A NOTE ON SEMIPARAMETRIC ESTIMATION OF FINITE MIXTURES OF DISCRETE CHOICE MODELS WITH APPLICATION TO GAME THEORETIC MODELS* |
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| Authors: | Patrick Bajari Jinyong Hahn Han Hong Geert Ridder |
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| Affiliation: | 1. University of Minnesota and NBER, U.S.A.;2. University of California, Los Angeles, U.S.A.;3. Stanford University, U.S.A.;4. University of Southern California, U.S.A. |
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| Abstract: | We view a game abstractly as a semiparametric mixture distribution and study the semiparametric efficiency bound of this model. Our results suggest that a key issue for inference is the number of equilibria compared to the number of outcomes. If the number of equilibria is sufficiently large compared to the number of outcomes, root‐n consistent estimation of the model will not be possible. We also provide a simple estimator in the case when the efficiency bound is strictly above zero. |
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