This paper deals with identification of discrete games of incomplete information when we allow for three types of unobservables: payoff‐relevant variables, both players' private information and common knowledge, and nonpayoff‐relevant variables that determine the selection between multiple...

This paper presents a hybrid genetic algorithm to obtain maximum likelihood estimates of parameters in structural econometric models with multiple equilibria. The algorithm combines a pseudo maximum likelihood (PML) procedure with a genetic algorithm (GA). The GA searches globally over the large...

This paper reviews methods for the estimation of dynamic discrete choice structural models and discusses related econometric issues. We consider single-agent models, competitive equilibrium models and dynamic games. The methods are illustrated with descriptions of empirical studies which have...

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...