Development of algorithms for estimating dynamic structural models

开发估计动态结构模型的算法

• 批准号: 21830036
• 负责人: SHIMOTSU Katsumi
• 金额: $ 1.69万
• 依托单位: Hitotsubashi University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Research Activity Start-up
• 财政年份: 2009
• 资助国家: 日本
• 起止时间: 2009 至 2010
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-21830036/
• 关键词: 構造的計量経済モデル; 動的最適化; アルゴリズム; 不動点問題; 漸近理論

This research project develops a new procedure for estimating the dynamic structural models, namely, the econometric models that require solving a dynamic programming (fixed point) problem. The new estimation algorithm has two attractive features : (1) it is computationally less demanding than the existing methods, and (2) it is applicable to a wide range of dynamic structural models. Further, I analyze the asymptotic property of the proposed algorithm, and I demonstrate the practical applicability of the proposed algorithm by computer simulations.

这项研究开发了一种估计动态结构模型的新方法，即需要求解动态规划(不动点)问题的计量经济模型。新的估计算法具有两个吸引人的特点：(1)比现有方法对计算的要求更低；(2)它适用于广泛的动态结构模型。进一步分析了该算法的渐近性质，并通过计算机仿真验证了该算法的实用性。

项目成果

EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND

• DOI: 10.1017/s0266466609100075
• 发表时间: 2010-04-01
• 期刊: ECONOMETRIC THEORY
• 影响因子: 0.8
• 作者: Shimotsu, Katsumi

Sequential Estimation of Dynamic Programming Models

动态规划模型的顺序估计

• 发表时间: 2010
• 作者: Koii Sakai;Iichiro Uesugi;Tsutomu Watanabe;下津克己;戸高七菜;田代志門;堀健夫;下津克己;坂井功治;諸岡了介・田代志門;堀健夫;下津克己;田代志門;坂井功治;堀健夫;戸高七菜;下津克己
• 通讯作者: 下津克己

Sequential Estimation of Dynamic Programming Models with Unobserved Heterogeneity.

具有未观察到的异质性的动态规划模型的顺序估计。

• 发表时间: 2011
• 期刊: Discussion papers, Graduate School of Economics, Hitotsubashi University 2011-03
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu.
• 通讯作者: Katsumi Shimotsu.

Nonparametric Identification of Multivariate Mixtures

• 发表时间: 2010-08
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu

Decline in the Persistence of Real Exchange Rates, but Not Sufficient for Purchasing Power Parity.

实际汇率持续下降，但不足以实现购买力平价。

• 发表时间: 2010
• 期刊: Journal of the Japanese and International Economies 24
• 作者: Tatsuyoshi Okimoto;Katsumi Shimotsu.
• 通讯作者: Katsumi Shimotsu.