Publication Type

Working Paper

Publication Date

2006

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 identi…es the payo¤s structure and the distribution of types from data of observed actions. We can achieve uniqueness of equilibrium using a re…nement, 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 speci…ed, 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.

Keywords

Semiparametric Estimation, Signaling Game, Set Inference, InÖnite Dimensional Parameters, Sieve Simultaneous Conditional MLE

Discipline

Economics

Research Areas

Econometrics

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Included in

Economics Commons

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