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Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models

Kasahara, Hiroyuki; Shimotsu, Katsumi - Economics Department, Queen's University - 2006

This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...

Persistent link: https://www.econbiz.de/10005688568

Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration

Nielsen, Morten Ørregaard; Frederiksen, Per - Economics Department, Queen's University - 2005

parametric and semiparametric estimation methods. The estimators are briefly introduced and compared, and the criteria adopted …

Persistent link: https://www.econbiz.de/10005688402

Simple (but effective) tests of long memory versus structural breaks

Shimotsu, Katsumi - Economics Department, Queen's University - 2006

This paper proposes two simple tests that are based on certain time domain properties of I(d) processes. First, if a time series follows an I(d) process, then each subsample of the time series also follows an I(d) process with the same value of d. Second, if a time series follows an I(d)...

Persistent link: https://www.econbiz.de/10005688497

Inference via kernel smoothing of bootstrap P values

Racine, Jeff; MacKinnon, James G. - Economics Department, Queen's University - 2006

Resampling methods such as the bootstrap are routinely used to estimate the finite-sample null distributions of a range of test statistics. We present a simple and tractable way to perform classical hypothesis tests based upon a kernel estimate of the CDF of the bootstrap statistics. This...

Persistent link: https://www.econbiz.de/10005688509

Instrument-free Identification and Estimation of Differentiated Products Models

Byrne, David; Imai, Susumu; Sarafidis, Vasilis; … - Economics Department, Queen's University - 2015

We propose a new methodology for estimating the demand and cost functions of differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity of outputs to cost shocks, but does not require instruments...

Persistent link: https://www.econbiz.de/10011122620

Sequential Estimation of Structural Models with a Fixed Point Constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - Economics Department, Queen's University - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by …. To address the issue of non-convergence, we propose alternative sequential estimation procedures that can achieve … convergence even when the NPL algorithm does not. Upon convergence, some of our proposed estimation algorithms produce more …

Persistent link: https://www.econbiz.de/10005653140

Nonparametric Identification and Estimation of Multivariate Mixtures

Kasahara, Hiroyuki; Shimotsu, Katsumi - Economics Department, Queen's University - 2007

data vector has a continuously distributed element. Our identification method is constructive, and leads to an estimation …

Persistent link: https://www.econbiz.de/10005688387

Nonparametric Identification and Estimation of Finite Mixture Models of Dynamic Discrete Choices

Kasahara, Hiroyuki; Shimotsu, Katsumi - Economics Department, Queen's University - 2006

In dynamic discrete choice analysis, controlling for unobserved heterogeneity is an important issue, and finite mixture models provide flexible ways to account for unobserved heterogeneity. This paper studies nonparametric identifiability of type probabilities and type-specific component...

Persistent link: https://www.econbiz.de/10005688572

Information-Theoretic Estimation of Preference Parameters: Macroeconomic Applications and Simulation Evidence

Gregory, Allan W.; Lamarche, Jean-Francois; Smith, Gregor W. - Economics Department, Queen's University - 2001

This paper investigates the behaviour of estimators based on the Kullback-Leibler information criterion (KLIC), as an alternative to the generalized method of moments (GMM). We first study the estimators in a Monte Carlo simulation model of consumption growth with power utility. Then we compare...

Persistent link: https://www.econbiz.de/10008764501

Critical Values for Cointegration Tests

MacKinnon, James G. - Economics Department, Queen's University - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...

Persistent link: https://www.econbiz.de/10008556270

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