Pseudo Maximum Likelihood Estimation of Structural Models Involving Fixed-Point Problems

5 Pages Posted: 20 Jun 2004 Last revised: 30 Oct 2016

See all articles by Victor Aguirregabiria

Victor Aguirregabiria

University of Toronto - Department of Economics

Abstract

This paper deals with the estimation of structural econometric models where the probability distribution of endogenous variables is implicitly defined as an equilibrium of a fixed-point problem. It proposes a pseudo maximum likelihood procedure and studies its asymptotic properties.

Keywords: Fixed points, Pseudo maximum likelihood estimation, Recursive methods

JEL Classification: C13, C63

Suggested Citation

Aguirregabiria, Victor, Pseudo Maximum Likelihood Estimation of Structural Models Involving Fixed-Point Problems. Economics Letters, 84 (September 2004), 335-340., Available at SSRN: https://ssrn.com/abstract=556916

Victor Aguirregabiria (Contact Author)

University of Toronto - Department of Economics ( email )

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