Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models

DOI10.1016/j.jeconom.2008.07.004zbMath1418.62483OpenAlexW1992133696MaRDI QIDQ295702

Katsumi Shimotsu, Hiroyuki Kasahara

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

Newton-Raphson methodEdgeworth expansionpolicy iteration\(k\)-step bootstrapfinite mixturemaximum pseudo-likelihood estimatorsnested fixed point algorithm

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Bootstrap, jackknife and other resampling methods (62F40) Markov and semi-Markov decision processes (90C40)

Related Items (6)

Joint analysis of the discount factor and payoff parameters in dynamic discrete choice models ⋮ Inference in dynamic discrete choice problems under local misspecification ⋮ Dynamic discrete choice structural models: a survey ⋮ Dynamic decisions under subjective expectations: a structural analysis ⋮ Semiparametric estimation of Markov decision processes with continuous state space ⋮ Efficient closed-form estimation of large spatial autoregressions

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