Essays on the Econometrics of Games

Abstract

This dissertation studies identification, estimation and inference for various types of staticgames of incomplete information, a class of games in which players do not have full information about their opponents. Such games have been widely used in the empirical studies of strategic interactions such as market entry, technology adoption and so on. Chapter 1 studies sequential estimation and uniform inference in a static game of incomplete information with nonseparable unobserved heterogeneity. We propose a novel methodfor sequentially estimating payoff function and conducting uniform inference in static games of incomplete information with non-separable unobserved heterogeneity (and multiple equilibria). We tackle the matching-types problem by constructing a new characterization of the payoff function via a minimum distance model with incorrect “moments”. For several specifications of the payoff function, we propose to select the correct matching and estimate the payoff function jointly using a minimum distance type criterion function with a rewarding term when needed; we show consistency of the selected matching and the estimator of the payoff function; we construct an asymptotically uniformly valid and easy-to-implement test for the linear hypothesis on the payoff function; and for large state spaces, we introduce a sequential Monte Carlo method to ease computational burden. We report results from a small simulation study and an application to the dataset of Sweeting (2009). Chapter 2 proposes a simple estimator for static game of incomplete information with action complementarity. Oligopolists often engage in strategic interactions in multiple relatedbusinesses or industries. Such phenomenon could be analyzed using game theoretic models with action complementarity (substitutability). In this paper we study the semiparametric identification and estimation of static games of incomplete information with complementary (substitutable) actions. Building on and extending the identifiability result for bundled demand in Fox and Lazzati (2017), we show that structural parameters in this game are identified. A simple closed-form estimator for the structural parameters is proposed based on our identification strategy. The estimator could be implemented easily by running a three-stage least squares, and no numerical optimization is needed. We establish the root-n consistency and asymptotic normality of this estimator. A small Monte Carlo simulation shows the efficacy of our methods in finite samples. Chapter 3 studies identification and estimation of a binary game of incomplete information under symmetry of the unobservables. We study the semiparametric identificationand estimation of a class of binary game of incomplete information under the restriction of conditional symmetry for unobserved private information. We use a two-step identification strategy that is based on the equilibrium condition and the symmetry restriction. We propose a two-step minimum distance estimator, and prove its root-N consistency and asymptotic normality. Compared to existing semiparametric method in the literature, our estimator could adapt arbitrary forms of heteroskedasticity in common knowledge state variables and does not require stringent support and tail conditions. Our method could be extended to allow for multiple equilibria and symmetrically distributed random coefficients. A small Monte Carlo study demonstrates the efficacy and robustness of our estimator compared to the popular two-step pseudo maximum likelihood method.