Semiparametric identification and estimation of binary discrete games of incomplete information with correlated private signals

Yuanyuan Wan (yuanyuan.wan@utoronto.ca.) and Haiqing Xu (h.xu@austin.utexas.edu)
Additional contact information
Yuanyuan Wan: Department of Economics, University of Toronto

No 130913, Department of Economics Working Papers from The University of Texas at Austin, Department of Economics

Abstract: This paper studies the identification and estimation of a static binary decision game of incomplete information. We make no parametric assumptions on the joint distribution of private signals and allow them to be correlated. We show that the parameters of interest can be point?identified subject to a scale normalization under mild support requirements for the regressors (publicly observed state variables) and errors (private signals). Following Manski and Tamer (2002), we propose a maximum score type estimator for the structural parameters and establish the asymptotic properties of the estimator.

Keywords: Semiparametric Identification and Estimation; Incomplete Information Games; Modified Maximum Score Estimator; U Process (search for similar items in EconPapers)
JEL-codes: C14 C35 C62 C72 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2010-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://webspace.utexas.edu/hx659/www/Files/wan_with_xu_2by2_game.pdf Revised version, 2012 (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:tex:wpaper:130913

Access Statistics for this paper

More papers in Department of Economics Working Papers from The University of Texas at Austin, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Caroline Thomas (caroline.thomas@austin.utexas.edu).