Piecewise Pseudo-Maximum Likehood Estimation in Empirical Models of Auctions  

Oleh:

Donald, Stephen G. ; Paarsch, Harry J.

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 34 no. 1 (1993), page 121-148.
Topik: estimation; piecewise pseudo - maximum; estimation; empirical models; auctions

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

In applications of game theory to auctions, researchers assume that players choose strategies based upon a commonly known distribution of the latent characteristics. Rational behaviour, within an assumed class of distributions for the latent process, imposes testable restrictions upon the data generating process of the equilibrium strategies. Unfortunately, the support of the distribution of equilibrium strategies often depends upon all of the parameters of the distribution of the latent characteristics, making the standard application of maximum likelihood estimation procedures inappropriate. We present a piecewise pseudo - maximum likelihood estimator as well as the conditions for its consistency and its asymptotic distribution.

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