SEQUENTIAL ESTIMATION OF DYNAMIC DISCRETE GAMES英文精品课件.pdfVIP

Econometrica , Vol. 75, No. 1 (January, 2007), 1–53 SEQUENTIAL ESTIMATION OF DYNAMIC DISCRETE GAMES BY VICTOR AGUIRREGABIRIA AND PEDRO MIRA1 This paper studies the estimation of dynamic discrete games of incomplete informa- tion. Two main econometric issues appear in the estimation of these models: the inde- terminacy problem associated with the existence of multiple equilibria and the compu- tational 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 asymp- totic and finite sample properties of several estimators in this class. We first focus on two-step PML estimators, which, although they are attractive for their computational simplicity, have some important limitations: they are seriously biased in small samples; they require consistent nonparametric estimators of players’ choice probabilities in the first step, which are not always available; and they are asymptotically inefficient. Sec- ond, we show that a recursive extension of the two-step PML, which we call nested pseudo likelihood (NPL), addresses those drawbacks at a relatively small additional computational cost. The NPL estimator is particularly useful in applications where con- sistent nonparametric estimates of choice probabilities either are not available or are very imprecise, e.g., models with permanent unobserved heterogeneity. Finally, we il- lustrate these methods in Monte Carlo experiments and in an empirical application to a model of firm entry and exit in oligopoly markets using Chilean data from several retail industries. KEYWORDS: Dynamic discrete games, multiple equilibria, pseudo maximum likeli- hood estimation, entry and exit in oligopoly markets.