EconPapers    
Economics at your fingertips  
 

Random coefficients in static games of complete information

Fabian Dunker (), Stefan Hoderlein and Hiroaki Kaido

No CWP12/13, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

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 behaviour, 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 us to construct sample counterpart estimators. We analyse their asymptotic behaviour, and illustrate their finite sample behaviour 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)
Date: 2013-03-27
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-gth
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.cemmap.ac.uk/wps/cwp121313.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.cemmap.ac.uk/wps/cwp121313.pdf [301 Moved Permanently]--> http://www.cemmap.ac.uk/wp-content/legacy/wps/cwp121313.pdf)

Related works:
Working Paper: Random coefficients in static games of complete information (2013) Downloads
Working Paper: Random Coefficients in Static Games of Complete Information (2013) Downloads
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:ifs:cemmap:12/13

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2024-05-24
Handle: RePEc:ifs:cemmap:12/13