Semiparametric Estimation of Signaling Games

• 영문명: Semiparametric Estimation of Signaling Games
• 발행기관: 한국계량경제학회
• 저자명: Kyoo il Kim
• 간행물 정보: 『한국계량경제학회 학술대회 논문집』2007년 하계학술대회, 1~72쪽, 전체 72쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2007.08.30

영문 초록

This paper studies an econometric modeling of a signaling game with two players where one player has one of two types. In particular, we develop an estimation strategy that identi…es the payo¤s structure and the distribution of types from data of observed actions. We can achieve uniqueness of equilibrium using a re…nement, which enables us to identify the parameters of interest. In the game, we consider non-strategic public signals about the types. Because the mixing distribution of these signals is nonparametrically speci…ed, we propose to estimate the model using a sieve conditional MLE. We achieve the consistency and the asymptotic normality of the structural parameters estimates. As an alternative, we allow for the possibility of multiple equilibria, without using an equilibrium selection rule. As a consequence, we adopt a set inference allowing for multiplicity of equilibria.

목차

1 Introduction

2 Description of the Game

3 Re…nement and Uniqueness of Equilibrium

4 Introducing Public Information about the Type

5 Estimation of the Signaling Game

6 Discussion: Set Identi…cation

7 Concluding Remarks

키워드

Semiparametric Estimation Signaling Game Set Inference In…nite Dimensional Parameters Sieve Simultaneous Conditional MLE