SEQUENTIAL ESTIMATION OF STRUCTURAL MODELS WITH A FIXED POINT CONSTRAINT

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 a local condition under which the nested pseudo likelihood (NPL) a...

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Vydané v:	Econometrica Ročník 80; číslo 5; s. 2303 - 2319
Hlavní autori:	Kasahara, Hiroyuki, Shimotsu, Katsumi
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Oxford, UK Econometric Society 01.09.2012 Blackwell Publishing Ltd Wiley-Blackwell
Predmet:	Acceleration of convergence Algorithms Analytical estimating Applications Consistent estimators Constraints Contraction Convergence Decision making models Decision models Discrete choice Diskrete Entscheidung dynamic games Dynamic modeling Dynamisches Spiel Econometrics Economic models Economic theory Eigenvalues Estimating techniques Estimation Estimators Exact sciences and technology Fixed point property Game theory Global analysis, analysis on manifolds Insurance, economics, finance Mapping Mathematics Modeling nested pseudo likelihood NOTES AND COMMENTS Numerical analysis Numerical analysis. Scientific computation Optimization algorithms Point estimators Preliminary estimates Probability and statistics recursive projection method Reduction (Phonological or Phonetic) Schätztheorie Sciences and techniques of general use Sequential analysis Sequential methods Statistics Structural analysis Structural models Strukturgleichungsmodell Studies Theorie Topology. Manifolds and cell complexes. Global analysis and analysis on manifolds Divergence Convergence acceleration recursive projection method Statistical estimation Algorithm Empirical model Contraction Projection method Statistical method nested pseudo likelihood Numerical analysis Fix point Discrete choice Consistent estimator Sequential method Pseudolikelihood Recursive method Convergence rate Structural model dynamic games Econometrics Dynamic model Sequential estimation
ISSN:	0012-9682, 1468-0262
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Shrnutí:	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 a local condition 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.
Bibliografia:	We are grateful to the co‐editor and three anonymous referees whose comments greatly improved the paper. The authors thank Victor Aguirregabiria, David Byrne, Hide Ichimura, Kenneth Judd, Vadim Marmer, Lealand Morin, and seminar participants at the Bank of Japan, FEMES, New York Camp Econometrics, NASM, SITE, Vienna Macroeconomic Workshop, Boston University, Michigan, Montreal, Hitotsubashi, HKU, HKUST, Johns Hopkins, SETA, Tokyo, UBC, UWO, Yale, Yokohama National University, and Xiamen for helpful comments. The authors thank the SSHRC for financial support. SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 14 ObjectType-Article-2 content type line 23
ISSN:	0012-9682 1468-0262
DOI:	10.3982/ECTA8291