Incomplete Simultaneous Discrete Response Model with Multiple Equilibria
Опубликовано на портале: 07-02-2009
Review of Economic Studies.
2003.
Vol. 70.
No. 1.
P. 147-165.
A bivariate simultaneous discrete response model which is a stochastic representation
of equilibria in a two-person discrete game is studied. The presence of multiple
equilibria in the underlying discrete game maps into a region for the exogenous variables
where the model predicts a nonunique outcome. This is an example of an incomplete
econometric structure. Economists using this model have made simplifying assumptions
to avoid multiplicity. I make a distinction between incoherent models and incomplete
models, and then analyse the model in the presence of multiple equilibria, showing
that the model contains enough information to identify the parameters of interest
and to obtain a well defined semiparametric estimator. I also show that the latter
is consistent and root-n normal. Moreover, by exploiting the presence of multiplicity,
one is able to obtain a more efficient estimator than the existing methods.
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