Recursive procedures which are based on iterating on the best response mapping have difficulties converging to all equilibria in multi‐player games. We illustrate these difficulties by revisiting the asymptotic properties of the iterative nested pseudo maximum likelihood method for estimating dynamic games introduced by Aguirregabiria and Mira (2007). An example shows that the iterative method may not be consistent.
MLA
Martin Pesendorfer, Philipp Schmidt‐Dengler. “Sequential Estimation of Dynamic Discrete Games: A Comment.” Econometrica, vol. 78, .no 2, Econometric Society, 2010, pp. 833-842, https://doi.org/10.3982/ECTA7633
Chicago
Martin Pesendorfer, Philipp Schmidt‐Dengler. “Sequential Estimation of Dynamic Discrete Games: A Comment.” Econometrica, 78, .no 2, (Econometric Society: 2010), 833-842. https://doi.org/10.3982/ECTA7633
APA
Pesendorfer, M., Schmidt‐Dengler, P. (2010). Sequential Estimation of Dynamic Discrete Games: A Comment. Econometrica, 78(2), 833-842. https://doi.org/10.3982/ECTA7633
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