“Small Data”: Inference with Occasionally Observed States

References

• Andersson JAE, Gillis J, Horn G, Rawlings JB, Diehl M (2018) CasADi: A software framework for nonlinear optimization and optimal control. Math. Programming Comput. 20(3):1–36.Google Scholar
• Arcidiacono P, Miller RA (2011) Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity. Econometrica 79(6):1823–1867.Crossref, Google Scholar
• Bansal R, Shaliastovich I (2013) A long-run risks explanation of predictability puzzles in bond and currency markets. Rev. Financial Stud. 26(1):1–33.Crossref, Google Scholar
• Bansal R, Yaron A (2004) Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59(4):1481–1509.Crossref, Google Scholar
• Bansal R, Kiku D, Yaron A (2012) An empirical evaluation of the long-run risks model for asset prices. Critical Finance Rev. 1(1):183–221.Crossref, Google Scholar
• Bellman R (1952) On the theory of dynamic programming. Proc. Natl. Acad. Sci. USA 38(8):716–719.Crossref, Google Scholar
• Blevins JR (2016) Sequential Monte Carlo methods for estimating dynamic microeconomic models. J. Appl. Econometrics 31(5):773–804.Crossref, Google Scholar
• Bollerslev T, Tauchen GE, Zhou H (2009) Expected stock returns and variance risk premia. Rev. Financial Stud. 22(11):4463–4492.Crossref, Google Scholar
• Chang Y, Garcia A, Wang Z, Sun L (2020) Structural estimation of partially observable Markov decision processes. Preprint, submitted August 2, https://arxiv.org/abs/2008.00500/.Google Scholar
• Cheng X, Liao Z (2015) Select the valid and relevant moments: An information-based Lasso for GMM with many moments. J. Econometrics 186(2):443–464.Crossref, Google Scholar
• Connault B (2016) Hidden Rust models. Working paper, University of Pennsylvania, Philadelphia.Google Scholar
• Cosslett SR, Lee L-F (1985) Serial correlation in latent discrete variable models. J. Econometrics 27(1):79–97.Crossref, Google Scholar
• Drechsler I, Yaron A (2011) What’s Vol got to do with it. Rev. Financial Stud. 24(1):1–45.Crossref, Google Scholar
• Engle RF, Russell JR (1998) Autoregressive conditional duration: A new model for irregularly spaced transaction data. Econometrica 66(5):1127.Crossref, Google Scholar
• Erdem T, Keane MP, Sun B (1999) Missing price and coupon availability data in scanner panels: Correcting for the self-selection bias in choice model parameters. J. Econometrics 89(1–2):177–196.Crossref, Google Scholar
• Farmer LE (2021) The discretization filter: A simple way to estimate nonlinear state space models. Quant. Econom. 12(1):41–76.Crossref, Google Scholar
• Gilch A, Reich G, Wilms O (2025) Asymptotic properties of the maximum likelihood estimator under occasionally observed states. Working paper, Universität Hamburg, Hamburg, Germany.Google Scholar
• Grammig J, Küchlin E-M (2018) A two-step indirect inference approach to estimate the long-run risk asset pricing model. J. Econometrics 205(1):6–33.Crossref, Google Scholar
• Griebel M, Heiss F, Oettershagen J, Weiser C (2019) Maximum approximated likelihood estimation. Preprint, submitted August 12, https://arxiv.org/abs/1908.04110/.Google Scholar
• Hall G, Rust J (2021) Estimation of endogenously sampled time series: The case of commodity price speculation in the steel market. J. Econometrics 222(1):219–243.Crossref, Google Scholar
• Hansen LP, Heaton JC, Li N (2008) Consumption strikes back? Measuring long run risk. J. Political Econom. 116(2):260–302.Crossref, Google Scholar
• Iskhakov F (2010) Structural dynamic model of retirement with latent health indicator. Econom. J. 13(3):126–161.Crossref, Google Scholar
• Keane MP (1994) A computationally practical simulation estimator for panel data. Econometrica 62(1):95–116.Crossref, Google Scholar
• Kitagawa G (1987) Non-gaussian state-space modeling of nonstationary time series. J. Amer. Statist. Assoc. 82(400):1032.Google Scholar
• Lanz A, Reich G, Wilms O (2022) Adaptive grids for the estimation of dynamic models. Quant. Marketing Econom. 20(2):179–238.Crossref, Google Scholar
• Little RJA, Rubin DB (2002) Statistical Analysis with Missing Data (John Wiley & Sons, Inc., New York).Crossref, Google Scholar
• Norets A (2009) Inference in dynamic discrete choice models with serially correlated unobserved state variables. Econometrica 77(5):1665–1682.Crossref, Google Scholar
• Reich G (2018) Divide and conquer: Recursive likelihood function integration for hidden Markov models with continuous latent variables. Oper. Res. 66(6):1457–1470.Link, Google Scholar
• Rust J (1987) Optimal replacement of GMC bus engines: An empirical model of Harold Zurcher. Econometrica 55(5):999–1033.Crossref, Google Scholar
• Schorfheide F, Song D, Yaron A (2018) Identifying long-run risks: A Bayesian mixed-frequency approach. Econometrica 86(2):617–654.Crossref, Google Scholar
• Wächter A, Biegler LT (2005) On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming. Math. Programming 106(1):25–57.Crossref, Google Scholar