A Genetic Algorithm for the Structural Estimation of Games with Multiple Equilibria

Victor Aguirregabiria () and Pedro Mira ()
Additional contact information
Pedro Mira: Centro de Estudios Monetarios y Financieros (CEMFI)

No WP2005-001, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics

Abstract: This paper proposes an algorithm to obtain maximum likelihood estimates of structural parameters in discrete games with multiple equilibria. The method combines a genetic algorithm (GA) with a pseudo maximum likelihood (PML) procedure. The GA searches efficiently over the huge space of possible combinations of equilibria in the data. The PML procedure avoids the repeated computation of equilibria for each trial value of the parameters of interest. To test the ability of this method to get maximum likelihood estimates, we present a Monte Carlo experiment in the context of a game of price competition and collusion.

Keywords: Empirical games; Maximum likelihood estimation; Multiple equilibria; Genetic algorithms (search for similar items in EconPapers)
JEL-codes: C13 C35 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-gth
Date: 2005-01

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=675881 (application/pdf)

Related works:
Working Paper: A Genetic Algorithm for the Structural Estimation of Games with Multiple Equilibria (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bos:wpaper:wp2005-001

Access Statistics for this paper

More papers in Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics
Contact information at EDIRC.
Series data maintained by Ashley Seamans ().