Estimating Sequential-move Games by a Recursive Conditioning Simulator

Shiko Maruyama

No 2009-01, Discussion Papers from School of Economics, The University of New South Wales

Abstract: Sequential decision-making is a noticeable feature of strategic interactions among agents. The full estimation of sequential games, however, has been challenging due to the sheer computational burden, especially when the game is large and asymmetric. In this paper, I propose an estimation method for discrete choice sequential games that is computationally feasible, easy-to-implement, and e¢ cient, by modifying the Geweke-Hajivassiliou-Keane (GHK) simulator, the most widely used probit simulator. I show that the recursive nature of the GHK simulator is easily dovetailed with the sequential structure of strategic interactions.

Pages: 31 pages
Date: 2009-01
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-gth
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Citations: View citations in EconPapers (4)

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