Jacobian-free Efficient Pseudo-Likelihood (EPL) algorithm

Takeshi Fukasawa

Economics Letters, 2025, vol. 247, issue C

Abstract: This study proposes a simple procedure for computing Efficient Pseudo Likelihood (EPL) estimator (Dearing and Blevins, 2024) for estimating dynamic discrete games, without computing Jacobians of equilibrium constraints. It utilizes the ideas of numerical derivatives and the Krylov method.

Keywords: EPL; Jacobian-free; Krylov method; Jacobian-vector product; Dynamic discrete game (search for similar items in EconPapers)
JEL-codes: C1 C6 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000321

DOI: 10.1016/j.econlet.2025.112195

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