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Ordinary Least Squares Estimation of a Dynamic Game Model

Fabio A. Miessi SanchesDaniel Junior SilvaSorawoot Srisuma

出版	SSRN, 2016
URL	http://books.google.com.hk/books?id=Hg3czwEACAAJ&hl=&source=gbs_api

註釋

Estimation of dynamic games is known to be a numerically challenging task. A common form of the payoff functions employed in practice takes the linear-in-parameter specification. We show a least squares estimator taking a familiar OLS/GLS expression is available in such a case. Our proposed estimator has a closed form. It can be computed without any numerical optimization and always minimizes the least squares objective function. We specify the optimally weighted GLS estimator that is efficient in the class of estimators under consideration. Our estimator appears to perform well in a simple Monte Carlo experiment.