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Pseudo Maximum Likelihood Estimation of Structural Models Involving Fixed-Point Problems

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  • Victor Aguirregabiria

    (Boston University)

Abstract

This paper deals with the estimation of structural econometric models where the probability distribution of endogenous variables is implicitly defined as an equilibrium of a fixed-point problem. It proposes a pseudo maximum likelihood procedure and studies its asymptotic properties.

Suggested Citation

  • Victor Aguirregabiria, 2004. "Pseudo Maximum Likelihood Estimation of Structural Models Involving Fixed-Point Problems," Econometrics 0402003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0402003
    Note: Type of Document - pdf; prepared on Scientific Word; pages: 4; figures: 0
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0402/0402003.pdf
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    References listed on IDEAS

    as
    1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
    2. Elodie Guerre & I. Perrigne & Q.H. Vuong, 2000. "Optimal nonparametric estimation of first-price auctions [[Estimation nonparamétrique optimale des enchères au premier prix]]," Post-Print hal-02697497, HAL.
    3. Victor Aguirregabiria & Pedro Mira, 2002. "Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models," Econometrica, Econometric Society, vol. 70(4), pages 1519-1543, July.
    4. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444, January.
    5. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606, January.
    6. William A. Brock & Steven N. Durlauf, 2001. "Discrete Choice with Social Interactions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 68(2), pages 235-260.
    7. Rust, J., 1991. "Estimation of dynamic Structural Models: Problems and Prospects Part I : Discrete Decision Processes," Working papers 9106, Wisconsin Madison - Social Systems.
    8. Victor Aguirregabiria & Pedro Mira, 2007. "Sequential Estimation of Dynamic Discrete Games," Econometrica, Econometric Society, vol. 75(1), pages 1-53, January.
    9. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590, January.
    10. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Hanming Fang & Yang Wang, 2015. "Estimating Dynamic Discrete Choice Models With Hyperbolic Discounting, With An Application To Mammography Decisions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(2), pages 565-596, May.
    2. Aguirregabiria, Victor, 2012. "A method for implementing counterfactual experiments in models with multiple equilibria," Economics Letters, Elsevier, vol. 114(2), pages 190-194.
    3. Alberto Bisin & Andrea Moro & Giorgio Topa, 2011. "The empirical content of models with multiple equilibria in economies with social interactions," Staff Reports 504, Federal Reserve Bank of New York.
    4. Elpianna Emmanouilidi, 2012. "Estimation Of A Discrete-Choice Model With Spatial Interactions The Case Of Deforestation In Western Attica Between 1990 And 2000," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(3), pages 69-83, December.
    5. Sanjog Misra, 2013. "Markov chain Monte Carlo for incomplete information discrete games," Quantitative Marketing and Economics (QME), Springer, vol. 11(1), pages 117-153, March.
    6. repec:hrs:journl::y:2012:v:4:i:3:p:69-83 is not listed on IDEAS
    7. Nathan Yang, 2011. "An Empirical Model of Industry Dynamics with Common Uncertainty and Learning from the Actions of Competitors," Working Papers 11-16, NET Institute.
    8. Giorgio Topa & Elizabeth Setren & Meta Brown, 2011. "Do Referrals Lead to Better Matches? Evidence from a Firm's Employee," 2011 Meeting Papers 711, Society for Economic Dynamics.
    9. Helmers, Christian, 2010. "The effect of market entry on innovation: evidence from UK university incubators," LSE Research Online Documents on Economics 121925, London School of Economics and Political Science, LSE Library.

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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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