier, vol. 140(1), pages 52-75, September.
  2. Patrick Bajari & Han Hong & John Krainer & Denis Nekipelov, 2006. "Estimating Static Models of Strategic Interaction," NBER Working Papers 12013, National Bureau of Economic Research, Inc.
  3. Xun Tang & Aureo de Paula, 2010. "Inference of Signs of Interaction Effects in Simultaneous Games with Incomplete Information," 2010 Meeting Papers 1087, Society for Economic Dynamics.
  4. Magnac, Thierry & Maurin, Eric, 2007. "Identification and information in monotone binary models," Journal of Econometrics, Elsevier, vol. 139(1), pages 76-104, July.
  5. Federico Ciliberto & Elie Tamer, 2009. "Market Structure and Multiple Equilibria in Airline Markets," Econometrica, Econometric Society, vol. 77(6), pages 1791-1828, November.
  6. Arthur Lewbel & Oliver Linton & D. L. McFadden, 2006. "Estimating features of a distribution from binomial data," LSE Research Online Documents on Economics 4418, London School of Economics and Political Science, LSE Library.
  7. Arie Beresteanu & Ilya Molchanov & Francesca Molinari, 2010. "Sharp identification regions in models with convex moment predictions," CeMMAP working papers CWP25/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. Magnac, Thierry & Maurin, Eric, 2004. "Partial Identification in Monotone Binary Models: Discrete Regressors and Interval Data," IDEI Working Papers 280, Institut d'Économie Industrielle (IDEI), Toulouse, revised Jan 2005.
  9. Victor Aguirregabiria & Pedro Mira, 2005. "A Hybrid Genetic Algorithm For The Maximum Likelihood Estimation Of Models With Multiple Equilibria: A First Report," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 295-303.
  10. Aradillas-Lopez, Andres, 2010. "Semiparametric estimation of a simultaneous game with incomplete information," Journal of Econometrics, Elsevier, vol. 157(2), pages 409-431, August.
  11. repec:bla:restud:v:75:y:2008:i:3:p:835-864 is not listed on IDEAS
  12. Patrick Bajari & Han Hong & Stephen P. Ryan, 2010. "Identification and Estimation of a Discrete Game of Complete Information," Econometrica, Econometric Society, vol. 78(5), pages 1529-1568, 09.
Full references (including those not matched with items on IDEAS)

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

When requesting a correction, please mention this item's handle: RePEc:pen:papers:12-018. 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: (Dolly Guarini)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.