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

Journal of Econometrics

Volumn 146, Issue 1, 2008, Pages 92-106

  Kasahara, Hiroyuki ^a   Shimotsu, Katsumi ^b  

^a UNIVERSITY OF WESTERN ONTARIO   (Canada)

^b QUEEN S UNIVERSITY   (Canada)

Author keywords

Edgeworth expansion; Finite mixture; k step bootstrap; Maximum pseudo likelihood estimators; Nested fixed point algorithm; Newton Raphson method; Policy iteration

Indexed keywords

ALGORITHMS; FINANCIAL DATA PROCESSING; ITERATIVE METHODS; MARKOV PROCESSES; MAXIMUM LIKELIHOOD; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS; STATISTICAL TESTS;

ASYMPTOTICS; CONFIDENCE INTERVALS; EDGEWORTH EXPANSION; EMPIRICAL MODELING; FINITE MIXTURE; FINITE MIXTURE MODELS; FIRST ORDERS; FIXED POINT PROBLEM; FIXED-POINT ALGORITHMS; HIGHER-ORDER; K-STEP BOOTSTRAP; MARKOV DECISION MODELS; MAXIMUM PSEUDO-LIKELIHOOD ESTIMATORS; MONTE CARLO SIMULATION; NESTED FIXED POINT ALGORITHM; NEWTON-RAPHSON METHOD; NUMBER OF ITERATIONS; POLICY ITERATION; PRACTICAL IMPLEMENTATION; PSEUDO-LIKELIHOOD; QUADRATIC CONVERGENCE; SIMULATION RESULTS; TEST STATISTICS;

ESTIMATION;

EID: 52149118902     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.07.004     Document Type: Article

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