Kyoo il Kim is a job candidate for our open position as a micro-econometrician.He is from University of California, Los Angeles, and will be here Friday 27 January. His job talk will take place in Savery 302 at 2.00 PM. Title and abstract are below:
Semiparametric Estimation of Signaling Games
ABSTRACT: This paper studies an econometric modeling of a signaling game with two players where one player has two types. In particular, we develop an estimation strategy that identifies the payoffs structure and the distribution of types from data of observed actions. We can achieve uniqueness of equilibrium using a refinement, which enables us to identify the parameters of interest. In the game, we consider non-strategic public signals about the types. Since the mixing distribution of these signals are nonparametrically specified, we estimate the model using a sieve conditional MLE or a sieve minimum distance estimation. In both methods, we achieve the consistency and the root n-asymptotic normality of the structural parameter estimates. As an alternative, we allow for the possibility of multiple equilibria, without using an equilibrium selection rule. As a consequence, we adopt a set inference allowing for multiplicity of equilibria. Then, we illustrate an empirical example of a signaling game between publicly traded firms and investors where firms have one of two types: market leader or follower. In this game, firms signal their types through strategic emphasis on R&D or market spending. The estimation result suggests that defining a leader firm in terms of R&D spending without consideration of strategic behaviors can be misleading.