Nonparametric identification of the distribution of random coefficients in binary response static games of complete information

Fabian Dunker (), Stefan Hoderlein, Hiroaki Kaido and Robert Sherman

Journal of Econometrics, 2018, vol. 206, issue 1, 83-102

Abstract: This paper studies binary response static games of complete information allowing complex heterogeneity through a random coefficients specification. The main result of the paper establishes nonparametric point identification of the joint density of all random coefficients except those on interaction effects. Under additional independence assumptions, we identify the joint density of the interaction coefficients. Moreover, we prove that in the presence of covariates that are common to both players, the player-specific coefficient densities are identified, while the joint density of all random coefficients is not point-identified. However, we do provide bounds on counterfactual probabilities that involve this joint density.

Keywords: Binary response; Static games; Complete information; Heterogeneity; Nonparametric identification; Random coefficients (search for similar items in EconPapers)
JEL-codes: C14 C31 C35 C57 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:206:y:2018:i:1:p:83-102

DOI: 10.1016/j.jeconom.2018.01.010

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