Arbeitspapier
Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve quadratic convergence without fully solving the fixed point problem in every iteration. We then extend the NPL estimators to develop one-step NPL bootstrap procedures for discrete Markov decision models and provide some Monte Carlo evidence based on a machine replacement model of Rust (1987). The proposed one-step bootstrap test statistics and confidence intervals improve upon the first order asymptotics even with a relatively small number of iterations. Improvements are particularly noticeable when analyzing the dynamic impacts of counterfactual policies.
- Language
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Englisch
- Bibliographic citation
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Series: Queen's Economics Department Working Paper ; No. 1063
- Classification
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Wirtschaft
Hypothesis Testing: General
Estimation: General
Semiparametric and Nonparametric Methods: General
Statistical Simulation Methods: General
Operations Research; Statistical Decision Theory
Computational Techniques; Simulation Modeling
- Subject
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Edgeworth expansion
k-step bootstrap
maximum pseudo-likelihood estimators
nested fixed point algorithm
Newton-Raphson method
policy iteration
- Event
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Geistige Schöpfung
- (who)
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Kasahara, Hiroyuki
Shimotsu, Katsumi
- Event
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Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
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Kingston (Ontario)
- (when)
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2006
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kasahara, Hiroyuki
- Shimotsu, Katsumi
- Queen's University, Department of Economics
Time of origin
- 2006
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