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

Author

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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.

Suggested Citation

  • Victor Aguirregabiria, 2004. "Pseudo Maximum Likelihood Estimation of Structural Models Involving Fixed-Point Problems," Econometrics 0402003, EconWPA.
  • Handle: RePEc:wpa:wuwpem:0402003
    Note: Type of Document - pdf; prepared on Scientific Word; pages: 4; figures: 0
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    File URL: http://econwpa.repec.org/eps/em/papers/0402/0402003.pdf
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    References listed on IDEAS

    as
    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. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626, May.
    3. William A. Brock & Steven N. Durlauf, 2001. "Discrete Choice with Social Interactions," Review of Economic Studies, Oxford University Press, vol. 68(2), pages 235-260.
    4. Rust, J., 1991. "Estimation of dynamic Structural Models: Problems and Prospects Part I : Discrete Decision Processes," Working papers 9106, Wisconsin Madison - Social Systems.
    5. Victor Aguirregabiria & Pedro Mira, 2007. "Sequential Estimation of Dynamic Discrete Games," Econometrica, Econometric Society, vol. 75(1), pages 1-53, January.
    6. 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.
    7. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Aguirregabiria, Victor, 2012. "A method for implementing counterfactual experiments in models with multiple equilibria," Economics Letters, Elsevier, vol. 114(2), pages 190-194.
    2. Alberto Bisin & Andrea Moro & Giorgio Topa, 2011. "The empirical content of models with multiple equilibria in economies with social interactions," Staff Reports 504, Federal Reserve Bank of New York.
    3. 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.
    4. Sanjog Misra, 2013. "Markov chain Monte Carlo for incomplete information discrete games," Quantitative Marketing and Economics (QME), 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. 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.
    7. 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.

    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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