Pseudo maximum likelihood estimation of structural models involving fixed-point problems

DOI10.1016/j.econlet.2004.03.002zbMath1255.62335OpenAlexW3125494260MaRDI QIDQ1927562

Victor Aguirregabiria

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.03.002

zbMATH Keywords

recursive methods

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (6)

A HYBRID GENETIC ALGORITHM FOR THE MAXIMUM LIKELIHOOD ESTIMATION OF MODELS WITH MULTIPLE EQUILIBRIA: A FIRST REPORT ⋮ The ARCH(2) model: Pseudo-maximum estimation and asymptotic results under dependent innovations ⋮ Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations ⋮ Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations ⋮ A method for implementing counterfactual experiments in models with multiple equilibria ⋮ ESTIMATING DYNAMIC DISCRETE CHOICE MODELS WITH HYPERBOLIC DISCOUNTING, WITH AN APPLICATION TO MAMMOGRAPHY DECISIONS

Cites Work

• Econometric specification of stochastic discount factor models
• Discrete Choice with Social Interactions
• Sequential Estimation of Dynamic Discrete Games
• Optimal Nonparametric Estimation of First-price Auctions
• Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models

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