Sequential Estimation of Dynamic Discrete Games: A Comment

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. Copyright 2010 The Econometric Society.

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Year of publication:	2010
Authors:	Pesendorfer, Martin ; Schmidt-Dengler, Philipp
Published in:	Econometrica. - Econometric Society. - Vol. 78.2010, 2, p. 833-842
Publisher:	Econometric Society

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008470787