This dissertation studies econometric analysis of game-theoretic models. I develop novel empirical models and methodologies to facilitate robust and computationally tractable econometric analysis. In Chapter 1, I develop an empirical model for analyzing stable outcomes in the presence of incomplete information. Empirically, many strategic settings are characterized by stable outcomes in which players’ decisions are publicly observed, yet no player takes the opportunity to deviate. To analyze such situations, I build an empirical framework by introducing a novel solution concept that I call Bayes stable equilibrium. The framework allows the researcher to be agnostic about players’ information and the equilibrium selection rule. Furthermore, I show that the Bayes stable equilibrium identified set is always weakly tighter than the Bayes correlated equilibrium identified set; numerical examples show that the shrinkage can be substantial. I propose computationally tractable approaches for estimation and inference and apply the framework to study the strategic entry decisions of McDonald’s and Burger King in the US. In Chapter 2, I study identification and estimation of a class of dynamic games when the underlying information structure is unknown to the researcher. I introduce Markov correlated equilibrium, a dynamic analog of Bayes correlated equilibrium studied in Bergemann and Morris (2016), and show that the set of Markov correlated equilibrium predictions coincides with the set of Markov perfect equilibrium predictions that can arise when the players might observe more signals than assumed by the analyst. I propose an econometric approach for estimating dynamic games with weak assumption on players’ information using Markov correlated equilibrium. I also propose multiple computational strategies to deal with the non-convexities that arise in dynamic environments. In Chapter 3, I propose an extremely fast and simple approach to estimating static discrete games of complete information under pure strategy Nash equilibrium and no assumptions on the equilibrium selection rule. I characterize an identified set of parameters using a set of inequalities that are expressed in terms of closed-form multinomial logit probabilities. The key simplifications arise from using a subset of all identifying restrictions that are particularly easy to handle. Under standard assumptions, the identified set is convex and its projections can be obtained via convex programs. Numerical examples show that the identified set is quite tight. I also propose a simple approach to construct confidence sets whose projections can be obtained via convex programs. I demonstrate the usefulness of the approach using real-world data.

Submitted by Daniel Hoene (daniel-hoene@gmx.de) on 2016-03-17T02:11:14Z No. of bitstreams: 1 Daniel Hoene.pdf: 1204800 bytes, checksum: 80727c04207d47b288a6fb755cda7a16 (MD5) / Rejected by Janete de Oliveira Feitosa (janete.feitosa@fgv.br), reason: Sr. Daniel, boa tarde. Solicitamos nova submissão digital pois na submissão feita não consta a Folha de Assinatura da Banca da defesa. O impresso entregue na Secretaria está correto. Não há necessidade de nova impressa. Aguardamos novo contato quando o senhor tiver feito a nova submissão. Cordialmente, Janete on 2016-04-12T19:41:22Z (GMT) / Submitted by Daniel Hoene (daniel-hoene@gmx.de) on 2016-04-13T21:48:35Z No. of bitstreams: 1 Thesis - Daniel Hoene.pdf: 1513393 bytes, checksum: e3291314873d496efd62f42557f5473f (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2016-04-14T20:03:26Z (GMT) No. of bitstreams: 1 Thesis - Daniel Hoene.pdf: 1513393 bytes, checksum: e3291314873d496efd62f42557f5473f (MD5) / Approved for entry into archive by Maria Almeida (maria.socorro@fgv.br) on 2016-05-09T12:30:31Z (GMT) No. of bitstreams: 1 Thesis - Daniel Hoene.pdf: 1513393 bytes, checksum: e3291314873d496efd62f42557f5473f (MD5) / Made available in DSpace on 2016-05-09T12:34:00Z (GMT). No. of bitstreams: 1 Thesis - Daniel Hoene.pdf: 1513393 bytes, checksum: e3291314873d496efd62f42557f5473f (MD5) Previous issue date: 2016-01-29 / This thesis elaborates the creation of value in private equity and in particular analyzes value creation in 3G Capital’s acquisition of Burger King. In this sense, a specific model is applied that composes value creation into several drivers, in order to answer the question of how value creation can be addressed in private equity investments. Although previous research by Achleitner et al. (2010) introduced a specific model that addresses value creation in private equity, the respective model was neither applied to an individual company, nor linked to indirect drivers that explain the dynamics and rationales for the creation of value. In turn this paper applies the quantitative model to an ongoing private equity investment and thereby provides different extensions to turn the model into a better forecasting model for ongoing investments, instead of only analyzing a deal that has already been divested from an ex post perspective. The chosen research approach is a case study about the Burger King buyout that first includes an extensive review about the current status of academic literature, second a quantitative calculation and qualitative interpretation of different direct value drivers, third a qualitative breakdown of indirect drivers, and lastly a recapitulating discussion about value creation and value drivers. Presenting a very successful private equity investment and elaborately demonstrating the dynamics and mechanisms that drive value creation in this case, provides important implications for other private equity firms as well as public firms in order to develop their proprietary approach towards value creation.

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