Download or read book Identification and Estimation of Incomplete Information Games with Multiple Equilibria written by Ruli Xiao and published by . This book was released on 2015 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Identification Estimation and Inference in Empirical Games written by Mathieu Marcoux and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis collects three papers studying topics related to the econometrics of empirical games. In Chapter 1, I investigate the identification and the estimation of empirical games of incomplete information with common-knowledge unobservable heterogeneity and potentially multiple equilibria realized in the data. I introduce pre-determined outcome variables to recover such unobserved heterogeneity. The recovered unobservables provide an extra source of exogenous variation that helps to identify the primitives of the model. I apply this method to study mobile telecommunications in Canada. I estimate a game in which national incumbents and new entrants choose the number of transceivers they install in different markets. The results highlight sizeable economies of density in transceivers location decisions. Counterfactual experiments shed light on the governmentâ s attempt to increase competition in this industry. In Chapter 2, I propose a test of an assumption commonly maintained when estimating discrete games of incomplete information, i.e. the assumption of equilibrium uniqueness in the data generating process. The test I propose is robust to player-specific common-knowledge unobservables. The main identifying assumption is the existence of an observable variable interpreted as a proxy for these unobservables. It must (i) have sufficient variation; (ii) be correlated with the common-knowledge unobservables; and (iii) provide only redundant information regarding the playersâ decisions and the equilibrium selection, were these unobservables actually observed. In Chapter 3, I study bias reduction when estimating dynamic discrete games. An iterative approach (the K-step estimator) is known to reduce finite sample bias, provided that some equilibrium stability conditions are satisfied. Modified versions of the K-step estimator have been proposed to deal with this stability issue. Alternatively, there exist other bias reduction techniques which do not rely on equilibriumâ s stability, but have not received much attention in this class of models. Using a dynamic game of market entry and exit, I compare the finite sample properties of the K-step approach with alternative methods. The results show that, even when the K-step estimator does not converge to a single point after a large number of iterations, it still considerably reduces finite sample bias for small values of K.

Download or read book Identification of Static and Dynamic Games of Incomplete Information with Multiple Equilibria in the Data written by Arvind Magesan and published by . This book was released on 2018 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study identification of games of incomplete information, both static and dynamic, when there are multiple equilibria in the data. In the case of static games, I show that if multiplicity disappears at a small subset of the support of the observables, payoffs are identified. All the equilibria of the model are also then identified. As textit{payoff relevant} unobservables are an alternative explanation to multiple equilibria for observed correlation in player actions conditional on observables, I allow for this type of variable and show that as long as a conditional exclusion restriction on the distribution of the unobservables is satisfied, payoffs, equilibria and the distribution of the payoff relevant unobservable are identified. Additionally, letting $A$ be the number of choice alternatives, $N$ the number of players and $K$ the number of equilibria, as long as $A^N geq K$, I show that equilibrium selection probabilities are also identified, a result that is useful for considering the effects of counterfactual experiments in the presence of multiple equilibria. I extend the framework to study identification in dynamic games. The static approach extends in a straightforward way to finite horizon (non-stationary) games, but not to the more common case of infinite horizon (stationary) games. I show that by making additional testable restrictions on the transition probabilities, a large class of stationary dynamic games are also identified.

Download or read book Econometric Analysis of Games with Multiple Equilibria written by Aureo de Paula and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article reviews the recent literature on the econometric analysis of games in which multiple solutions are possible. Multiplicity does not necessarily preclude the estimation of a particular model (and, in certain cases, even improves its identification), but ignoring it can lead to misspecifications. The review starts with a general characterization of structural models that highlights how multiplicity affects the classical paradigm. Because the information structure is an important guide to identification and estimation strategies, I discuss games of complete and incomplete information separately. Although many of the techniques discussed here can be transported across different information environments, some are specific to particular models. Models of social interactions are also surveyed. I close with a brief discussion of postestimation issues and research prospects.

