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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…
econ.EM2019
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
Dennis Kristensen, Young Jun Lee
We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time series models. We show the proposed esti…