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DTSTART:20261025T030000
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DTSTART:20260329T020000
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BEGIN:VEVENT
UID:calendar.143990.field_date.0@www.tse-fr.eu
DTSTAMP:20260905T071210Z
CREATED:20260904T111001Z
DESCRIPTION:Dennis Kristensen (University College  London)\, “Fast Estimati
 on of Dynamic Structural Models with unobserved heterogeneity”\, Economic 
 Theory Seminar\, Toulouse: TSE\, September 8\, 2026\, 15:30–16:50\, room A
 uditorium 4.\n\nWe propose a novel approximate fixed effects (AFE) estimat
 or that employs interpolation in the computation of its criterion function
 . This feature greatly reduces\nthe number of times the underlying economi
 c model needs to be solved. In the case\nof dynamic programming models thi
 s can reduce the estimation time from days to\nminutes. We study the asymp
 totic behavior of the AFE estimator and derive the\nleading additional bia
 ses due to approximations under mild regularity conditions.\nWe demonstrat
 e that the Jackknife removes both the usual incidental parameter\nbias and
  biases due to approximations. Monte Carlo results highlights the attracti
 ve features of the AFE which is much faster than the exact FE estimator an
 d with\nonly small additional estimation errors. We apply the AFE to fit t
 he buffer-stock\nconsumption-saving model with unrestricted heterogeneity 
 in the discount factor on\nDanish register data.
DTSTART;TZID=Europe/Paris:20260908T163000
DTEND;TZID=Europe/Paris:20260908T175000
LAST-MODIFIED:20260905T001001Z
LOCATION:Toulouse: TSE\, September 8\, 2026\, 15:30–16:50\, room Auditorium
  4
SUMMARY:Economic Theory Seminar
URL;TYPE=URI:https://www.tse-fr.eu/seminars/2026-fast-estimation-dynamic-st
 ructural-models-unobserved-heterogeneity
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