Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jul, 2020, Volume 88, Issue 4

Statistical Inference in Games
p. 1725-1752

Yuval Salant, Josh Cherry

We consider statistical inference in games. Each player obtains a small random sample of other players' actions, uses statistical inference to estimate their actions, and chooses an optimal action based on the estimate. In a sampling equilibrium with statistical inference (SESI), the sample is drawn from the distribution of players' actions based on this process. We characterize the set of SESIs in large two‐action games, and compare their predictions to those of Nash equilibrium, and for different sample sizes and statistical inference procedures. We then study applications to competitive markets, markets with network effects, monopoly pricing, and search and matching markets.

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Supplemental Material

Supplement to "Statistical Inference in Games"

This supplement extends the definitions of the main text to games with more than two actions, provides an equilibrium existence result, and solves an example.

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