Estimation and inference in games of incomplete information with unobserved heterogeneity and large state space
含不可观测异质性与大状态空间的不完全信息博弈估计和推断
Building on the sequential identification result of Aguirregabiria and Mira (2019), this paper develops estimation and inference procedures for static games of incomplete information with payoff‐relevant unobserved heterogeneity and multiple equilibria. With payoff‐relevant unobserved heterogeneity, sequential estimation and inference face two main challenges: the matching‐types problem and a large number of matchings . We tackle the matching‐types problem by constructing a…