Pseudo maximum likelihood estimation of structural models involving fixed-point problems
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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References listed on IDEAS
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- Rust, J., 1991. "Estimation of dynamic Structural Models: Problems and Prospects Part I : Discrete Decision Processes," Working papers 9106, Wisconsin Madison - Social Systems.
- Brock, William A & Durlauf, Steven N, 2001.
"Discrete Choice with Social Interactions,"
Review of Economic Studies,
Wiley Blackwell, vol. 68(2), pages 235-60, April.
- Victor Aguirregabiria & Pedro Mira, 2002.
"Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models,"
Econometric Society, vol. 70(4), pages 1519-1543, July.
- 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.
- Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
- Victor Aguirregabiria & Pedro Mira, 2004.
"Sequential Estimation Of Dynamic Discrete Games,"
- repec:cup:cbooks:9780521405515 is not listed on IDEAS
- Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
- repec:cup:cbooks:9780521477451 is not listed on IDEAS
- repec:cup:cbooks:9780521471626 is not listed on IDEAS
- repec:cup:cbooks:9780521477444 is not listed on IDEAS
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