3 papers
econ.EM2020
Diffusion Copulas: Identification and Estimation
Ruijun Bu, Kaddour Hadri, Dennis Kristensen
We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric dif…
econ.EM2020
Identification of a class of index models: A topological approach
Mogens Fosgerau, Dennis Kristensen
We establish nonparametric identification in a class of so-called index models using a novel approach that relies on general topological results. Our proof strategy requires substa…
econ.EM2019
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods
Dennis Kristensen, Patrick K. Mogensen, Jong Myun Moon +1
We propose to combine smoothing, simulations and sieve approximations to solve for either the integrated or expected value function in a general class of dynamic discrete choice (D…