Games of Incomplete Information with Non-separable Unobserved Heterogeneity: Estimation, Inference, and Computation-经济学科博士生项目

DATE: 2021-06-07 10:10

主讲人	Shuo Jiang	主讲人简介	<p>Shuo Jiang is a Ph.D. candidate at the Department of Economics of University of Washington, expecting to graduate in July and join WISE & SOE in Fall 2021. His research interests are econometrics and empirical industrial organization.</p>
主持人	Wei Song	简介	<p>Sequential estimation and inference in static games of incomplete information with non-separable unobserved heterogeneity face two main challenges: the matching-types problem and large state space. We tackle the matching-types problem by constructing a new characterization of the payoff function via a minimum distance model with incorrect moments. Large state space leads to large number of moments, rendering optimization via exhaustive search computationally challenging. We propose a new multi-step estimation procedure and demonstrate via extensive simulation that it is extremely fast to compute. Theoretically our estimator selects the correct matching with probability approaching one and consistently estimates the payoff function. We propose an asymptotically uniformly valid and easy-to-implement test for the linear hypothesis on the payoff function.</p>
时间	2021-06-07(Monday)10:10-11:30	地点	D235, Economics Building
主办单位	厦门大学经济学院、王亚南经济研究院	承办单位	厦门大学经济学院、王亚南经济研究院
类型	系列讲座	专题网站
联系人信息		讲座语言	English
期数	经济学科学术新秀系列讲座第5讲

系列讲座

Games of Incomplete Information with Non-separable Unobserved Heterogeneity: Estimation, Inference, and Computation