Estimation of discrete games with correlated types
In this paper, I focus on the identification and estimation of static games of incomplete information with correlated types. Instead of making the independence assumption on players' types in order to simplify the equilibrium set, I propose an approach that allows me to identify subsets of the...
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| Veröffentlicht in: | The econometrics journal 2014-10, Vol.17 (3), p.241-270 |
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| container_title | The econometrics journal |
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| creator | Xu, Haiqing |
| description | In this paper, I focus on the identification and estimation of static games of incomplete information with correlated types. Instead of making the independence assumption on players' types in order to simplify the equilibrium set, I propose an approach that allows me to identify subsets of the space of covariates (i.e. publicly observed state variables in payoff functions), for which there exists a unique pure strategy Bayesian Nash equilibrium (BNE) and the equilibrium strategies are monotonie functions. Moreover, I characterize the monotonic pure strategy BNE in a simple manner and propose an estimation procedure that uses observations only from the subset of the covariate space where the game admits a unique monotonie pure strategy BNE. Furthermore, I show that the proposed estimator is √n-consistent and has a limiting normal distribution. |
| doi_str_mv | 10.1111/ectj.12026 |
| format | Article |
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| ispartof | The econometrics journal, 2014-10, Vol.17 (3), p.241-270 |
| issn | 1368-4221 1368-423X |
| language | eng |
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| source | Jstor Complete Legacy; Oxford University Press Journals All Titles (1996-Current); Wiley Online Library Journals Frontfile Complete; Business Source Complete |
| subjects | Analysis Bayesian method Correlation coefficients Distribution Econometrics Economic models Equilibrium Estimating techniques Estimation Estimators Game theory Gaussian distributions Imperfect information Incomplete information Increasing functions Mathematical monotonicity Maximum likelihood estimation Monotonic pure strategy Bayesian Nash equilibrium Nash equilibrium Studies Working papers |
| title | Estimation of discrete games with correlated types |
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