Sequential Estimation of Dynamic Discrete Games
نویسندگان
چکیده
منابع مشابه
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...
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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 ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.556917