Strategic Interaction Model with Censored Strategies

In this paper, we develop a new model of a static game of incomplete information with a large number of players. The model has two key distinguishing features. First, the strategies are subject to threshold effects, and can be interpreted as dependent censored random variables. Second, in contrast t...

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Main Author: Nazgul Jenish
Format: Article
Language:English
Published: MDPI AG 2015-06-01
Series:Econometrics
Subjects:
Online Access:http://www.mdpi.com/2225-1146/3/2/412
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spelling doaj-b981a29d0124465baaf63ba5925a56772020-11-24T21:27:18ZengMDPI AGEconometrics2225-11462015-06-013241244210.3390/econometrics3020412econometrics3020412Strategic Interaction Model with Censored StrategiesNazgul Jenish0Department of Economics, New York University, 19 West 4th Street, New York, NY 10012, USAIn this paper, we develop a new model of a static game of incomplete information with a large number of players. The model has two key distinguishing features. First, the strategies are subject to threshold effects, and can be interpreted as dependent censored random variables. Second, in contrast to most of the existing literature, our inferential theory relies on a large number of players, rather than a large number of independent repetitions of the same game. We establish existence and uniqueness of the pure strategy equilibrium, and prove that the censored equilibrium strategies satisfy a near-epoch dependence property. We then show that the normal maximum likelihood and least squares estimators of this censored model are consistent and asymptotically normal. Our model can be useful in a wide variety of settings, including investment, R&D, labor supply, and social interaction applications.http://www.mdpi.com/2225-1146/3/2/412tobit modelstatic incomplete information gamesnear-epoch dependent spatial processes
collection DOAJ
language English
format Article
sources DOAJ
author Nazgul Jenish
spellingShingle Nazgul Jenish
Strategic Interaction Model with Censored Strategies
Econometrics
tobit model
static incomplete information games
near-epoch dependent spatial processes
author_facet Nazgul Jenish
author_sort Nazgul Jenish
title Strategic Interaction Model with Censored Strategies
title_short Strategic Interaction Model with Censored Strategies
title_full Strategic Interaction Model with Censored Strategies
title_fullStr Strategic Interaction Model with Censored Strategies
title_full_unstemmed Strategic Interaction Model with Censored Strategies
title_sort strategic interaction model with censored strategies
publisher MDPI AG
series Econometrics
issn 2225-1146
publishDate 2015-06-01
description In this paper, we develop a new model of a static game of incomplete information with a large number of players. The model has two key distinguishing features. First, the strategies are subject to threshold effects, and can be interpreted as dependent censored random variables. Second, in contrast to most of the existing literature, our inferential theory relies on a large number of players, rather than a large number of independent repetitions of the same game. We establish existence and uniqueness of the pure strategy equilibrium, and prove that the censored equilibrium strategies satisfy a near-epoch dependence property. We then show that the normal maximum likelihood and least squares estimators of this censored model are consistent and asymptotically normal. Our model can be useful in a wide variety of settings, including investment, R&D, labor supply, and social interaction applications.
topic tobit model
static incomplete information games
near-epoch dependent spatial processes
url http://www.mdpi.com/2225-1146/3/2/412
work_keys_str_mv AT nazguljenish strategicinteractionmodelwithcensoredstrategies
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