Econometrica: Jan 1999, Volume 67, Issue 1

Report of the Editors of the Econometric Society Research Monograph Series

https://doi.org/10.1111/1468-0262.t01-1-00015
p. 218-219



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Supplemental Material

Supplement to "Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality"

This file contains the details on the derivation of the dynamic first-order optimality conditions, the linearization of the general model, the new filters, the parallelized Metropolis-Hastings algorithm, an example of a two-dimensional Smolyak poly-nomial approximation and detailed simulation results.

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Supplement to "Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality"

A link to the authors' website where replication files may be found (using their software).

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Supplement to "Testing for Regime Switching: A Comment"

In this supplemental section we prove that, for an autoregressive process, the gradient of the quasi-log-likelihood does not equal zero when evaluated at the popluation parameter values.

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

This zip file contains the replication files for the manuscript.

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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.

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