Sequential estimation of dynamic discrete games: a comment

Pesendorfer, Martin ORCID: 0000-0002-0547-8711 and Schmidt-Dengler, Philipp (2010) Sequential estimation of dynamic discrete games: a comment. Econometrica, 78 (2). pp. 833-842. ISSN 0012-9682

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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
Divisions:	STICERD Economics
Subjects:	Q Science > QA Mathematics
Date Deposited:	19 May 2010 11:59
Last Modified:	09 May 2025 14:40
URI:	http://eprints.lse.ac.uk/id/eprint/28015

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