Model selection accuracy in behavioral game theory: A simulation

Paul J. Healy and Hyoeun Park

European Economic Review, 2023, vol. 152, issue C

Abstract: We simulate a horse race between several behavioral models of play in one-shot games. First, we find that many models can lead to identical predictions, making it impossible to select a unique winning model. This is largely avoided by comparing only two models. But even then we find that cross-validation sometimes fails to select the true model, often because models are be estimated to be noiseless but then fail to predict out-of-sample data. The Bayesian Information Criterion avoids this problem, though the inflexibility of its parameter penalty appears to cause poor performance in certain settings.

Keywords: Behavioral game theory; Level-k; Cognitive hierarchy; Quantal responses (search for similar items in EconPapers)
JEL-codes: C52 C72 C92 D90 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:152:y:2023:i:c:s0014292122002422

DOI: 10.1016/j.euroecorev.2022.104362

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