Sequential Estimation of Dynamic Discrete Games : A Comment ∗

@inproceedings{Pesendorfer2009SequentialEO,
  title={Sequential Estimation of Dynamic Discrete Games : A Comment ∗},
  author={Martin Pesendorfer and Philipp Schmidt-Dengler},
  year={2009}
}
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 from the true parameter value with probability approaching one. Example. Consider a repeated game with… CONTINUE READING
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