Inference in Game Theoretic Models of Incomplete Information with Random Coefficients
2018/02/23
研討會日期 : 2018-02-23
時間 : 11:00
主講人 : Mr. Jangsu Yoon
主持人 : Professor Chu-An Liu
地點 : Conference Room B110
演講者簡介 : Mr. Yoon will receive his Ph.D. in Economics from University of Wisconsin-Madison in 2018. His research interests are Econometric Theory, Applied Econometrics, Nonparametric Identification and Estimation of Game Theoretic Models. He is applying for a position of the Institute of Economics, Academia Sinica now.
演講摘要 : This paper studies identification and inference in game theoretic models with incomplete in-formation and random coefficients. These models allow for strategic interactions in the presence of incomplete information while incorporating payoff parameter heterogeneity across games. The possibility of multiple Bayesian Nash Equilibria presents challenges to identification, and potential discontinuities in the equilibrium selection rule require attention in estimation and inference. In this work, I am able to establish conditions for point identification of the structural parameters, including the joint distribution function of random coefficients, the equilibrium se-lection mechanism, and the support of random coefficients. I also suggest the Penalized Sieve Minimum Distance (PSMD) estimator assuming piecewise smooth equilibrium selection, derive asymptotic normality for the distributional parameters of random coefficients, and construct a pointwise confidence interval of the parameter based on Chen and Pouzo (2012, 2015). When the assumptions for point identification are relaxed, partial identification is still possible, and I exhibit a consistent estimator for the identified set. Monte Carlo simulation studies are presented to evaluate the performance of the point estimator under multiple equilibria. Empirical applications include an entry game between Walmart and Kmart in the context of Jia (2008), and a labor supply game of husbands and wives motivated by Heckman (1978). Both illustrations show that random coefficients capture heterogeneous entry behavior across markets and the heterogeneous work decisions of married couples with young children.
