Estimation of finite sequential games |
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Authors: | Shiko Maruyama |
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Affiliation: | Economics Discipline Group, University of Technology Sydney, PO Box 123, Broadway, NSW 2007, Australia |
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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. |
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Keywords: | C35 C72 C63 C31 |
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