Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models
DOI10.1016/J.JECONOM.2008.07.004zbMATH Open1418.62483OpenAlexW1992133696MaRDI QIDQ295702FDOQ295702
Authors: Hiroyuki Kasahara, Katsumi Shimotsu 
Publication date: 13 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.07.004
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Edgeworth expansionpolicy iteration\(k\)-step bootstrapfinite mixturemaximum pseudo-likelihood estimatorsnested fixed point algorithmNewton-Raphson method
Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to economics (62P20) Markov and semi-Markov decision processes (90C40)
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Cited In (7)
- Efficient closed-form estimation of large spatial autoregressions
- Joint analysis of the discount factor and payoff parameters in dynamic discrete choice models
- Inference in dynamic discrete choice problems under local misspecification
- Dynamic decisions under subjective expectations: a structural analysis
- Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models
- Dynamic discrete choice structural models: a survey
- Semiparametric estimation of Markov decision processes with continuous state space
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