A NOTE ON SEMIPARAMETRIC ESTIMATION OF FINITE MIXTURES OF DISCRETE CHOICE MODELS WITH APPLICATION TO GAME THEORETIC MODELS

• 成果类型: Article
• 署名作者: Bajari, Patrick; Hahn, Jinyong; Hong, Han; Ridder, Geert
• 署名单位: University of California System; University of California Los Angeles; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Stanford University; University of Southern California
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2011.00650.x
• 发表日期: 2011
• 页码: 807-824
• 关键词: sequential estimation; identification; EFFICIENCY; entry; equilibrium

摘要

We view a game abstractly as a semiparametric mixture distribution and study the semiparametric efficiency bound of this model. Our results suggest that a key issue for inference is the number of equilibria compared to the number of outcomes. If the number of equilibria is sufficiently large compared to the number of outcomes, root-n consistent estimation of the model will not be possible. We also provide a simple estimator in the case when the efficiency bound is strictly above zero.