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The Johns Hopkins University, Baltimore, Md. >
Department of Economics, The Johns Hopkins University >
Working Papers, Department of Economics, The Johns Hopkins University >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/49893
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hu, Yingyao | | en_US |
| dc.contributor.author | | Shum, Matthew | | en_US |
| dc.date.accessioned | | 2010-03-19 | | en_US |
| dc.date.accessioned | | 2011-09-27T15:21:24Z | | - |
| dc.date.available | | 2011-09-27T15:21:24Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/49893 | | - |
| dc.description.abstract | | We consider the identification of a Markov process {Wt,Xt*} 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 Xt* denotes the sequence of serially correlated unobserved state variables. The Markov setting allows the distribution of the unobserved state variable Xt* to depend on Wt-1 and Xt-1*. We show that the joint distribution f Wt, Xt* Wt-1, Xt-1* is identified from the observed distribution f Wt+1, Wt Wt-1, Wt-2, Wt-3 under reasonable assumptions. Identification of f Wt, Xt*, Wt-1, Xt-1* is a crucial input in methodologies for estimating dynamic models based on the conditional-choice-probability (CCP) approach pioneered by Hotz and Miller. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Johns Hopkins Univ., Dep. of Economics Baltimore, Md. | | en_US |
| dc.relation.ispartofseries | | Working papers // the Johns Hopkins University, Department of Economics 543 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.stw | | Markovscher Prozess | | en_US |
| dc.subject.stw | | Ökonometrie | | en_US |
| dc.title | | Nonparametric identification of dynamic models with unobserved state variables | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 573519633 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Working Papers, Department of Economics, The Johns Hopkins University
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