Supplement to "Sequential Estimation of Structural Models with a Fixed Point Constraint"

This supplement contains the following details omitted from the main paper due to space constraints: (A) proof of the results in the paper, (B) auxiliary results and their proof, (C) additional alternative sequential algorithms, (D) the convergence properties of the NPL algorithm for models with unobserved heterogeneity, and (E) additional Monte Carlo results.

Supplemental Authors: 
Hiroyuki Kasahara and Katsumi Shimotsu