Download or read book Identification and Estimation of Empirical Games Without Equilibrium Assumption written by Erhao Xie and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical studies of games typically rely on Nash Equilibrium. However, such solution concept is rejected by experimental evidence in many situations. The incorrect imposition of Nash Equilibrium can generate bias in both estimation and counterfactual prediction. Therefore, my thesis studies the identification and estimation of empirical games without equilibrium assumption. The first two chapters focus on discrete choice games with incomplete information. Instead of restricting players to have unbiased expectation as required by equilibrium, my model treats a player's belief about the behaviors of other players as an unrestricted unknown function. This belief function is estimated together with players' payoffs. The first chapter shows that the variations of players' choice sets identify the payoff and belief functions up to scale normalizations. Moreover, the hypothesis of unbiased belief is testable. I then empirically study store hours competition between McDonald's and KFC in China. The null hypothesis of KFC's unbiased beliefs is rejected. Furthermore, the estimated payoff functions indicate that the store hours decision is a type of vertical differentiation. The second chapter, co-authored with Victor Aguirregabiria, focuses on experimental games. We show that another source of identification (i.e. one variable affects one player's payoffs without affecting this player's belief) can achieve similar identification results as chapter 1. We then apply our methods to two sets of experiments. In the matching pennies game, a player can correctly predict the other player's behavior. In contrast, the hypothesis of unbiased belief is rejected in the coordination game. When players do not adopt equilibrium strategies, they can learn from their mistakes to better perform in the future. Therefore, the third chapter studies the identification of learning behaviors using experimental data. I consider a general model that nests commonly used learning procedures. More importantly, instead of assuming monetary payoff is players' actual utility as in existing literature, I treat utility as an unknown unrestricted function. Under weak conditions, I show that players' structural learning parameters and utility function are identified. The finite sample properties of MLE and consequences of misspecification of utility function are illustrated by a Monte Carlo simulation.

Download or read book Essays on the Econometrics of Games written by Shuo Jiang and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies identification, estimation and inference for various types of staticgames of incomplete information, a class of games in which players do not have full information about their opponents. Such games have been widely used in the empirical studies of strategic interactions such as market entry, technology adoption and so on. Chapter 1 studies sequential estimation and uniform inference in a static game of incomplete information with nonseparable unobserved heterogeneity. We propose a novel methodfor sequentially estimating payoff function and conducting uniform inference in static games of incomplete information with non-separable unobserved heterogeneity (and multiple equilibria). We tackle the matching-types problem by constructing a new characterization of the payoff function via a minimum distance model with incorrect "moments." For several specifications of the payoff function, we propose to select the correct matching and estimate the payoff function jointly using a minimum distance type criterion function with a rewarding term when needed; we show consistency of the selected matching and the estimator of the payoff function; we construct an asymptotically uniformly valid and easy-to-implement test for the linear hypothesis on the payoff function; and for large state spaces, we introduce a sequential Monte Carlo method to ease computational burden. We report results from a small simulation study and an application to the dataset of Sweeting (2009). Chapter 2 proposes a simple estimator for static game of incomplete information with action complementarity. Oligopolists often engage in strategic interactions in multiple relatedbusinesses or industries. Such phenomenon could be analyzed using game theoretic models with action complementarity (substitutability). In this paper we study the semiparametric identification and estimation of static games of incomplete information with complementary (substitutable) actions. Building on and extending the identifiability result for bundled demand in Fox and Lazzati (2017), we show that structural parameters in this game are identified. A simple closed-form estimator for the structural parameters is proposed based on our identification strategy. The estimator could be implemented easily by running a three-stage least squares, and no numerical optimization is needed. We establish the root-n consistency and asymptotic normality of this estimator. A small Monte Carlo simulation shows the efficacy of our methods in finite samples. Chapter 3 studies identification and estimation of a binary game of incomplete information under symmetry of the unobservables. We study the semiparametric identificationand estimation of a class of binary game of incomplete information under the restriction of conditional symmetry for unobserved private information. We use a two-step identification strategy that is based on the equilibrium condition and the symmetry restriction. We propose a two-step minimum distance estimator, and prove its root-N consistency and asymptotic normality. Compared to existing semiparametric method in the literature, our estimator could adapt arbitrary forms of heteroskedasticity in common knowledge state variables and does not require stringent support and tail conditions. Our method could be extended to allow for multiple equilibria and symmetrically distributed random coefficients. A small Monte Carlo study demonstrates the efficacy and robustness of our estimator compared to the popular two-step pseudo maximum likelihood method.

Download or read book Identification and Estimation of Discrete Games of Complete Information written by Patrick L. Bajari and published by . This book was released on 2004 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We discuss the identification and estimation of discrete games of complete information. Following Bresnahan and Reiss (1990, 1991), a discrete game is a generalization of a standard discrete choice model where utility depends on the actions of other players. Using recent algorithms to compute all of the Nash equilibria to a game, we propose simulation-based estimators for static, discrete games. With appropriate exclusion restrictions about how covariates enter into payoffs and influence equilibrium selection, the model is identified with only weak parametric assumptions. Monte Carlo evidence demonstrates that the estimator can perform well in moderately-sized samples. As an application, we study the strategic decision of firms in spatially-separated markets to establish a presence on the Internet.

