Premium
Sequential Estimation of Dynamic Discrete Games: A Comment
Author(s) -
Pesendorfer Martin,
SchmidtDengler Philipp
Publication year - 2010
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.3982/ecta7633
Subject(s) - estimation , mathematical economics , sequential game , computer science , economics , econometrics , mathematics , mathematical optimization , game theory , management
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.