Strategic Interaction Model with Censored Strategies

Econometrics

Nazgul Jenish¹ 

[1] Department of Economics, New York University, 19 West 4th Street, New York, NY 10012, USA; E-Mail

关键词: tobit model;    static incomplete information games;    near-epoch dependent spatial processes;   

DOI  :  10.3390/econometrics3020412

来源: mdpi

【 摘 要 】

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.

【 授权许可】

CC BY   
© 2015 by the author; licensee MDPI, Basel, Switzerland.