Arbeitspapier

Random coefficients in static games of complete information

Individual players in a simultaneous equation binary choice model act differently in different environments in ways that are frequently not captured by observables and a simple additive random error. This paper proposes a random coefficient specification to capture this type of heterogeneity in behaviour, and discusses nonparametric identification and estimation of the distribution of random coefficients. We establish nonparametric point identification of the joint distribution of all random coefficients, except those on the interaction effects, provided the players behave competitively in all markets. Moreover, we establish set identification of the density of the coefficients on the interaction effects, and provide additional conditions that allow to point identify this density. Since our identification strategy is constructive throughout, it allows us to construct sample counterpart estimators. We analyse their asymptotic behaviour, and illustrate their finite sample behaviour in a numerical study. Finally, we discuss several extensions, like the semiparametric case, or correlated random coefficients.

Sprache
Englisch

Erschienen in
Series: cemmap working paper ; No. CWP12/13

Klassifikation
Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Asset Pricing; Trading Volume; Bond Interest Rates
Thema
Games
Heterogeneity
Nonparametric Identification
Random Coefficients
Inverse Problems

Ereignis
Geistige Schöpfung
(wer)
Dunker, Fabian
Hoderlein, Stefan
Kaido, Hiroaki
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2013

DOI
doi:10.1920/wp.cem.2013.1213
Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Dunker, Fabian
  • Hoderlein, Stefan
  • Kaido, Hiroaki
  • Centre for Microdata Methods and Practice (cemmap)

Entstanden

  • 2013

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