Semi-Empirical Likelihood Estimation of Manufacturing Interaction-Based Model with Asymmetric Information

A semi-empirical likelihood estimator is proposed for models where agents interact under asymmetric information. The methodology focuses on situations where some variables that were privately observed when choices were made become available to the econometrician afterwards. This variables are assumed to have a finite support. The main feature of the estimator is that structural parameters, beliefs and unknown probability distribution function of these privately observed variables are estimated simultaneously under the assumption that observed outcomes are the result of a Bayesian-Nash Equilibrium. The methodology is applied to three-actions and three-types of agents. Firms decide to be aggressive, neutral or passive in their investment decision. Estimation shows a significant component of strategic interaction in the case of small and medium size (type) of firms. Interaction is more significant to small firms than the others.