Structural estimation of discrete-choice games of incomplete information with multiple equilibria

2010 ◽  
Author(s):  
Che Lin Su ◽  
Kenneth L. Judd
Keyword(s):  
Incomplete Information ◽  
Discrete Choice ◽  
Multiple Equilibria ◽  
Structural Estimation

scholarly journals Estimating dynamic discrete-choice games of incomplete information

10.3982/qe430 ◽  
2015 ◽  
Vol 6 (3) ◽  
pp. 567-597 ◽  
Author(s):  
Michael Egesdal ◽  
Zhenyu Lai ◽  
Che-Lin Su
Keyword(s):  
Incomplete Information ◽  
Discrete Choice ◽  
Dynamic Discrete Choice

Identification of Non-Equilibrium Beliefs in Games of Incomplete Information Using Experimental Data

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Victor Aguirregabiria ◽  
Erhao Xie
Keyword(s):  
Experimental Data ◽  
Public Good ◽  
Incomplete Information ◽  
Discrete Choice ◽  
Belief Functions ◽  
Public Good Game ◽  
Rational Beliefs ◽  
Individual Level ◽  
Matching Pennies ◽  
The Individual

AbstractThis paper studies the identification of players’ preferences and beliefs in discrete choice games using experimental data. The experiment comprises a set of games that differ in their matrices of monetary payoffs. The researcher is interested in the identification of preferences (utility of money) and beliefs on the opponents’ expected behavior, without imposing equilibrium restrictions or parametric assumptions on utility and belief functions. We show that the hypothesis of unbiased/rational beliefs is testable as long as the set of games in the experiment imply variation in monetary payoffs of other players, keeping the own monetary payoff constant. We present conditions for the full identification of utility and belief functions at the individual level – without restrictions on players’ heterogeneity in preferences or beliefs. We apply our method to data from two experiments: a matching pennies game, and a public good game.

SOLUTION UNIQUENESS IN A CLASS OF CURRENCY CRISIS GAMES

2005 ◽  
Vol 07 (04) ◽  
pp. 531-543 ◽  
Author(s):  
CHRISTIAN BAUER
Keyword(s):  
Incomplete Information ◽  
Expected Utility ◽  
Multiple Equilibria ◽  
Multiple Equilibrium ◽  
Equilibrium Strategy ◽  
Knightian Uncertainty ◽  
Equilibrium Solutions ◽  
Speculative Attack ◽  
Arbitrary Noise ◽  
Attack Models

A common feature of many speculative attack models on currencies is the existence of multiple equilibrium solutions. When choosing the equilibrium strategy, a trader faces Knightian uncertainty about the rational choice of the other traders. We show that the concept of Choquet expected utility maximization under Knightian uncertainty leads to unique equilibria. In games of incomplete information the optimal strategy maximizes the expected utility with respect to a two-dimensional information: environment and rationality. We define a new concept of equilibria, the Choquet-expected-Nash-equilibria, which allows the analysis of decisions under uncertainty, which result in multiple equilibria in standard analysis. We provide uniqueness theorems for a wide class of incomplete information games including global games and apply them to fairly general currency attack models. The uniqueness of the equilibrium remains valid for arbitrary noise distributions, positively correlated signals, the existence of large traders, individual payoff functions, and for the case that non attacking traders suffer a loss in case of a successful attack, as is the case for investors in the attacked country.

The Econometrics of Static Games

2020 ◽  
Vol 12 (1) ◽  
pp. 135-165
Author(s):  
Andrés Aradillas-López
Keyword(s):  
Incomplete Information ◽  
Labor Force ◽  
Discrete Choice ◽  
Labor Force Participation ◽  
Multiple Solutions ◽  
Robust Inference ◽  
Future Research ◽  
Rich Variety ◽  
Action Spaces ◽  
General Game

This article reviews the econometrics of static games, with a focus on discrete-choice cases. These models have been used to study a rich variety of empirical problems, ranging from labor force participation to entry decisions. We outline the components of a general game and describe the problem of doing robust inference in the presence of multiple solutions, as well as the different econometric approaches that have been applied to tackle this problem. We then describe the specific challenges that arise in different variations of these models depending on whether players are assumed to have complete or incomplete information, as well as whether or not nonequilibrium play is allowed. We describe the results in 2 × 2 games (the most widely studied games in econometrics), and we present extensions and recent results in games with richer action spaces. Areas for future research are also discussed.

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