Download or read book Structural Estimation of Sequential Games of Complete Information written by Jason R. Blevins and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonparametric Identification of Incomplete Information written by Erhao Xie and published by . This book was released on 2022 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the literature that estimates discrete games with incomplete information, researchers usually impose two assumptions. First, either the payoff function or the distribution of private information or both are restricted to follow some parametric functional forms. Second, players' behaviors are assumed to be consistent with the Bayesian Nash equilibrium. This paper jointly relaxes both assumptions. The framework non-parametrically specifies both the payoff function and the distribution of private information. In addition, each player's belief about other players' behaviors is also modeled as a nonparametric function. I allow this belief function to be any probability distribution over other players' action sets. This specification nests the equilibrium assumption when each player's belief corresponds to other players' actual choice probabilities. It also allows non-equilibrium behaviors when some players' beliefs are biased or incorrect. Under the above framework, this paper first derives a testable implication of the equilibrium condition. It then obtains the identification results for the payoff function, the belief function and the distribution of private information.

Download or read book Identification and Estimation of Games with Incomplete Information Using Excluded Regressors written by Arthur Lewbel and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Econometric Estimation of Simultaneous Games written by Andres Aradillas-Lopez and published by . This book was released on 2005 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2013-05-27 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third volume of edited papers from the Tenth World Congress of the Econometric Society 2010.

Download or read book Advances in Economics and Econometrics Volume 3 Econometrics written by Daron Acemoglu and published by Cambridge University Press. This book was released on 2013-05-13 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the third of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society, held in Shanghai in August 2010. The papers summarize and interpret key developments in economics and econometrics, and they discuss future directions for a wide variety of topics, covering both theory and application. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. The first volume primarily addresses economic theory, with specific focuses on nonstandard markets, contracts, decision theory, communication and organizations, epistemics and calibration, and patents.

Download or read book Advances in Economics and Econometrics Volume 2 written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2006-11-13 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher description

Download or read book Identification and Estimation of Dynamic Games written by Martin Pesendorfer and published by . This book was released on 2003 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper studies the identification problem in infinite horizon Markovian games and proposes a generally applicable estimation method. Every period firms simultaneously select an action from a finite set. We characterize the set of Markov equilibria. Period profits are a linear function of equilibrium choice probabilities. The question of identification of these values is then reduced to the existence of a solution to this linear equation system. We characterize the identification conditions. We propose a simple estimation procedure which follows the steps in the identification argument. The estimator is consistent, asymptotic normally distributed, and efficient. We have collected quarterly time series data on pubs, restaurants, coffeehouses, bakeries and carpenters for two Austrian towns between 1982 and 2002. A dynamic entry game is estimated in which firms simultaneously decide whether to enter, remain active, or exit the industry. The period profit estimates are used to simulate the equilibrium behavior under a policy experiment in which a unit tax is imposed on firms deciding to enter the industry.

Download or read book Essays on Econometric Models for Games and Censored Data written by Jangsu Yoon and published by . This book was released on 2018 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two chapters on nonparametric approach to econometric models. The first chapter studies identification and inference in game theoretic models with incomplete information and random coefficients. These models allow for strategic interactions in the presence of incomplete information while incorporating payoff parameter heterogeneity across games. The possibility of multiple Bayesian Nash Equilibria presents challenges to identification, and potential discontinuities in the equilibrium selection rule require attention in estimation and inference. In this work, I establish conditions for point identification of the structural parameters, including the joint distribution function of random coefficients, the equilibrium selection mechanism, and the support of random coefficients. I also suggest the Penalized Sieve Minimum Distance (PSMD) estimator assuming piecewise smooth equilibrium selection, derive asymptotic normality for the distributional parameters of random coefficients, and construct a pointwise confidence interval of the parameter based on Chen and Pouzo (2012, 2015). Empirical applications include an entry game between Walmart and Kmart in the context of Jia (2008), and a labor supply game of husbands and wives motivated by Heckman (1978). Both illustrations show that random coefficients capture heterogeneous entry behavior across markets and the heterogeneous work decisions of married couples with young children. The second chapter provides estimation and inference methods for a nonparametric generalization of Honore (1992)'s classic censored regression model with fixed effects. I consider an unknown nonparametric form of the structural function and first establish identification of this unknown function under the standard assumptions from the previous literature. Next I consider a sieve estimation version of Honore (1992)'s seminal trimmed LAD approach and show the resulting approach yields consistent, asymptotically normal estimates of the structural function. The performance of pointwise confidence intervals for the structural function based on a consistent asymptotic variance estimator and a weighted bootstrap approach are compared in a Monte Carlo simulation. The result verifies a benefit of using the nonparametric estimator when the structural function is nonlinear and the percentage of censored data is modest to moderate. Finally, an empirical application for a simple intertemporal labor supply model examines the potential nonlinear relation of labor supply and hourly wage.

Download or read book Existence of Equilibria in Incomplete Information Games with Disturbed Payoffs written by Brian John Crone and published by . This book was released on 1990 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: