Estimation of Finite Sequential Games

Estimation of Finite Sequential Games

I propose a new estimation method for …nite sequential games that is e¢ cient, computationally attractive, and applicable to a fairly general class of …nite sequential games that is beyond the scope of existing studies. The major challenge is computation of high-dimensional truncated integration whose domain is complicated by strategic interaction. This complication resolves when unobserved o¤-...

Sequential Estimation of Dynamic Discrete Games by Victor Aguirregabiria

This paper studies the estimation of dynamic discrete games of incomplete information. Two main econometric issues appear in the estimation of these models: the indeterminacy problem associated with the existence of multiple equilibria and the computational burden in the solution of the game. We propose a class of pseudo maximum likelihood (PML) estimators that deals with these problems, and we...

Sequential Estimation of Dynamic Discrete Games: A Comment∗

Aguirregabiria and Mira (2007), henceforth AM (2007), study pseudo maximum likelihood estimators of dynamic games and propose an iterative nested pseudo maximum likelihood method. This comment revisits the asymptotic properties of the sequential method. We illustrate that the method may not be consistent. We provide an example in which the sequential method converges to a fixed number distinct ...

Sequential commitment games

We study an implementation problem of Pareto efficiency as a subgame perfect equilibrium outcome in extensive form games, faced by a mediator who is ignorant about the payoff structure of the game. We introduce a novel class of sequential commitment games, where players make voluntary unconditional commitments in a prescribed order. Our main result is surprisingly positive: We show that a parti...

Games and Sequential Algorithms