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Semiparametric Estimation of Signaling Games

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  • Kyoo il Kim

    () (School of Economics and Social Sciences, Singapore Management University)

Abstract

This paper studies an econometric modeling of a signaling game with two players where one player has one of two types. In particular, we develop an estimation strategy that identifies the payoffs structure and the distribution of types from data of observed actions. We can achieve uniqueness of equilibrium using a refinement, which enables us to identify the parameters of interest. In the game, we consider non-strategic public signals about the types. Because the mixing distribution of these signals is nonparametrically specified, we propose to estimate the model using a sieve conditional MLE. We achieve the consistency and the asymptotic normality of the structural parameters estimates. As an alternative, we allow for the possibility of multiple equilibria, without using an equilibrium selection rule. As a consequence, we adopt a set inference allowing for multiplicity of equilibria.

Suggested Citation

  • Kyoo il Kim, 2006. "Semiparametric Estimation of Signaling Games," Working Papers 19-2006, Singapore Management University, School of Economics.
  • Handle: RePEc:siu:wpaper:19-2006
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    References listed on IDEAS

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    Cited by:

    1. Kyoo il Kim, 2006. "Set Inference for Semiparametric Discrete Games," Working Papers 16-2006, Singapore Management University, School of Economics.
    2. Kim, Sung-Hwan, 2009. "Predatory reputation in US airline markets," International Journal of Industrial Organization, Elsevier, vol. 27(5), pages 592-604, September.

    More about this item

    Keywords

    Semiparametric Estimation; Signaling Game; Set Inference; Infinite Dimensional Parame- ters; Sieve Simultaneous Conditional MLE;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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