Efficiently characterizing games consistent with perturbed equilibrium observations
We study the problem of characterizing the set of games that are consistent with observed equilibrium play, a fundamental problem in econometrics. Our contribution is to develop and analyze a new methodology based on convex optimization to address this problem, for many classes of games and observation models of interest. Our approach provides a sharp, computationally efficient characterization of the extent to which a particular set of observations constrains the space of games that could have generated them. This allows us to solve a number of variants of this problem as well as to quantify the power of games from particular classes (e.g., zero-sum, potential, linearly parameterized) to explain player behavior.
Joint work with Venkat Chandrasekaran and Katrina Ligett.