Pseudo maximum likelihood estimation of structural models involving fixed-point problems

DOI10.1016/J.ECONLET.2004.03.002MaRDI QIDQ1927562zbMATH OpenOpenAlexFDO

Authors Victor Aguirregabiria

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2004.03.002

zbMATH Keywords

recursive methods

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20)

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Cites work

• Discrete choice with social interactions
• Econometric specification of stochastic discount factor models
• Optimal Nonparametric Estimation of First-price Auctions
• Sequential Estimation of Dynamic Discrete Games
• Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models

Cited in

(10)

• Consistency and asymptotic normality for equilibrium models with partially observed outcome variables
• Sequential estimation of structural models with a fixed point constraint
• The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
• Estimation of Multi-Market Fix-Price Models: An Application of Pseudo Maximum Likelihood Methods
• A method for implementing counterfactual experiments in models with multiple equilibria
• The ARCH(2) model: pseudo-maximum estimation and asymptotic results under dependent innovations
• Pseudo maximum likelihood estimation of the univariate GARCH(2,2) and asymptotic normality under dependent innovations
• Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations
• ESTIMATING DYNAMIC DISCRETE CHOICE MODELS WITH HYPERBOLIC DISCOUNTING, WITH AN APPLICATION TO MAMMOGRAPHY DECISIONS
• A HYBRID GENETIC ALGORITHM FOR THE MAXIMUM LIKELIHOOD ESTIMATION OF MODELS WITH MULTIPLE EQUILIBRIA: A FIRST REPORT

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