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STICERD Econometrics Seminar Series

Simulated Maximum Likelihood Estimation of Large Games using Scenarios

Bryan Graham (UC Berkeley & NYU), joint with Andrin Pelican

Thursday 03 November 2022 14:00 - 15:30

Many of our seminars and public events this year will continue as in person or as hybrid (online and in person) events. Please check our website listings and Twitter feed @STICERD_LSE for updates.

Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.


About this event

This paper introduces a new simulation algorithm for evaluating the log-likelihood and score functions associated with a class of supermodular complete information discrete games. The algorithm allows for payoff function estimation in games with large numbers of players and/or many binary actions per player (e.g., games with tens of thousands of strategic binary actions). In such cases the likelihood of the observed pure strategy combination may be (i) very small and (ii) a high dimensional integral with a complex integration region. Direct numerical integration, as well as accept-reject Monte Carlo integration, are computationally impractical in such settings. In contrast, our method allows for accurate likelihood simulation with modest numbers of simulation draws. Use cases include simulated maximum likelihood (SML) parameter estimation in models of technology adoption, peer effects, and strategic network formation.

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Lubala Chibwe, either by email: l.chibwe@lse.ac.uk.

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