2010 Fiscal Year Final Research Report
Development of algorithms for estimating dynamic structural models
| Project/Area Number |
21830036
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
SHIMOTSU Katsumi Hitotsubashi University, 大学院・経済学研究科, 教授 (50547510)
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| Project Period (FY) |
2009 – 2010
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| Keywords | 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 |
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| Research Abstract |
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.
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