STRUCTURAL ESTIMATION OF SEQUENTIAL GAMES OF COMPLETE INFORMATION

• Published in: Economic inquiry Vol. 53; no. 2; pp. 791 - 811
• Main Author: Blevins, Jason R.
• Format: Journal Article
• Language: English
• Published: Boston, USA Wiley Periodicals, Inc 01-04-2015; Blackwell Publishers Ltd; Western Economic Association
• Subjects: Airline industry; Analysis; Athletes; Estimating techniques; Estimation; Experiments; Game theory; Games; Information; Information management; Monte Carlo methods; Monte Carlo simulation; Structural change; Studies; United States
• ISSN: 0095-2583; 1465-7295
• DOI: 10.1111/ecin.12189

In models of strategic interaction, there may be important order of entry effects if one player can credibly commit to an action (e.g., entry) before other players. If one estimates a simultaneous‐move model, then the move‐order effects will be confounded with the payoffs. This article considers nonparametric identification and simulation‐based estimation of sequential games of complete information. Relative to simultaneous‐move games, these models avoid the problem of multiple equilibria and require fewer payoff normalizations. We apply the estimator in several Monte Carlo experiments and to study entry‐order effects using data from the airline industry. (JEL C57, C15, L93)