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Identifier to cite or link to this item: https://hdl.handle.net/10086/17765

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Title
Sequential Estimation of Structural Models with a Fixed Point Constraint
Creator
Creator Name
Kasahara, Hiroyuki Kasahara, Hiroyuki
笠原, 博幸 笠原, 博幸
Affiliation
Affiliation Name
University of British Columbia
Affiliation
Affiliation Name
University of Western Ontario
Creator Name
Shimotsu, Katsumi Shimotsu, Katsumi
下津, 克己 下津, 克己
Affiliation
Affiliation Name
Hitotsubashi University
Affiliation
Affiliation Name
Queen's University
Key Word
contraction
dynamic games
nested pseudo likelihood
recursive projection method
JEL
C13
C14
C63
Abstract (distribution restricted)
This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL) algorithm converges to a consistent estimator and derive its convergence rate. We find that the NPL algorithm may not necessarily converge to a consistent estimator when the fixed point mapping does not have a local contraction property. To address the issue of divergence, we propose alternative sequential estimation procedures that can converge to a consistent estimator even when the NPL algorithm does not.
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2009-11
Language
English(eng)
Resource Type
technical report
Version Type
AM
Is Part OfRelation -
Related Title
Discussion papers ; No. 2009-18
Number of Pages
29
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/17765