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Modern econometric analysis : theory and applications
Okimoto, Tatsuyoshi - 2005
Persistent link: https://www.econbiz.de/10003905688
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Sequential estimation of structural models with a fixed point constraint
Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008
This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...
Persistent link: https://www.econbiz.de/10010264523
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Sequential estimation of structural models with a fixed point constraint
Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008
This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...
Persistent link: https://www.econbiz.de/10010290435
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Sequential estimation of structural models with a fixed point constraint
Kasahara, Hiroyuki (contributor);  … - 2008
This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...
Persistent link: https://www.econbiz.de/10003782944
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Local Whittle estimation of fractional integration and some of its variants
Shimotsu, Katsumi; Phillips, Peter C. B. - In: Journal of econometrics 130 (2006) 2, pp. 209-233
Persistent link: https://www.econbiz.de/10003277950
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Nested pseudo-likelihood estimation and bootstrap-based inference for structural discrete Markov decision models
Kasahara, Hiroyuki (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003318947
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Sequential estimation of structural models with a fixed point constraint
Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008
This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...
Persistent link: https://www.econbiz.de/10003805996
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Determining the cointegrating rank in nonstationary frational system by the exact local Whittle approach
Nielsen, Morten Ørregaard; Shimotsu, Katsumi - In: Journal of econometrics 141 (2007) 2, pp. 574-596
Persistent link: https://www.econbiz.de/10003571326
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Sequential estimation of structural models with a fixed point constraint
Kasahara, Hiroyuki; Shimotsu, Katsumi - 2009
Persistent link: https://www.econbiz.de/10003941921
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Sequential estimation of structural models with a fixed point constraint
Kasahara, Hiroyuki; Shimotsu, Katsumi - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 5, pp. 2303-2319
Persistent link: https://www.econbiz.de/10009665454