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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Research Report ; No. 2006-4
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Statistical Simulation Methods: General
Operations Research; Statistical Decision Theory
Computational Techniques; Simulation Modeling
- Thema
-
Edgeworth expansion
k-step bootstrap
maximum pseudo-likelihood estimators
nested fixed point algorithm
Newton-Raphson method
policy iteration
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kasahara, Hiroyuki
Shimotsu, Katsumi
- Ereignis
-
Veröffentlichung
- (wer)
-
The University of Western Ontario, Department of Economics
- (wo)
-
London (Ontario)
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kasahara, Hiroyuki
- Shimotsu, Katsumi
- The University of Western Ontario, Department of Economics
Entstanden
- 2006
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