Jacobian-free Efficient Pseudo-Likelihood (EPL) algorithm
Takeshi Fukasawa · Economics Letters · 2025
This study proposes a simple procedure for computing Efficient Pseudo Likelihood (EPL) estimator (Dearing and Blevins, 2024) for estimating dynamic discrete games, without computing Jacobians of equilibrium constraints. It utilizes the ideas of numerical derivatives and the Krylov method .