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A Hybrid Genetic Algorithm For The Maximum Likelihood Estimation Of Models With Multiple Equilibria: A First Report

Author

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  • VICTOR AGUIRREGABIRIA

    (Department of Economics, Boston University, 270 Bay State Road, Boston, MA 02215, USA)

  • PEDRO MIRA

    (CEMFI, Casado del Alisal, 5, Madrid, Madrid 28004, Spain)

Abstract

This paper presents a hybrid genetic algorithm to obtain maximum likelihood estimates of parameters in structural econometric models with multiple equilibria. The algorithm combines a pseudo maximum likelihood (PML) procedure with a genetic algorithm (GA). The GA searches globally over the large space of possible combinations of multiple equilibria in the data. The PML procedure avoids the computation of all the equilibria associated with every trial value of the structural parameters.

Suggested Citation

  • Victor Aguirregabiria & Pedro Mira, 2005. "A Hybrid Genetic Algorithm For The Maximum Likelihood Estimation Of Models With Multiple Equilibria: A First Report," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 295-303.
    • Handle: RePEc:wsi:nmncxx:v:01:y:2005:i:02:n:s1793005705000160
    DOI: 10.1142/S1793005705000160
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    References listed on IDEAS

    as
    1. Pesendorfer, Martin & Schmidt-Dengler, Philipp, 2003. "Identification and Estimation of Dynamic Games," CEPR Discussion Papers 3965, C.E.P.R. Discussion Papers.
    2. Victor Aguirregabiria & Pedro Mira, 2007. "Sequential Estimation of Dynamic Discrete Games," Econometrica, Econometric Society, vol. 75(1), pages 1-53, January.
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    Cited by:

    1. Lewbel, Arthur & Tang, Xun, 2015. "Identification and estimation of games with incomplete information using excluded regressors," Journal of Econometrics, Elsevier, vol. 189(1), pages 229-244.
    2. Arthur Lewbel & Xun Tang, 2010. "Identification and Estimation of Games with Incomplete Information Using Excluded Regressors, Second Version," PIER Working Paper Archive 12-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 20 Mar 2012.

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