Estimation of finite sequential games

Maruyama, S

Estimation of finite sequential games

Maruyama, S

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Publication Type:: Journal Article
Citation:: Journal of Econometrics, 2014, 178 (2), pp. 716 - 726
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Maruyama, S https://orcid.org/0000-0003-2945-7437	en_US
dc.date.available	2020-05-25T19:06:24Z
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	Journal of Econometrics, 2014, 178 (2), pp. 716 - 726	en_US
dc.identifier.issn	0304-4076	en_US
dc.identifier.uri	http://hdl.handle.net/10453/30756
dc.description.abstract	I propose a new estimation method for finite sequential games that is efficient, computationally attractive, and applicable to a fairly general class of finite sequential games that is beyond the scope of existing studies. The major challenge is the computation of high-dimensional truncated integration whose domain is complicated by strategic interaction. This complication resolves when unobserved off-the-equilibrium-path strategies are controlled for. Separately evaluating the likelihood contribution of each subgame-perfect equilibrium that generates the observed outcome allows the use of the GHK simulator, a widely used importance-sampling probit simulator. Monte Carlo experiments demonstrate the performance and robustness of the proposed method. © 2013 Elsevier B.V. All rights reserved.	en_US
dc.relation.ispartof	Journal of Econometrics	en_US
dc.relation.isbasedon	10.1016/j.jeconom.2013.10.011	en_US
dc.subject.classification	Econometrics	en_US
dc.title	Estimation of finite sequential games	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	178	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	0104 Statistics	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	open_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	178	en_US

Abstract:

I propose a new estimation method for finite sequential games that is efficient, computationally attractive, and applicable to a fairly general class of finite sequential games that is beyond the scope of existing studies. The major challenge is the computation of high-dimensional truncated integration whose domain is complicated by strategic interaction. This complication resolves when unobserved off-the-equilibrium-path strategies are controlled for. Separately evaluating the likelihood contribution of each subgame-perfect equilibrium that generates the observed outcome allows the use of the GHK simulator, a widely used importance-sampling probit simulator. Monte Carlo experiments demonstrate the performance and robustness of the proposed method. © 2013 Elsevier B.V. All rights reserved.

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http://hdl.handle.net/10453/30756