Semiparametric Analysis of Binary Games of Incomplete Information

Nianqing Liu () and Haiqing Xu ()
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Nianqing Liu: Shanghai University of Finance and Economics

No 130911, Department of Economics Working Papers from The University of Texas at Austin, Department of Economics

Abstract: This paper studies the identification and estimation in an I-player binary game of incomplete information. Our approach allows players' type to be correlated across players. By focusing on the monotone pure strategy Bayesian Nash Equilibrium (BNE), we show that the equilibrium strategies can be represented as a single-agent binary response model. Under weak restrictions, we show that the distribution of incomplete information can be nonparametrically identified. Further, we establish the identification of payoff functions in a linear-index setup. Following Klein and Spady (1993), we propose a three-stage estimation procedure and show that our estimator is square-root-n consistent, asymptotically normally distributed.

Keywords: Bayesian Nash Equilibrium; Discrete game; Incomplete information; Monotone strategy (search for similar items in EconPapers)
JEL-codes: C35 C62 C72 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2012-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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