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The empirical content of games with bounded regressors

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  • Brendan Kline

Abstract

This paper develops a strategy for identification and estimation of complete information games that does not require a regressor that has large support or a parametric specification for the distribution of the unobservables. The identification result uses a nonstandard but plausible condition on the unobservables: the assumption that the joint density of the unobservables of all agents is unimodal in the sense of achieving the global maximum at a unique point. Also, a three‐step semiparametric estimator is proposed. Under mild regularity conditions, the estimator is consistent and asymptotically normally distributed. The estimator is nonstandard in the sense that the estimators of the intercept and interaction effect parameters converge at slower than the parametric rate. An intermediate result concerns identification and estimation of the direction of the interaction effect.

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  • Brendan Kline, 2016. "The empirical content of games with bounded regressors," Quantitative Economics, Econometric Society, vol. 7(1), pages 37-81, March.
    • Handle: RePEc:wly:quante:v:7:y:2016:i:1:p:37-81
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    Cited by:

    1. Hoshino, Tadao & Yanagi, Takahide, 2023. "Treatment effect models with strategic interaction in treatment decisions," Journal of Econometrics, Elsevier, vol. 236(2).
    2. Vives, Xavier & Vravosinos, Orestis, 2024. "Strategic complementarity in games," Journal of Mathematical Economics, Elsevier, vol. 113(C).
    3. Kline, Brendan, 2015. "Identification of complete information games," Journal of Econometrics, Elsevier, vol. 189(1), pages 117-131.
    4. Nail Kashaev, 2018. "Identification and estimation of multinomial choice models with latent special covariates," Papers 1811.05555, arXiv.org, revised Mar 2022.
    5. Tadao Hoshino, 2020. "A Pairwise Strategic Network Formation Model with Group Heterogeneity: With an Application to International Travel," Papers 2012.14886, arXiv.org, revised Feb 2021.

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