Approximating high-dimensional dynamic models: sieve value function iteration

DOI10.1108/S0731-9053(2013)0000032002MaRDI QIDQ5133530zbMATH OpenOpenAlexFDO

Authors Peter Arcidiacono, Patrick Bayer, Federico A. Bugni, Jonathan G. James

Publication date 10 November 2020

Published in Structural Econometric Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/s0731-9053(2013)0000032002

zbMATH Keywords

dynamic decision problemlarge state spacesieve approximationvalue functionvalue function iteration

Mathematics Subject Classification ID

Decision theory (91B06) Economic dynamics (91B55)

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Cited in

(9)

• A computationally efficient fixed point approach to dynamic structural demand estimation
• Efficient representation of state spaces for some dynamic models
• Solving dynamic discrete choice models using smoothing and sieve methods
• High-dimensional dynamic stochastic model representation
• Convergence Properties of the Likelihood of Computed Dynamic Models
• A Sieve-SMM Estimator for Dynamic Models
• Identification and estimation of dynamic structural models with unobserved choices
• Faster estimation of dynamic discrete choice models using index invertibility
• Assessing Markov chain approximations: a minimal econometric approach

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