Estimating Discrete Games

This paper provides a critical review of the methods for estimating static discrete games and their relevance for quantitative marketing. We discuss the various modeling approaches, alternative assumptions, and relevant trade-offs involved in taking these empirical methods to data. We consider games of both complete and incomplete information, examine the primary methods for dealing with the coherency problems introduced by multiplicity of equilibria, and provide concrete examples from the literature. We illustrate the mechanics of estimation using a real-world example and provide the computer code and data set with which to replicate our results.