Small sample properties are of fundamental interest when only limited data is available. Exact inference is limited by … propose to evaluate a test by comparing its type II error to the minimal type II error among all tests for the given sample …. Game theory is used to establish this minimal type II error, the associated randomized test is characterized as part of a …

Building on the sequential identification result of Aguirregabiria and Mira (2019), this paper develops estimation and … inference procedures for static games of incomplete information with payoff‐relevant unobserved heterogeneity and multiple … equilibria. With payoff‐relevant unobserved heterogeneity, sequential estimation and inference face two main challenges: the …

novel statistical test that is valid and show, via Monte Carlo simulations, that it is more powerful against the alternative …

This paper studies the identification of a simultaneous equation model involving duration measures. It proposes a game …

This paper studies the identification of a simultaneous equation model involving duration measures. It proposes a game …

test for the presence of such influences which is robust to multiple equilibria. Second, we provide conditions under which …This paper studies inference in a continuous time game where an agent's decision to quit an activity depends on the …