This paper proposes an algorithm to obtain maximum likelihood estimates of structural parameters in discrete games with multiple equilibria. The method combines a genetic algorithm (GA) with a pseudo maximum likelihood (PML) procedure. The GA searches efficiently over the huge space of possible...

This paper studies the estimation of dynamic discrete games of incomplete information. Two main econometric issues appear in the estimation of these models: the indeterminacy problem associated with the existence of multiple equilibria, and the computational burden in the solution of the game....

This paper proposes an algorithm to obtain maximum likelihood estimates of structural parameters in discrete games with multiple equilibria. The method combines a genetic algorithm (GA) with a pseudo maximum likelihood (PML) procedure. The GA searches efficiently over the huge space of possible...

This paper proposes a procedure for the estimation of discrete Markov decision models and studies its statistical and computational properties. Our method is similar to Rust's Nested Fixed-Point algorithm (NFXP), but the order of the two nested algorithms is swapped. First, we prove that this...

This paper presents a hybrid genetic algorithm to obtain maximum likelihood estimates of parameters in structural econometric models with multiple equilibria. The algorithm combines a pseudo maximum likelihood (PML) procedure with a genetic algorithm (GA). The GA searches globally over the large...

This paper proposes a new nested algorithm (NPL) for the estimation of a class of discrete Markov decision models and studies its statistical and computational properties. Our method is based on a representation of the solution of the dynamic programming problem in the space of conditional...

This paper studies the estimation of dynamic discrete games of incomplete information. Two main econometric issues appear in the estimation of these models: the indeterminacy problem associated with the existence of multiple equilibria and the computational burden in the solution of the game. We...

This paper reviews methods for the estimation of dynamic discrete choice structural models and discusses related econometric issues. We consider single-agent models, competitive equilibrium models and dynamic games. The methods are illustrated with descriptions of empirical studies which have...

This paper deals with the identification and estimation of discrete games of incomplete information with multiple equilibria when we allow for three types of unobservables for the researcher: (a) payoff-relevant variables that are players' private information; (b) payoff-relevant variables that...