Generalized Maximum Entropy Estimation of Discrete Sequential Move Games of Perfect Information

Yafeng Wang and Brett Graham

No 2013-10-14, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Abstract: We propose a data-constrained generalized maximum entropy estimator for discrete sequential move games of perfect information. Unlike most other work on the estimation of complete information games, the method we proposed is data constrained and requires o simulation or assumptions about the distribution of random preference shocks. We formulate the GME estimation as a (convex) mixed-integer nonlinear optimization problem which can be easily implemented on optimization software with high-level interfaces such as GAMS. The model is identified with only weak scale and location normalizations. Monte Carlo evidence demonstrates that the estimator can perform well in moderately size samples. As an application we study the location choice of German siblings using the German Ageing Survey.

Keywords: Game-Theoretic Econometric Models; Sequential-Move Game; Generalized ，Maximum Entropy; Mixed-Integer Nonlinear Programming. (search for similar items in EconPapers)
JEL-codes: C01 C13 C35 C51 C72 (search for similar items in EconPapers)
Date: 2013-10-14
New Economics Papers: this item is included in nep-gth
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