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Estimation of Dynamic Discrete Games Using the Nested Pseudo Likelihood Algorithm: Code and Application

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Author Info
Aguirregabiria, Victor

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Abstract

This document describes program code for the solution and estimation of dynamic discrete games of incomplete information using the Nested Pseudo Likelihood (NPL) method in Aguirregabiria and Mira (2007). The code is illustrated using a dynamic game of store location by retail chains, and actual data from McDonalds and Burger King.

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File URL: http://mpra.ub.uni-muenchen.de/17329/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17329.

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Date of creation: 15 Sep 2009
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Handle: RePEc:pra:mprapa:17329

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Related research
Keywords: Estimation of Dynamic Games; Nested Pseudo Likelihood Algorithm; Program Code;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Otto Toivanen & Michael Waterson, 2005. "Market Structure and Entry: Where's the Beef?," RAND Journal of Economics, The RAND Corporation, vol. 36(3), pages 680-699, Autumn.
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  2. Alessandro Pinto & Gerald C. Nelson, 2009. "Land Use Change with Spatially Explicit Data: A Dynamic Approach," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 43(2), pages 209-229, June. [Downloadable!] (restricted)
  3. Szabolcs Lorincz, 2005. "Persistence Effects in a Dynamic Discrete Choice Model - Application to Low-End Computer Servers," IEHAS Discussion Papers 0510, Institute of Economics, Hungarian Academy of Sciences. [Downloadable!]
  4. Victor Aguirregabiria & Pedro Mira, 2007. "Sequential Estimation of Dynamic Discrete Games," Econometrica, Econometric Society, vol. 75(1), pages 1-53, 01. [Downloadable!] (restricted)
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  5. Victor Aguirregabiria & Cesar Alonso-Borrego, 2009. "Labor contracts and flexibility : evidence from a labor market reform in Spain," Economics Working Papers we091811, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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  6. David Besanko & Ulrich Doraszelski, 2004. "Capacity Dynamics and Endogenous Asymmetries in Firm Size," RAND Journal of Economics, The RAND Corporation, vol. 35(1), pages 23-49, Spring.
    Other versions:
  7. Kasahara, Hiroyuki & Shimotsu, Katsumi, 2008. "Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models," Journal of Econometrics, Elsevier, vol. 146(1), pages 92-106, September. [Downloadable!] (restricted)
  8. Victor Aguirregabiria & Pedro Mira, 2002. "Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models," Econometrica, Econometric Society, vol. 70(4), pages 1519-1543, July. [Downloadable!] (restricted)
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  9. Aguirregabiria, Victor & Ho, Chun-Yu, 2009. "A Dynamic Oligopoly Game of the US Airline Industry: Estimation and Policy Experiments," MPRA Paper 16739, University Library of Munich, Germany. [Downloadable!]
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  10. Alessandro De Pinto & Gerald C. Nelson, 2007. "Modelling Deforestation and Land-Use Change: Sparse Data Environments," Journal of Agricultural Economics, Blackwell Publishing, vol. 58(3), pages 502-516, 09. [Downloadable!] (restricted)
    Other versions:
  11. Rocío Sánchez-Mangas, 2002. "Pseudo-Maximum Likelihood Estimation Of A Dynamic Structural Investment Model," Statistics and Econometrics Working Papers ws026218, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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