期刊名称：Discussion Papers / School of Business, University of New South Wales
出版年度：2009
卷号：2009
出版社：Sydney
摘要：Sequential decision-making is a noticeable feature of strategic interactions among
agents. The full estimation of sequential games, however, has been challenging due to
the sheer computational burden, especially when the game is large and asymmetric.
In this paper, I propose an estimation method for discrete choice sequential games
that is computationally feasible, easy-to-implement, and e¢ cient, by modifying the
Geweke-Hajivassiliou-Keane (GHK) simulator, the most widely used probit simulator.
I show that the recursive nature of the GHK simulator is easily dovetailed with the
sequential structure of strategic interactions.
