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.
|Date of creation:||05 Feb 2004|
|Date of revision:|
|Note:||Type of Document - pdf; prepared on Scientific Word; pages: 4; figures: 0|
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- 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.
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- repec:cup:cbooks:9780521477444 is not listed on IDEAS
- 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.
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