Nonparametric Identification of Dynamic Models with Unobserved State Variables ∗

@inproceedings{Hu2008NonparametricIO,
  title={Nonparametric Identification of Dynamic Models with Unobserved State Variables ∗},
  author={Yingyao Hu and Matthew Shum},
  year={2008}
}
We consider the identification of a Markov process {Wt, X ∗ t } for t = 1, 2, ..., T when only {Wt} for t = 1, 2, ..., T is observed. In structural dynamic models, Wt denotes the sequence of choice variables and observed state variables of an optimizing agent, while X∗ t denotes the sequence of serially correlated unobserved state variables. The Markov… CONTINUE READING

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