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Asymptotic least squares estimators for dynamic games

Pesendorfer, Martin and Schmidt-Dengler, Philipp (2008) Asymptotic least squares estimators for dynamic games. Review of Economic Studies, 75 (3). 901 -928. ISSN 1467-937X

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Abstract

This paper considers the estimation problem in dynamic games with finite actions. we derive the equation system that characterizes the markovian equilibria. the equilibrium equation system enables us to characterize conditions for identification. we consider a class of asymptotic least squares estimators defined by the equilibrium conditions. this class provides a unified framework for a number of well-known estimators including those by Hotz and Miller (1993) and by Aguirregabiria and Mira (2002). We show that these estimators differ in the weight they assign to individual equilibrium conditions. We derive the efficient weight matrix. A Monte Carlo study illustrates the small sample performance and computational feasibility of alternative estimators.

Item Type: Article
Official URL: http://restud.oxfordjournals.org/
Additional Information: © 2008 The Review of Economic Studies Limited
Library of Congress subject classification: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory > C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
Sets: Collections > Economists Online
Departments > Economics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 17 Jul 2008 09:53
URL: http://eprints.lse.ac.uk/19478/

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