| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14007 |
| DP14007 Imposing Equilibrium Restrictions in the Estimation of Dynamic Discrete Games | |
| Victor Aguirregabiria; Mathieu Marcoux | |
| 发表日期 | 2019-09-18 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Imposing equilibrium restrictions provides substantial gains in the estimation of dynamic discrete games. Estimation algorithms imposing these restrictions -- MPEC, NFXP, NPL, and variations -- have different merits and limitations. MPEC guarantees local convergence, but requires the computation of high-dimensional Jacobians. The NPL algorithm avoids the computation of these matrices, but -- in games -- may fail to converge to the consistent NPL estimator. We study the asymptotic properties of the NPL algorithm treating the iterative procedure as performed in finite samples. We find that there are always samples for which the algorithm fails to converge, and this introduces a selection bias. We also propose a spectral algorithm to compute the NPL estimator. This algorithm satisfies local convergence and avoids the computation of Jacobian matrices. We present simulation evidence illustrating our theoretical results and the good properties of the spectral algorithm. |
| 主题 | Industrial Organization |
| 关键词 | Dynamic discrete games Convergence Convergence selection bias Nested pseudo-likelihood Spectral algorithms |
| URL | https://cepr.org/publications/dp14007 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542889 |
| 推荐引用方式 GB/T 7714 | Victor Aguirregabiria,Mathieu Marcoux. DP14007 Imposing Equilibrium Restrictions in the Estimation of Dynamic Discrete Games. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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