• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • Econometrics and Data Science Methods for Business, Economics and Finance
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times
Home | Events Archive | Econometric Inference on Large Bayesian Games with Heterogeneous Beliefs

Econometric Inference on Large Bayesian Games with Heterogeneous Beliefs

  • Location
    University of Amsterdam and online (hybrid seminar), room E5.22
  • Date and time

    April 01, 2022
    12:30 - 13:30

Econometric models of strategic interactions among people or firms have received a great deal of attention in the literature. Less attention has been paid to the role of the underlying assumptions about the way agents form beliefs about other agents. This paper focuses on a single large Bayesian game and develops a bootstrap inference method that relaxes the assumption of rational expectations and allows for the players to form beliefs differently from each other. By drawing on the main intuition of Kalai(2004), we introduce the notion of a hindsight regret, which measures each player's ex post value of other players' type information, and obtain its belief-free bound. Using this bound, we derive testable implications and develop a bootstrap inference procedure for the structural parameters. We demonstrate the finite sample performance of the method through Monte Carlo simulations. Joint with Kevin Song.

Please find full paper here.

Please send an email if you want to join this seminar online.