Robust Predictions in Games with Incomplete Information

Dirk Bergemann and Stephen Morris

No 1433, Working Papers from Princeton University, Department of Economics, Econometric Research Program.

Abstract: We analyze games of incomplete information and offer equilibrium predictions which are valid for, and in this sense robust to, all possible private information structures that the agents may have. We completely characterize the set of Bayes correlated equilibria in a class of games with quadratic payoffs and normally distributed uncertainty in terms of restrictions on the first and second moments of the equilibrium action-state distribution. We derive exact bounds on how prior knowledge about the private information refines the set of equilibrium predictions. We consider information sharing among firms under demand uncertainty and find newly optimal information policies via the Bayes correlated equilibria. Finally, we reverse the perspective and investigate the identification problem under concerns for robustness to private information. The presence of private information leads to set rather than point identification of the structural parameters of the game.

Keywords: Incomplete information; Correlated equilibrium; Robustness to private information; Moments restrictions; Identification; Informations bounds (search for similar items in EconPapers)
JEL-codes: C72 C73 D43 D83 (search for similar items in EconPapers)
Date: 2012-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Robust Predictions in Games With Incomplete Information (2013)
Working Paper: Robust Predictions in Games with Incomplete Information (2013)
Working Paper: Robust Predictions in Games with Incomplete Information (2013)
Working Paper: Robust Predictions in Games with Incomplete Information (2013)
Working Paper: Robust Predictions in Games with Incomplete Information (2012)
Working Paper: Robust Predictions in Games with Incomplete Information (2012)
Working Paper: Robust Predictions in Games with Incomplete Information (2012)
Working Paper: Robust Predictions in Games with Incomplete Information (2011)
Working Paper: Robust Predictions in Games with Incomplete Information (2011)
Working Paper: Robust Predictions in Games with Incomplete Information (2011)
Working Paper: Robust Predictions in Games with Incomplete Information (2011)
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