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LOCAL IDENTIFICATION IN EMPIRICAL GAMES OF INCOMPLETE INFORMATION

Published online by Cambridge University Press:  17 March 2010

Jean-Pierre Florens  and
Erwann Sbaï
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Abstract

This paper studies identification for a broad class of empirical games in a general functional setting. Global identification results are known for some specific models, e.g., in some standard auction models. We use functional formulations to obtain general criteria for local identification. These criteria can be applied to both parametric and nonparametric models, and also to models with asymmetry among players and affiliated private information. A benchmark model is developed where the structural parameters of interest are the distribution of private information and an additional dissociated parameter, such as a parameter of risk aversion. Criteria are derived for some standard auction models, games with exogenous variables, games with randomized strategies, such as mixed strategies, and games with strategic functions that cannot be derived analytically.

Type
Research Article
Information
Econometric Theory , Volume 26 , Issue 6 , December 2010 , pp. 1638 - 1662
Copyright
Copyright © Cambridge University Press 2010

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Footnotes

We thank Peter Phillips for his comments, Olivier Scaillet and Christian Gourieroux for their comments on an early version of this paper, the co-editor, and two anonymous referees. Various versions have been presented to the World Congress of the Econometric Society, Seattle, 2000, the Young Econometricians Meeting, Marseilles, 2000, the New Zealand Econometric Study Group meeting, 2006, and seminars at the University of Toulouse, 2001, University of Mannheim, 2003, and University of Auckland, 2006.

References

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