Abstract
The traditional econometrics approach for inferring properties of strategic interactions that are not fully observable in the data, heavily relies on the assumption that the observed strategic behavior has settled at an equilibrium. This assumption is not robust in complex economic environments such as online markets where players are typically unaware of all the parameters of the game in which they are participating, but rather only learn their utility after taking an action. Behavioral models from online learning theory have recently emerged as an attractive alternative to the equilibrium assumption and have been extensively analyzed from a theoretical standpoint in the algorithmic game theory literature over the past decade. In this talk I will present recent work, in which we take a learning agent approach to econometrics, i.e. infer properties of the game, such as private valuations or efficiency of allocation, by only assuming that the observed repeated behavior is the outcome of a no-regret learning algorithm, rather than a static equilibrium. I will also present some empirical results from applying our methods to datasets from Microsoft’s sponsored search auction system.