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

zbMATH Keywords

Edgeworth expansionpolicy iteration\(k\)-step bootstrapfinite mixturemaximum pseudo-likelihood estimatorsnested fixed point algorithmNewton-Raphson method

Mathematics Subject Classification ID

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)

• Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models
• Dynamic discrete choice structural models: a survey
• Dynamic decisions under subjective expectations: a structural analysis
• Inference in dynamic discrete choice problems under local misspecification
• Efficient closed-form estimation of large spatial autoregressions
• Semiparametric estimation of Markov decision processes with continuous state space
• Joint analysis of the discount factor and payoff parameters in dynamic discrete choice models

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