Aguirregabiria, Victor (2009): Estimation of Dynamic Discrete Games Using the Nested Pseudo Likelihood Algorithm: Code and Application.
Download (329kB) | Preview
This document describes program code for the solution and estimation of dynamic discrete games of incomplete information using the Nested Pseudo Likelihood (NPL) method in Aguirregabiria and Mira (2007). The code is illustrated using a dynamic game of store location by retail chains, and actual data from McDonalds and Burger King.
|Item Type:||MPRA Paper|
|Original Title:||Estimation of Dynamic Discrete Games Using the Nested Pseudo Likelihood Algorithm: Code and Application|
|Keywords:||Estimation of Dynamic Games; Nested Pseudo Likelihood Algorithm; Program Code|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling
C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities
C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory > C73 - Stochastic and Dynamic Games ; Evolutionary Games ; Repeated Games
|Depositing User:||Victor Aguirregabiria|
|Date Deposited:||16. Sep 2009 19:11|
|Last Modified:||13. Feb 2013 10:15|
Aguirregabiria, V. and C. Alonso-Borrego, 2009, Labor Contracts and Flexibility: Evidence from a Labor Market Reform in Spain. Manuscript. University of Toronto. Department of Economics.
Aguirregabiria, V. and C-Y. Ho, 2009, A dynamic oligopoly game of the US airline industry: Estimation and policy experiments. Manuscript. University of Toronto.
Aguirregabiria, V. and P. Mira, 2002, Swapping the nested fixed point algorithm: A class of estimators for discrete Markov decision models. Econometrica 70, 1519-1543.
Aguirregabiria, V. and P. Mira, 2007, Sequential estimation of dynamic discrete games. Econometrica 75, 1--53.
Aguirregabiria, V., P. Mira, and H. Roman, 2007, Inter-industry heterogeneity in market structure and dynamic oligopoly structural models. Manuscript. The University of Toronto.
Besanko, D., and U. Doraszelski (2004): "Capacity Dynamics and Endogenous Asymmetries in Firm Size," RAND Journal of Economics, 35, 23-49.
Collard-Wexler, A., 2008, Demand Fluctuations in the Ready-Mix Concrete Industry. Manuscript. New York University.
De Pinto, A., and G. Nelson, 2007, Modelling Deforestation and Land-Use Change: Sparse Data Environments. Journal of Agricultural Economics. Vol. 58(3), 502 - 516.
De Pinto, A., and G. Nelson, 2009, Land Use Change with Spatially Explicit Data: A Dynamic Approach. Environmental and Resource Economics. Vol. 43, 209--229.
Ellickson, P. and S. Misra, 2008, Supermarket Pricing Strategies. Marketing Science. Vol. 27(5), 811-828.
Han, L., and S-H Hong, 2008, Testing Cost Inefficiency under Free Entry in the Real Estate Brokerage Industry. Manuscript. University of Toronto. Rotman School of Management.
Kano, K., 2006, Menu Costs, Strategic Interactions and Retail Price Movements. Manuscript. Queen's University.
Kasahara, H. and K. Shimotsu (2008): "Pseudo-likelihood Estimation and Bootstrap Inference for Structural Discrete Markov Decision Models," Journal of Econometrics, 146(1), 92-106.
Lenzo, J., 2008, Market Structure and Profit Complementarity: The Case of SPECT and PET. Manuscript. Northwestern University. Kellogg School of Management.
Lin, H., 2008, Quality Choice and Market Structure: A Dynamic Analysis of Nursing Home Oligopolies. Manuscript. Indiana University. Business School.
Lorincz, S., 2005, Persistence Effects in a Dynamic Discrete Choice Model: Application to Low-End Computer Servers. Discussion Papers 2005/10. Institute of Economics Hungarian Academy of Sciences.
Ryan, S. (2009): "The Costs of Environmental Regulation in a Concentrated Industry," Manuscript, MIT Department of Economics.
Sanchez-Mangas, R., 2002, Pseudo Maximum Likelihood Estimation of a Dynamic Structural Investment Model. Working Paper 02-62, Statistics and Econometrics Series. Universidad Carlos III de Madrid.
Suzuki, J., 2008, Land Use Regulation as a Barrier to Entry: Evidence from the Texas Lodging Industry. Manuscript. Department of Economics. University of Minnesota.
Toivanen, O., and M. Waterson (2005): "Market Structure and Entry: Where's the Beef?," RAND Journal of Economics, 36(3), 680-699.
Tomlin, B., 2009, Exchange Rate Volatility, Plant Turnover and Productivity. Manuscript. Department of Economics. Boston University.
Walrath, M., 2008, Religion as an Industry: Estimating a Strategic Entry Model for Churches. Manuscript. Department of Economics. University of Minnesota.