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. We focus on a single large Bayesian game with idiosyncratic strategic neighborhoods and develop an approach of empirical modeling that relaxes the assumption of rational expectations and allows the players to form beliefs differently. By drawing on the main intuition of Kalai(2004), we introduce the notion of hindsight regret, which measures each player's ex-post value of other players' type information, and obtain the belief-free bound for the hindsight regret. Using this bound, we derive testable implications and develop a bootstrap inference procedure for the structural parameters. Our inference method is uniformly valid regardless of the size of strategic neighborhoods and tends to exhibit high power when the neighborhoods are large. We demonstrate the finite sample performance of the method through Monte Carlo simulations.
翻译:在文献中,人们或公司之间战略互动的经济计量模型受到大量关注。对于代理人如何形成对其它代理人的信仰的基本假设的作用,人们很少注意。我们侧重于一个与特殊战略街坊的单一大型贝叶斯游戏,并开发一种经验模型方法,以放松理性期望的假设,允许玩家以不同方式形成信仰。我们借鉴了Kalai(2004年)的主要直觉,引入了后见遗憾的概念,它测量了每个玩家其他玩家类型的信息的事后价值,并获得了后见遗憾的无信仰约束。我们利用这一界限,我们产生了可测试的影响,并制定了结构参数的靴子推论程序。我们的推论方法是统一的,不管战略街坊的大小如何,而且当邻里规模很大时往往表现出强势。我们通过蒙特卡洛模拟来展示方法的有限样本性表现。</s>