Skip to main content
Article thumbnail
Location of Repository

Asymptotic least squares estimators for dynamic games

By Martin Pesendorfer and Philipp Schmidt-Dengler

Abstract

This paper considers the estimation problem in dynamic games with finite actions. we derive the equation system that characterizes the markovian equilibria. the equilibrium equation system enables us to characterize conditions for identification. we consider a class of asymptotic least squares estimators defined by the equilibrium conditions. this class provides a unified framework for a number of well-known estimators including those by Hotz and Miller (1993) and by Aguirregabiria and Mira (2002). We show that these estimators differ in the weight they assign to individual equilibrium conditions. We derive the efficient weight matrix. A Monte Carlo study illustrates the small sample performance and computational feasibility of alternative estimators

Topics: H Social Sciences (General), HB Economic Theory
Publisher: Oxford University Press
Year: 2008
DOI identifier: 10.1111/j.1467-937X.2008.00496.x
OAI identifier: oai:eprints.lse.ac.uk:19478
Provided by: LSE Research Online
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://restud.oxfordjournals.o... (external link)
  • http://eprints.lse.ac.uk/19478... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.