Sequential Estimation of Structural Models with a Fixed Point Constraint

Hiroyuki Kasahara and Katsumi Shimotsu

No 2507, CESifo Working Paper Series from CESifo

Abstract: 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 achieves convergence and derive its convergence rate. We find that the NPL algorithm may not necessarily converge when the fixed point mapping does not have a local contraction property. To address the issue of non-convergence, we propose alternative sequential estimation procedures that can achieve convergence even when the NPL algorithm does not. Upon convergence, some of our proposed estimation algorithms produce more efficient estimators than the NPL estimator.

Keywords: contraction; dynamic games; nested pseudo likelihood; recursive projection method (search for similar items in EconPapers)
JEL-codes: C13 C14 C63 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp2507.pdf (application/pdf)

Related works:
Journal Article: Sequential Estimation of Structural Models With a Fixed Point Constraint (2012)
Working Paper: Sequential Estimation of Structural Models with a Fixed Point Constraint (2009)
Working Paper: Sequential Estimation Of Structural Models With A Fixed Point Constraint (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_2507

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().