Sequential Estimation of Dynamic Discrete Games

@inproceedings{Aguirregabiria2004SequentialEO,
  title={Sequential Estimation of Dynamic Discrete Games},
  author={Victor Aguirregabiria and Pedro Mira},
  year={2004}
}
This paper studies the estimation of dynamic discrete games of incomplete information. Two main econometric issues appear in the estimation of these models: the indeterminacy problem associated with the existence of multiple equilibria, and the computational burden in the solution of the game. We propose a class of pseudo maximum likelihood (PML) estimators that deals with these problems and we study the asymptotic and finite sample properties of several estimators in this class. We first focus… CONTINUE READING

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