Estimation of Discrete Games with Correlated Types

This paper focuses on the identification and estimation of static games of incomplete information with correlated types. Instead of making the (conditional) independence assumption on players' types to simplify the equilibria set, I establish a method that allows to identify subsets of the space of covariates (i.e. publicly observed state variables in payoff functions), for which there exists a unique Bayesian Nash Equilibrium (BNE) and the equilibrium strategies are monotone functions. The unique monotone pure strategy BNE can be characterized in a simple manner, based on which I propose an estimation procedure exploiting the information contained in the subset of the covariate space, and establish the consistency and the limiting distribution of the estimator.