Nonparametric identification of dynamic models with unobserved state variables
نویسندگان
چکیده
منابع مشابه
Nonparametric identification of dynamic models with unobserved state variables
We consider the identification of a Markov process {Wt, X ∗ t } for t = 1, 2, ..., T when only {Wt} for t = 1, 2, ..., T is observed. In structural dynamic models, Wt denotes the sequence of choice variables and observed state variables of an optimizing agent, while X∗ t denotes the sequence of serially correlated unobserved state variables. The Markov setting allows the distribution of the uno...
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We provide some additional material pertaining to our paper Hu and Shum (2008). In section 1, we verify our assumptions for a dynamic discrete-choice model inspired by Rusts (1987) bus engine replacement model. Section 2 contains a comparison of our framework with that in Kasahara and Shimotsu (2009). Section 3 contains supplemental discussion related to Example 2 in the main paper and additio...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2012
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2012.05.023