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Econometrics 2015, 3(2), 412-442; doi:10.3390/econometrics3020412

Strategic Interaction Model with Censored Strategies

Department of Economics, New York University, 19 West 4th Street, New York, NY 10012, USA
Academic Editor: Giuseppe Arbia
Received: 24 March 2015 / Revised: 5 May 2015 / Accepted: 21 May 2015 / Published: 1 June 2015
(This article belongs to the Special Issue Spatial Econometrics)
View Full-Text   |   Download PDF [394 KB, uploaded 1 June 2015]

Abstract

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. View Full-Text
Keywords: tobit model; static incomplete information games; near-epoch dependent spatial processes tobit model; static incomplete information games; near-epoch dependent spatial processes
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Jenish, N. Strategic Interaction Model with Censored Strategies. Econometrics 2015, 3, 412-442.

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