Sequential Estimation of Dynamic Discrete Games: A Comment
指出基于最佳反应映射迭代的递归方法在多玩家博弈中难以收敛到所有均衡，并通过重新审视Aguirregabiria和Mira（2007）的迭代嵌套伪极大似然估计法，举例说明该方法可能不一致。
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. Copyright 2010 The Econometric Society.