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

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  • Victor Aguirregabiria

    (Boston University)

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://128.118.178.162/eps/em/papers/0402/0402003.pdf
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Bibliographic 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://128.118.178.162

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References

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  1. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444, April.
  2. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
  3. 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 332, Society for Computational Economics.
  4. Brock,W.A. & Durlauf,S.N., 2000. "Discrete choice with social interactions," Working papers 7, Wisconsin Madison - Social Systems.
  5. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521405515, April.
  6. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626, April.
  7. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451, April.
  8. repec:att:wimass:9106 is not listed on IDEAS
  9. Victor Aguirregabiria & Pedro Mira, 2004. "Sequential Estimation of Dynamic Discrete Games," Industrial Organization 0406006, EconWPA.
  10. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
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Cited by:
  1. Giorgio Topa & Elizabeth Setren & Meta Brown, 2011. "Do Referrals Lead to Better Matches? Evidence from a Firm's Employee," 2011 Meeting Papers 711, Society for Economic Dynamics.
  2. Elpianna Emmanouilidi, 2012. "Estimation Of A Discrete-Choice Model With Spatial Interactions The Case Of Deforestation In Western Attica Between 1990 And 2000," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(3), pages 69-83, December.
  3. Alberto Bisin & Andrea Moro & Giorgio Topa, 2011. "The Empirical Content of Models with Multiple Equilibria in Economies with Social Interactions," NBER Working Papers 17196, National Bureau of Economic Research, Inc.
  4. Sanjog Misra, 2013. "Markov chain Monte Carlo for incomplete information discrete games," Quantitative Marketing and Economics, Springer, vol. 11(1), pages 117-153, March.
  5. repec:hrs:journl::y:2012:v:4:i:3:p:69-83 is not listed on IDEAS
  6. Victor, Aguirregabiria, 2009. "A Method for Implementing Counterfactual Experiments in Models with Multiple Equilibria," MPRA Paper 17805, University Library of Munich, Germany.
  7. Nathan Yang, 2011. "An Empirical Model of Industry Dynamics with Common Uncertainty and Learning from the Actions of Competitors," Working Papers 11-16, NET Institute.

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