3 papers
econ.EM2026
Sequential Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity
Ertian Chen, Hiroyuki Kasahara, Katsumi Shimotsu
Estimating dynamic discrete choice models with unobserved heterogeneity is computationally costly because it requires repeatedly solving fixed-point equations for all unobserved ty…
econ.EM2025
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Yu Hao, Hiroyuki Kasahara, Katsumi Shimotsu
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we sho…
econ.EM2024
Inference in Predictive Quantile Regressions
Alex Maynard, Katsumi Shimotsu, Nina Kuriyama
This paper studies inference in predictive quantile regressions when the predictive regressor has a near-unit root. We derive asymptotic distributions for the quantile regression e…