  This paper develops a non-parametric test for consistency of players'
behavior in a series of games with the Quantal Response Equilibrium (QRE). The
test exploits a characterization of the equilibrium choice probabilities in any
structural QRE as the gradient of a convex function, which thus satisfies the
cyclic monotonicity inequalities. Our testing procedure utilizes recent
econometric results for moment inequality models. We assess our test using lab
experimental data from a series of generalized matching pennies games. We
reject the QRE hypothesis in the pooled data, but it cannot be rejected in the
individual data for over half of the subjects.
