A simple estimator for dynamic models with serially correlated unobservables

DOI10.1515/JEM-2015-0011MaRDI QIDQ1669828zbMATH OpenOpenAlexFDO

Authors Yingyao Hu, Matthew Shum, Wei Tan, Ruli Xiao

Publication date 4 September 2018

Published in Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL https://caepr.indiana.edu/RePEc/inu/caeprp/CAEPR2015-017.pdf

zbMATH Keywords

dynamic modelsserially correlated unobservablesunobserved state variable

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cites work

• Asymptotic Least Squares Estimators for Dynamic Games
• Bayesian estimation of dynamic discrete choice models
• Conditional Choice Probabilities and the Estimation of Dynamic Models
• Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity
• Derivatives of Eigenvalues and Eigenvectors of Matrix Functions
• Dynamic discrete choice and dynamic treatment effects
• Estimating Dynamic Models of Imperfect Competition
• Estimating the Technology of Cognitive and Noncognitive Skill Formation
• Identification and estimation of nonlinear models with misclassification error using instrumental variables: a general solution
• Identifying Dynamic Discrete Decision Processes
• Inference in dynamic discrete choice models with serially orrelated unobserved state variables
• Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices
• Nonparametric identification of dynamic models with unobserved state variables
• Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher
• Pairwise-difference estimation of a dynamic optimization model
• Patents as Options: Some Estimates of the Value of Holding European Patent Stocks
• Sequential Estimation of Dynamic Discrete Games
• Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models

Cited in

(3)

• SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form
• Some remarks on CCP-based estimators of dynamic models
• Inference in dynamic discrete choice models with serially orrelated unobserved state variables

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