关键词: 连续策略博弈, 两阶段估计方法, 非参数分位数回归, 模拟最小距离估计

Abstract: Recent developments in empirical game research provide useful tools for analysis of strategic interactions in market, policy recommendations, and counterfactual experiments. This article proposes an estimator for incomplete game with continuous actions, which copes with the influence of private information. It consists of two steps. In the first step, the strategy function and expected payoff function are estimated by nonparametric quantile regression. In the second step, the structure parameter is estimated by simulated minimum distance method. Numerical simulations are used to demonstrate the finite sample properties of the two-step estimator. This algorithm does not need to compute the equilibrium, thus alleviating computing burden. It could be used in both discrete and continuous state games.

Key words: Continuous, Action, Game, Two-step, Estimation, Nonparametric, Quantile, Regression, Simulated, Minimum, Distance, Estimation