Identification and Estimation of Games with Incomplete Information Using Excluded Regressors, Second Version

Arthur Lewbel and Xun Tang

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: We show nonparametric point identification of static binary games with incomplete information, using excluded regressors. An excluded regressor for player ¡ is a state variable that does not affect other players’ utility and is additively separable from other components in ¡’s payoff. When excluded regressors are conditionally independent from private information, the interaction effects between players and the marginal effects of excluded regressors on payoff are identified. In addition, if excluded regressors vary sufficiently relative to the support of private information, then the full payoff functions and the distribution of private information are also nonparametrically identified. We illustrate how excluded regressors satisfying these conditions arise in contexts such as entry games between firms, as variation in observed components of fixed costs. We extend our approach to accommodate the existence of multiple Bayesian Nash equilibria in the data-generating process without assuming equilibrium selection rules. For a semiparametric model with linear payoff, we propose root-N consistent and asymptotically normal estimators for parameters in players’payoffs.

Keywords: Games with Incomplete Information; Excluded Regressors; Nonparametric Identification; Semiparametric Estimation; Multiple Equilibria (search for similar items in EconPapers)
JEL-codes: C14 C51 D43 (search for similar items in EconPapers)
Pages: 61 pages
Date: 2010-11-25, Revised 2012-03-20
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://economics.sas.upenn.edu/sites/default/files/filevault/12-018.pdf (application/pdf)

Related works:
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:pen:papers:12-018

Access Statistics for this paper

More papers in PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 133 South 36th Street, Philadelphia, PA 19104. Contact information at EDIRC.
Bibliographic data for series maintained by Administrator ().