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

Victor Aguirregabiria () and Pedro Mira

Econometrics from University Library of Munich, Germany

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)
Pages: 18 pages
Date: 2005-02-28
New Economics Papers: this item is included in nep-cmp and nep-ecm
Note: Type of Document - pdf; pages: 18
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0502/0502017.pdf (application/pdf)

Related works:
Working Paper: A Genetic Algorithm for the Structural Estimation of Games with Multiple Equilibria (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0502017

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