Non‐parametric inference on the number of equilibria

Maximilian Kasy

Econometrics Journal, 2015, vol. 18, issue 1, 1-39

Abstract: This paper proposes an estimator and develops an inference procedure for the number of roots of functions that are non‐parametrically identified by conditional moment restrictions. It is shown that a smoothed plug‐in estimator of the number of roots is superconsistent under i.i.d. asymptotics, but asymptotically normal under non‐standard asymptotics. The smoothed estimator is furthermore asymptotically efficient relative to a simple plug‐in estimator. The procedure proposed is used to construct confidence sets for the number of equilibria of static games of incomplete information and of stochastic difference equations. In an application to panel data on neighbourhood composition in the United States, no evidence of multiple equilibria is found.

Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1111/ectj.12043

Related works:
Working Paper: Nonparametric inference on the number of equilibria
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:emjrnl:v:18:y:2015:i:1:p:1-39

Ordering information: This journal article can be ordered from
http://onlinelibrary ... 1111/(ISSN)1368-423X

Access Statistics for this article

Econometrics Journal is currently edited by Jaap Abbring, Victor Chernozhukov, Michael Jansson and Dennis Kristensen

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().