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Abstract

We propose simulation based estimation for discrete sequential move games of perfect information which relies on the simulated moments and importance sampling. We use importance sampling techniques not only to reduce computational burden and simulation error, but also to overcome non-smoothness problems. The model is identified with only weak scale and location normalizations, monte Carlo evidence demonstrates that the estimator can perform well in moderately-sized samples.

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File URL: http://mpra.ub.uni-muenchen.de/23153/
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File URL: http://mpra.ub.uni-muenchen.de/23398/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 23153.

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Date of creation: 08 Jul 2010
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Handle: RePEc:pra:mprapa:23153

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Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
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Related research

Keywords: Game-Theoretic Econometric Models; Sequential-Move Game; Method of Simulated Moments; Importance Sampling; Conditional Moment Restrictions.;

Find related papers by JEL classification:

• C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
• C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
• C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
• C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games

This paper has been announced in the following NEP Reports:

• NEP-ALL-2010-06-18 (All new papers)
• NEP-ECM-2010-06-18 (Econometrics)
• NEP-GTH-2010-06-18 (Game Theory)

References

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