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Combination schemes for turning point predictions

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2012

Persistent link: https://www.econbiz.de/10009524199

Implementing the zero lower bound in an estimated regime-switching DSGE model

Binning, Andrew; Maih, Junior - 2016

Persistent link: https://www.econbiz.de/10011449725

Applying flexible parameter restrictions in Markov-Switching vector autoregression models

Binning, Andrew; Maih, Junior - 2015

Persistent link: https://www.econbiz.de/10011410311

Modelling occasionally binding constraints using regime-switching

Binning, Andrew; Maih, Junior - 2017

Persistent link: https://www.econbiz.de/10011753681

Risk filtering and risk-averse control of Markovian systems subject to model uncertainty

Bielecki, Tomasz R.; Cialenco, Igor; Ruszczyński, … - In: Mathematical methods of operations research : ZOR 98 (2023) 2, pp. 231-268

Persistent link: https://www.econbiz.de/10014423851

Nonparametric identification of dynamic decision processes with discrete and continuous choices

Blevins, Jason R. - In: Quantitative economics : QE ; journal of the … 5 (2014) 3, pp. 531-554

Persistent link: https://www.econbiz.de/10011546612

First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function

Kern, Patrick; Simroth, Axel; Zähle, Henryk - In: Mathematical methods of operations research : ZOR 92 (2020) 1, pp. 165-197

Persistent link: https://www.econbiz.de/10012301681

Nonparametric identification of dynamic decision processes with discrete and continuous choices

Blevins, Jason R. - In: Quantitative economics : QE ; journal of the … 5 (2014) 3, pp. 531-554

This paper establishes conditions for nonparametric identification of dynamic optimization models in which agents make both discrete and continuous choices. We consider identification of both the payoff function and the distribution of unobservables. Models of this kind are prevalent in applied...

Persistent link: https://www.econbiz.de/10011757281