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

  • Victor Aguirregabiria

    (Boston University)

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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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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References listed on IDEAS
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  1. Victor Aguirregabiria & Pedro Mira, 2004. "Sequential Estimation Of Dynamic Discrete Games," Working Papers wp2004_0413, CEMFI.
  2. Brock,W.A. & Durlauf,S.N., 2000. "Discrete choice with social interactions," Working papers 7, Wisconsin Madison - Social Systems.
  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. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
  5. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
  6. repec:cup:cbooks:9780521477451 is not listed on IDEAS
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  8. repec:cup:cbooks:9780521477444 is not listed on IDEAS
  9. repec:att:wimass:9106 is not listed on IDEAS
  10. repec:cup:cbooks:9780521405515 is not listed on IDEAS
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