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RE: st: Quantal Response Equilibrium with Stata


From   "Verkuilen, Jay" <JVerkuilen@gc.cuny.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Quantal Response Equilibrium with Stata
Date   Mon, 3 Dec 2007 12:43:17 -0500

Massimo Castro wrote:

>>As promptly suggested (thanks Carlo!), I better add some more 
information regarding the Quantal Response Equilibrium application I am 
dealing with.<<

I haven't read any of this stuff in a while but seem to recall that
McKelvey's QRE was a multinomial logit model of some sort. It probably
has some funny stuff due to the dependent nature of game theory models
and thus will require a mixed specification. If so, you will have to use
GLLAMM or else switch to a multivariate normal model and use multinomial
probit, assuming the subjects have a finite choice set. (Alternatively,
look at proc mdc in SAS.) I toyed around with McKelvey's Gambit software
to solve games by QRE a few years ago but this wasn't a parameter
estimation method. 

I'd check with people doing behavioral game theory to see what they're
using.

Jay (not really a behavioral decision making person but can, and, in
fact did once, play one on TV...) 
--
J. Verkuilen
Assistant Professor of Educational Psychology
City University of New York-Graduate Center
365 Fifth Ave.
New York, NY 10016
Email: jverkuilen@gc.cuny.edu
Office: (212) 817-8286 
FAX: (212) 817-1516
Cell: (217) 390-4609

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