Pesendorfer, Martin and Schmidt-Dengler, Philipp (2010) Sequential estimation of dynamic discrete games: a comment. Econometrica, 78 (2). pp. 833-842. ISSN 1468-0262
Abstract
Recursive procedures which are based on iterating on the best response mapping have difficulties converging to all equilibria in multi-player games. We illustrate these difficulties by revisiting the asymptotic properties of the iterative nested pseudo maximum likelihood method for estimating dynamic games introduced by Aguirregabiria and Mira (2007). An example shows that the iterative method may not be consistent.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.econometricsociety.org/ |
| Additional Information: | © 2010 John Wiley & Sons |
| Uncontrolled Keywords: | ISI, dynamic discrete games, multiple equilibria, pseudo maximum likelihood estimation, recursive methods |
| Library of Congress subject classification: | Q Science > QA Mathematics |
| Sets: | Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) Departments > Economics |
| Rights: | http://www.lse.ac.uk/library/collections/folder/LSERO.aspx |
| Identification Number: | UT ISI:000276508500016 |
| Date Deposited: | 19 May 2010 11:59 |
| URL: | http://eprints.lse.ac.uk/28015/ |
Actions (login required)
 |
Record administration - authorised staff only |
