Publication Type

Working Paper

Version

publishedVersion

Publication Date

9-2006

Abstract

We consider estimation and inference of parameters in discrete games allowing for multiple equilibria, without using an equilibrium selection rule. We do a set inference while a game model can contain infinite dimensional parameters. Examples can include signaling games with discrete types where the type distribution is nonparametrically specified and entry-exit games with partially linear payoffs functions. A consistent set estimator and a confidence interval of a function of parameters are provided in this paper. We note that achieving a consistent point estimation often requires an information reduction. Due to this less use of information, we may end up a point estimator with a larger variance and have a wider confidence interval than those of the set estimator using the full information in the model. This finding justifies the use of the set inference even though we can achieve a consistent point estimation. It is an interesting future research to compare these two alternatives: CI from the point estimation with the usage of less information vs. CI from the set estimation with the usage of the full information.

Keywords

Semiparametric Estimation, Set Inference, InÖnite Dimensional Parameters, InequalityMoment Conditions, Signaling Game with Discrete Types

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

26

Publisher

SMU Economics and Statistics Working Paper Series, No. 16-2006

City or Country

Singapore

Copyright Owner and License

Authors

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