Simulation Based Estimation of Discrete Sequential Move Games of Perfect Information

Simulation Based Estimation of Discrete Sequential Move Games of Perfect Information

We propose simulation based estimation for discrete sequential move games of perfect information which relies on the simulated moments and importance sampling. We use importance sampling techniques not only to reduce computational burden and simulation error, but also to overcome non-smoothness problems. The model is identified with only weak scale and location normalizations, monte Carlo evide...

Generalized Maximum Entropy estimation of discrete sequential move games of perfect information

We propose a data-constrained generalized maximum entropy estimator for discrete sequential move games of perfect information. Unlike most other work on the estimation of complete information games, the method we proposed is data constrained and requires no simulation or assumptions about the distribution of random preference shocks. We formulate the GME estimation as a (convex) mixed-integer n...

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 ...

Games with Perfect Information