Asymptotic Least Squares Estimators for Dynamic Games -super-1

Martin Pesendorfer and Philipp Schmidt-Dengler

The Review of Economic Studies, 2008, vol. 75, issue 3, 901-928

Abstract: This paper considers the estimation problem in dynamic games with finite actions. we derive the equation system that characterizes the markovian equilibria. the equilibrium equation system enables us to characterize conditions for identification. we consider a class of asymptotic least squares estimators defined by the equilibrium conditions. this class provides a unified framework for a number of well-known estimators including those by Hotz and Miller (1993) and by Aguirregabiria and Mira (2002) . We show that these estimators differ in the weight they assign to individual equilibrium conditions. We derive the efficient weight matrix. A Monte Carlo study illustrates the small sample performance and computational feasibility of alternative estimators. Copyright 2008, Wiley-Blackwell.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (212)

Downloads: (external link)
http://hdl.handle.net/10.1111/j.1467-937X.2008.00496.x (application/pdf)
Access to full text is restricted to subscribers.

Related works:
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: https://EconPapers.repec.org/RePEc:oup:restud:v:75:y:2008:i:3:p:901-928

Access Statistics for this article

The Review of Economic Studies is currently edited by Thomas Chaney, Xavier d’Haultfoeuille, Andrea Galeotti, Bård Harstad, Nir Jaimovich, Katrine Loken, Elias Papaioannou, Vincent Sterk and Noam Yuchtman

More articles in The Review of Economic Studies from Review of Economic Studies Ltd
Bibliographic data for series maintained by Oxford University Press ().