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...
Main Author: | |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2015-06-01
|
Series: | Econometrics |
Subjects: | |
Online Access: | http://www.mdpi.com/2225-1146/3/2/412 |
id |
doaj-b981a29d0124465baaf63ba5925a5677 |
---|---|
record_format |
Article |
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 |
_version_ |
1725975605702295552 |