Estimating static models of strategic interactions. (English) Zbl 1202.62174
Summary: We study the estimation of static games of incomplete information with multiple equilibria. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which allows the actions of a group of agents to be interdependent. While the estimator we study is quite flexible, in most cases it can be easily implemented using standard statistical packages such as STATA. We also propose an algorithm for simulating the model which finds all equilibria to the game. As an application of our estimator, we study recommendations for high technology stocks between 1998–2003. We find that strategic motives, typically ignored in the empirical literature, appear to be an important consideration in the recommendations submitted by equity analysts.
MSC:
62P20 | Applications of statistics to economics |
65C60 | Computational problems in statistics (MSC2010) |
91A40 | Other game-theoretic models |
91B82 | Statistical methods; economic indices and measures |