Semiparametric estimation of signaling games with equilibrium refinement

Kyoo il Kim

Econometric Reviews, 2022, vol. 41, issue 2, 231-267

Abstract: We study an econometric modeling of a signaling game where one informed player may have multiple types. For this game, the problem of multiple equilibria arises and we achieve the uniqueness of equilibrium using an equilibrium refinement, which enables us to identify the model parameters. We then develop an estimation strategy that identifies the payoffs structure and the distribution of types from the observed actions. In this game, the type distribution is nonparametrically specified and we estimate the model using a sieve conditional MLE. We achieve the consistency and the asymptotic normality for the structural parameter estimates.

Date: 2022
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DOI: 10.1080/07474938.2021.1899506

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