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Estimation of Dynamic Discrete Games Using the Nested Pseudo Likelihood Algorithm: Code and Application

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  • Aguirregabiria, Victor
Abstract
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.

Suggested Citation

  • Aguirregabiria, Victor, 2009. "Estimation of Dynamic Discrete Games Using the Nested Pseudo Likelihood Algorithm: Code and Application," MPRA Paper 17329, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:17329
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    File URL: https://mpra.ub.uni-muenchen.de/17329/1/MPRA_paper_17329.pdf
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    References listed on IDEAS

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    1. David Besanko & Ulrich Doraszelski, 2004. "Capacity Dynamics and Endogenous Asymmetries in Firm Size," RAND Journal of Economics, The RAND Corporation, vol. 35(1), pages 23-49, Spring.
    2. Victor Aguirregabiria & Pedro Mira, 2002. "Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models," Econometrica, Econometric Society, vol. 70(4), pages 1519-1543, July.
    3. Tomlin, Ben, 2014. "Exchange rate fluctuations, plant turnover and productivity," International Journal of Industrial Organization, Elsevier, vol. 35(C), pages 12-28.
    4. Otto Toivanen & Michael Waterson, 2005. "Market Structure and Entry: Where's the Beef?," RAND Journal of Economics, The RAND Corporation, vol. 36(3), pages 680-699, Autumn.
    5. Szabolcs Lorincz, 2005. "Persistence Effects in a Dynamic Discrete Choice Model - Application to Low-End Computer Servers," CERS-IE WORKING PAPERS 0510, Institute of Economics, Centre for Economic and Regional Studies.
    6. Han, Lu & Hong, Seung-Hyun, 2011. "Testing Cost Inefficiency Under Free Entry in the Real Estate Brokerage Industry," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 564-578.
    7. Victor Aguirregabiria & Cesar Alonso-Borrego, 2014. "Labor Contracts And Flexibility: Evidence From A Labor Market Reform In Spain," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 930-957, April.
    8. Paul B. Ellickson & Sanjog Misra, 2008. "Supermarket Pricing Strategies," Marketing Science, INFORMS, vol. 27(5), pages 811-828, 09-10.
    9. Alessandro De Pinto & Gerald C. Nelson, 2007. "Modelling Deforestation and Land‐Use Change: Sparse Data Environments," Journal of Agricultural Economics, Wiley Blackwell, vol. 58(3), pages 502-516, September.
    10. Sánchez Mangas, Rocío, 2002. "Pseudo-maximum likelihood estimation of a dynamic structural investment model," DES - Working Papers. Statistics and Econometrics. WS ws026218, Universidad Carlos III de Madrid. Departamento de Estadística.
    11. Junichi Suzuki, 2013. "Land Use Regulation As A Barrier To Entry: Evidence From The Texas Lodging Industry," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(2), pages 495-523, May.
    12. Victor Aguirregabiria & Pedro Mira, 2007. "Sequential Estimation of Dynamic Discrete Games," Econometrica, Econometric Society, vol. 75(1), pages 1-53, January.
    13. Alessandro Pinto & Gerald C. Nelson, 2009. "Land Use Change with Spatially Explicit Data: A Dynamic Approach," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 43(2), pages 209-229, June.
    14. Aguirregabiria, Victor & Ho, Chun-Yu, 2012. "A dynamic oligopoly game of the US airline industry: Estimation and policy experiments," Journal of Econometrics, Elsevier, vol. 168(1), pages 156-173.
    15. Allan Collard‐Wexler, 2013. "Demand Fluctuations in the Ready‐Mix Concrete Industry," Econometrica, Econometric Society, vol. 81(3), pages 1003-1037, May.
    16. Kasahara, Hiroyuki & Shimotsu, Katsumi, 2008. "Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models," Journal of Econometrics, Elsevier, vol. 146(1), pages 92-106, September.
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    Cited by:

    1. Naoaki Minamihashi, 2012. "Natural Monopoly and Distorted Competition: Evidence from Unbundling Fiber-Optic Networks," Staff Working Papers 12-26, Bank of Canada.
    2. Kosová, Renáta & Lafontaine, Francine, 2012. "Much ado about chains: A research agenda," International Journal of Industrial Organization, Elsevier, vol. 30(3), pages 303-308.

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    More about this item

    Keywords

    Estimation of Dynamic Games; Nested Pseudo Likelihood Algorithm; Program Code;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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