A simple estimator for dynamic models with serially correlated unobservables

DOI10.1515/JEM-2015-0011zbMATH Open1400.62168OpenAlexW2154222364MaRDI QIDQ1669828FDOQ1669828

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

Recommendations

• Inference in dynamic discrete choice models with serially orrelated unobserved state variables
• Nonparametric identification of dynamic models with unobserved state variables
• Identifying dynamic games with serially correlated unobservables
• Bayesian estimation of dynamic discrete choice models
• Nonparametric estimation of dynamic discrete choice models for time series data

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)

Cites Work

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• Inference in dynamic discrete choice models with serially orrelated unobserved state variables
• Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity
• Bayesian estimation of dynamic discrete choice models
• Pairwise-difference estimation of a dynamic optimization model
• Nonparametric identification of dynamic models with unobserved state variables

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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