Sequential Estimation of Dynamic Discrete Games: A Comment
成果类型：
Article
署名作者：
Pesendorfer, Martin; Schmidt-Dengler, Philipp
署名单位：
University of London; London School Economics & Political Science
刊物名称：
ECONOMETRICA
ISSN/ISSBN：
0012-9682
DOI：
10.3982/ECTA7633
发表日期：
2010
页码：
833-842
关键词：
摘要：
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.
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