Jacobian-free Efficient Pseudo-Likelihood (EPL) Algorithm

Takeshi Fukasawa

Papers from arXiv.org

Abstract: This study proposes a simple procedure to compute Efficient Pseudo Likelihood (EPL) estimator proposed by Dearing and Blevins (2024) for estimating dynamic discrete games, without computing Jacobians of equilibrium constraints. EPL estimator is efficient, convergent, and computationally fast. However, the original algorithm requires deriving and coding the Jacobians, which are cumbersome and prone to coding mistakes especially when considering complicated models. The current study proposes to avoid the computation of Jacobians by combining the ideas of numerical derivatives (for computing Jacobian-vector products) and the Krylov method (for solving linear equations). It shows good computational performance of the proposed method by numerical experiments.

Date: 2024-10
New Economics Papers: this item is included in nep-dcm and nep-ecm
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