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Sequential estimation of dynamic discrete games: a comment

Pesendorfer, Martin and Schmidt-Dengler, Philipp (2010) Sequential estimation of dynamic discrete games: a comment. Econometrica, 78 (2). pp. 833-842. ISSN 1468-0262

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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
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/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: UT ISI:000276508500016
Date Deposited: 19 May 2010 11:59
URL: http://eprints.lse.ac.uk/28015/

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