Pseudo maximum likelihood estimation of structural models involving fixed-point problems

被引：11

作者：

Aguirregabiria, V ^{[1
]}

机构：

[1] Boston Univ, Dept Econ, Boston, MA 02215 USA

来源：

ECONOMICS LETTERS | 2004年 / 84卷 / 03期

基金：

美国国家科学基金会;

关键词：

fixed-points; pseudo maximum likelihood estimation; recursive methods;

D O I：

10.1016/j.econlet.2004.03.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper deals with the estimation of structural econometric models where the probability distribution of endogenous variables is implicitly defined as an equilibrium of a fixed-point problem. It proposes a pseudo maximum likelihood (PML) procedure and studies its asymptotic properties. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：335 / 340

页数：6

共 7 条

[1] Swapping the nested fixed point algorithm: A class of estimators for discrete Markov decision models [J].