arXiv 26 Oct 2024 · Econometrics · publishedEconomics Letters (2025)
arXiv:2410.20029 · PDF · DOI · OpenAlex · Extracted main text
This study proposes a simple procedure to compute Efficient Pseudo Likelihood (EPL) estimator proposed by Dearing and Blevins (2024) for estimating dynamic discrete games, without computing Jacobians of equilibrium constraints. EPL estimator is efficient, convergent, and computationally fast. However, the original algorithm requires deriving and coding the Jacobians, which are cumbersome and prone to coding mistakes especially when considering complicated models. The current study proposes to avoid the computation of Jacobians by combining the ideas of numerical derivatives (for computing Jacobian-vector products) and the Krylov method (for solving linear equations). It shows good computational performance of the proposed method by numerical experiments.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Dearing, A. and Blevins, J. R (2024) Efficient and convergent sequential pseudo-likelihood estimation of dynamic discrete games | 1.000 | 7 | 3 | 100% |
| 2 | Aguirregabiria, V. and Mira, P (2007) Sequential estimation of dynamic discrete games | 0.644 | 2 | 2 | 100% |
| 3 | Egesdal, M., Lai, Z., and Su, C.-L (2015) Estimating dynamic discrete-choice games of incomplete information | 0.644 | 2 | 2 | 100% |
| 4 | Igami, M (2017) Estimating the innovator's dilemma: Structural analysis of creative destruction in the hard disk drive industry, 1981–1998 | 0.405 | 1 | 1 | 100% |
| 5 | Kelley, C. T (2003) Solving nonlinear equations with Newton's method | 0.405 | 1 | 1 | 100% |
| 6 | Saad, Y (2003) Iterative methods for sparse linear systems | 0.405 | 1 | 1 | 100% |
| 7 | Judd, K. L (1998) Numerical methods in economics | 0.000 | 1 | 1 | 0% |
Showing the top 7 of 7 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Sequential algorithm for structural estimations with equilibrium constraints | 0.511 | 2 | 1 |