Random Coefficients in Static Games of Complete Information

Fabian Dunker (), Stefan Hoderlein and Hiroaki Kaido

No 835, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: Individual players in a simultaneous equation binary choice model act differently in different environments in ways that are frequently not captured by observables and a simple additive random error. This paper proposes a random coefficient specification to capture this type of heterogeneity in behavior, and discusses nonparametric identification and estimation of the distribution of random coefficients. We establish nonparametric point identification of the joint distribution of all random coefficients, except those on the interaction effects, provided the players behave competitively in all markets. Moreover, we establish set identification of the density of the coefficients on the interaction effects, and provide additional conditions that allow to point identify this density. Since our identification strategy is constructive throughout, it allows to construct sample counterpart estimators. We analyze their asymptotic behavior, and illustrate their finite sample behavior in a numerical study. Finally, we discuss several extensions, like the semiparametric case, or correlated random coefficients.

Keywords: Games; Heterogeneity; Nonparametric Identification; Random Coefficients; Inverse Problems (search for similar items in EconPapers)
JEL-codes: C13 C14 C25 D01 D22 D43 (search for similar items in EconPapers)
Date: 2013-03-25
New Economics Papers: this item is included in nep-dcm and nep-gth
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Random coefficients in static games of complete information (2013)
Working Paper: Random coefficients in static games of complete information (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:835

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