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 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...

This paper deals with identification of discrete games of incomplete information when we allow for three types of unobservables: payoff‐relevant variables, both players' private information and common knowledge, and nonpayoff‐relevant variables that determine the selection between multiple...

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 presents an estimable dynamic structural model of an oligopoly retail industry. The model can be estimated using panel data of local retail markets with information on new entries, exits and the size and growth of incumbent firms. In our model, retail firms are vertically and...

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 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...