Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171833
Authors: 
Jenish, Nazgul
Year of Publication: 
2015
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 3 [Year:] 2015 [Issue:] 2 [Pages:] 412-442
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.
Subjects: 
tobit model
static incomplete information games
near-epoch dependent spatial processes
JEL: 
C13
C14
C21
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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