Please use this identifier to cite or link to this item:
Hu, Yingyao
Shum, Matthew
Year of Publication: 
Series/Report no.: 
cemmap working paper CWP13/08
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 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 of (Wt, Xt*, Wt-1, Xt-1*) is identified from the observed distribution of (Wt+1, Wt, Wt-1, Wt-2, Wt-3) under reasonable assumptions. Identification of the joint distribution of (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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
392.93 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.