TY - JOUR
T1 - Inference in ordered response games with complete information
AU - Aradillas-López, Andrés
AU - Rosen, Adam M.
N1 - Publisher Copyright:
© 2021 Elsevier B.V.
PY - 2022/2
Y1 - 2022/2
N2 - We study inference in complete information games with discrete strategy spaces. Unlike binary games, we allow for rich strategy spaces and we only assume that they are ordinal in nature. We derive observable implications of equilibrium play under mild shape restrictions on payoff functions, and we characterize sharp identified sets for model parameters. We propose a novel inference method based on a test statistic that embeds conditional moment inequalities implied by equilibrium behavior. Our statistic has asymptotically pivotal properties that depend on the measure of contact sets, to which our statistic adapts automatically. In the case of two players and strategic substitutes we show that certain payoff parameters are point identified under mild conditions. We embed conventional point estimates for these parameters in our conditional moment inequality test statistic in order to perform inference on the remaining (partially identified) parameters. We apply our method to model the number of stores operated by Lowe's and Home Depot in geographic markets and perform inference on several quantities of economic interest.
AB - We study inference in complete information games with discrete strategy spaces. Unlike binary games, we allow for rich strategy spaces and we only assume that they are ordinal in nature. We derive observable implications of equilibrium play under mild shape restrictions on payoff functions, and we characterize sharp identified sets for model parameters. We propose a novel inference method based on a test statistic that embeds conditional moment inequalities implied by equilibrium behavior. Our statistic has asymptotically pivotal properties that depend on the measure of contact sets, to which our statistic adapts automatically. In the case of two players and strategic substitutes we show that certain payoff parameters are point identified under mild conditions. We embed conventional point estimates for these parameters in our conditional moment inequality test statistic in order to perform inference on the remaining (partially identified) parameters. We apply our method to model the number of stores operated by Lowe's and Home Depot in geographic markets and perform inference on several quantities of economic interest.
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U2 - 10.1016/j.jeconom.2021.09.017
DO - 10.1016/j.jeconom.2021.09.017
M3 - Article
AN - SCOPUS:85118896024
SN - 0304-4076
VL - 226
SP - 451
EP - 476
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 2
ER -