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Pseudo Maximum Likelihood Estimation of Structural Models Involving Fixed-Point Problems

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Author Info
Victor Aguirregabiria (Boston University)

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Abstract

This paper deals with the estimation of structural econometric models where the probability distribution of endogenous variables is implicitly defined as an equilibrium of a fixed-point problem. It proposes a pseudo maximum likelihood procedure and studies its asymptotic properties.

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File URL: http://129.3.20.41/eps/em/papers/0402/0402003.pdf
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0402003.

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Length: 4 pages
Date of creation: 05 Feb 2004
Date of revision:
Handle: RePEc:wpa:wuwpem:0402003

Note: Type of Document - pdf; prepared on Scientific Word; pages: 4; figures: 0
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Web page: http://129.3.20.41

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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

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References listed on IDEAS
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  1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
  2. repec:att:wimass:19916 is not listed on IDEAS
  3. 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)
    Other versions:
  4. Brock, William A & Durlauf, Steven N, 2001. "Discrete Choice with Social Interactions," Review of Economic Studies, Blackwell Publishing, vol. 68(2), pages 235-60, April.
  5. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
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