A simple estimator for dynamic models with serially correlated unobservables

DOI10.1515/jem-2015-0011zbMath1400.62168MaRDI QIDQ1669828

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 models; serially correlated unobservables; unobserved state variable

Mathematics Subject Classification ID

62P10: Applications of statistics to biology and medical sciences; meta analysis

62G05: Nonparametric estimation

62M05: Markov processes: estimation; hidden Markov models