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

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  • Aguirregabiria, Victor

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

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References

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  1. Junichi Suzuki, 2013. "Land Use Regulation As A Barrier To Entry: Evidence From The Texas Lodging Industry," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(2), pages 495-523, 05.
  2. David Besanko & Ulrich Doraszelski, 2002. "Capacity Dynamics and Endogenous Asymmetries in Firm Size," Computing in Economics and Finance 2002, Society for Computational Economics 196, Society for Computational Economics.
  3. Victor Aguirregabiria & Pedro Mira, 2004. "Sequential Estimation Of Dynamic Discrete Games," Working Papers, CEMFI wp2004_0413, CEMFI.
  4. Victor Aguirregabiria & Cesar Alonso-Borrego, 2014. "Labor Contracts And Flexibility: Evidence From A Labor Market Reform In Spain," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 52(2), pages 930-957, 04.
  5. Stephen P. Ryan, 2012. "The Costs of Environmental Regulation in a Concentrated Industry," Econometrica, Econometric Society, Econometric Society, vol. 80(3), pages 1019-1061, 05.
  6. De Pinto, Alessandro & Nelson, Gerald C., 2006. "Modeling Deforestation and Land Use Change: Sparse Data Environments," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists 25723, International Association of Agricultural Economists.
  7. Ben Tomlin, 2010. "Exchange Rate Fluctuations, Plant Turnover and Productivity," Working Papers, Bank of Canada 10-18, Bank of Canada.
  8. Rocío Sánchez-Mangas, 2002. "Pseudo-Maximum Likelihood Estimation Of A Dynamic Structural Investment Model," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws026218, Universidad Carlos III, Departamento de Estadística y Econometría.
  9. Ellickson, Paul & Misra, Sanjog, 2006. "Supermarket Pricing Strategies," Working Papers, Duke University, Department of Economics 06-02, Duke University, Department of Economics.
  10. Szabolcs Lorincz, 2005. "Persistence Effects in a Dynamic Discrete Choice Model - Application to Low-End Computer Servers," IEHAS Discussion Papers, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences 0510, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  11. Aguirregabiria, Victor & Ho, Chun-Yu, 2009. "A Dynamic Oligopoly Game of the US Airline Industry: Estimation and Policy Experiments," MPRA Paper, University Library of Munich, Germany 16739, University Library of Munich, Germany.
  12. Han, Lu & Hong, Seung-Hyun, 2011. "Testing Cost Inefficiency Under Free Entry in the Real Estate Brokerage Industry," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 29(4), pages 564-578.
  13. Victor Aguirregabiria & Pedro Mira, 1999. "Swapping the Nested Fixed-Point Algorithm: a Class of Estimators for Discrete Markov Decision Models," Computing in Economics and Finance 1999, Society for Computational Economics 332, Society for Computational Economics.
  14. 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, European Association of Environmental and Resource Economists, vol. 43(2), pages 209-229, June.
  15. Kasahara, Hiroyuki & Shimotsu, Katsumi, 2008. "Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models," Journal of Econometrics, Elsevier, Elsevier, vol. 146(1), pages 92-106, September.
  16. Toivanen, O. & Waterson, M., 2001. "Market Structure and Entry: Where's the Beef?," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 593, University of Warwick, Department of Economics.
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Cited by:
  1. Naoaki Minamihashi, 2012. "Natural Monopoly and Distorted Competition: Evidence from Unbundling Fiber-Optic Networks," Working Papers, Bank of Canada 12-26, Bank of Canada.
  2. Kosová, Renáta & Lafontaine, Francine, 2012. "Much ado about chains: A research agenda," International Journal of Industrial Organization, Elsevier, Elsevier, vol. 30(3), pages 303-308.

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