The Identification Power of Equilibrium in Simple Games
研究在简单博弈中，用理性可解性替代纳什均衡假设时，能从随机样本中学到多少参数信息，并随理性层级提高而缩小识别集。
We examine the identification power that (Nash) equilibrium assumptions play in conducting inference about parameters in some simple games. We focus on three static games in which we drop the Nash equilibrium assumption and instead use rationalizability as the basis for strategic play. The first example examines a bivariate discrete game with complete information of the kind studied in entry models. The second example considers the incomplete-information version of the discrete bivariate game. Finally, the third example considers a first-price auction with independent private values. In each example, we study the inferential question of what can be learned about the parameter of interest using a random sample of observations, under level-k rationality, where k is an integer ≥ 1. As k increases, our identified set shrinks, limiting to the identified set under full rationality or rationalizability (as k → ∞). This is related to the concepts of iterated dominance and higher-order beliefs, which are incorporated into the econometric analysis in our framework. We are then able to categorize what can be learned about the parameters in a model under various maintained levels of rationality, highlighting the roles of different assumptions. We provide constructive identification results that lead naturally to consistent estimators.