Econometric Analysis of Strategic-Interaction Models under Flexible Behavioral Assumptions

本项目致力于对经济主体（个人、企业、工会、政府等）在不完全信息环境中相互作用的模型进行计量经济学研究。在这些设置中，每个主体被观察到的行为至少部分是由她对他人预期选择的主观和未被观察到的信念（对研究者来说）决定的。这些模型的绝大多数现有计量经济学工作都假设未观察到的信念与均衡行为一致，这对主体的合理性提出了极端的假设，并危及估计结果的稳健性和有效性。这个项目削弱了这种限制性假设，并假设代理的未观察到的信念只是在某种意义上是“合理的”，因为它们不会将正概率分配给严格支配的对手的行动。理性化的概念已经被博弈论家彻底地研究过了，但还没有？直到现在- - -被正式纳入计量经济分析。它包括均衡信念作为一种特殊情况，但允许广泛的替代行为。在方法上，这个研究项目是双管齐下的。首先，它描述了给定模型的哪些统计特征可以在合理信念的唯一假设下被识别。其次，开发了对识别特征进行估计和推断的统计方法。利用观察到的行为和其他可观察到的代理人特征（如果有的话），这些方法揭示了这样的问题：如果代理人的信念只被假设满足最小理性要求，那么他们的行为受到其他人预期选择的影响有多大？理性的上限能被确定吗？能排除纳什均衡吗？主体使用哪些可用信息来构建他们的信念？在灵活的行为假设下，反事实的练习（例如，假设性政策分析的效果）也是可能的。这些方法可以应用于各种各样的现实世界环境，包括：拍卖、市场进入/退出、企业之间的互动、企业或个人的位置模型、具有对等效应的个人选择模型等。它们还特别适用于实验数据集，这些数据集的可用性最近一直在稳步增加。研究项目的更广泛影响：如果该项目超越了为现有文献贡献新方法和吸引该学科研究专家的注意，则产生更广泛的影响。一个主要目标是设计课程、研讨会和研讨会，不仅针对高级经济学博士生，而且针对对基于交互的模型的估计和推理感兴趣的其他社会科学学科的学生和研究人员。这些课程不仅要学习理论，还要学习将这些方法应用到实际数据中的方法和计算问题。这些活动还将由这方面的著名专家举办讲习班、研讨会和讲座。本项目旨在将博弈论专家、计量经济学家、应用经济学家和需要在灵活行为假设下的复杂互动环境中进行政策分析的决策者聚集在一起。所有计算机数据程序、课堂讲稿和研究论文都将广泛传播。

This project is devoted to the econometric study of models where economic agents (individuals, firms, unions, governments, etc.) interact with each other in an incomplete information environment. In these settings, each agent's observed behavior is at least partially determined by her subjective and unobserved (to the researcher) beliefs about the expected choices of others. The vast majority of existing econometric work for these models assumes that unobserved beliefs are consistent with equilibrium behavior, which imposes extreme assumptions about agents' rationality and jeopardizes the robustness and validity of the estimation results. This project weakens this restrictive assumption and assumes instead that agents' unobserved beliefs are only "rationalizable" in the sense that they do not assign positive probability to opponents' actions that are strictly dominated. The notion of rationalizability has been thoroughly studied by game theorists but has not ?until now- been formally incorporated into econometric analysis. It includes equilibrium beliefs as a special case, but allows for a wide range of alternative behavior.Methodologically, this research project is two-pronged. First, it characterizes which statistical features of a given model can be identified under the sole assumption of rationalizable beliefs. Second, it develops statistical methods for estimation and inference of the identified features. Using observed behavior and other observable features of agents (if any), these methods shed light on questions such as: How much are agents' actions affected by the expected choices of others if their beliefs are only assumed to satisfy a minimal rationality requirement? Can an upper bound for rationality be identified? Can Nash equilibrium be ruled out? What pieces of available information do agents use to construct their beliefs? Counterfactual exercises (e.g, the effect of hypothetical policy analysis) under flexible behavioral assumptions are also made possible. The methods can be applied to a wide variety of real-world settings, including: Auctions, market entry/exit, interaction among firms, location models for firms or individuals, models of individual choices with peer-effects, etc. They are also especially amenable to experimental data sets, whose availability has been steadily increasing in the recent past. Broader Impacts of Research Project:The broader impact if the project goes beyond contributing new methods to the existing literature and attracting the attention of research experts in the subject. A major goal is the design of courses, workshops and seminars aimed not only to advanced economics doctoral students, but to students and researchers of other social science disciplines interested in estimation and inference in interactions-based models. These courses would study not only the theory, but also the methodological and computational issues involved in the implementation of these methods to real data. They will be complemented by workshops, seminars and lectures by prominent experts in the subject. This project is designed to bring together game theorists, econometricians, applied economists and decision-makers in need of policy analysis in complicated interactions settings under flexible behavioral assumptions. All computer data programs, lecture notes and research papers which will result from this project will be widely disseminated.