eprintid: 50299
rev_number: 6
eprint_status: archive
userid: 1482
importid: 105
dir: disk0/00/05/02/99
datestamp: 2025-01-31 10:06:22
lastmod: 2025-02-26 08:48:40
status_changed: 2025-01-31 10:06:22
type: article
metadata_visibility: show
creators_name: Higgins, Ayden
creators_name: Jochmans, Koen
creators_id: koen.jochmans@tse-fr.eu
creators_idrefppn: 175871108
creators_affiliation: University of Exeter Business School
creators_affiliation: Toulouse School of Economics; Université Toulouse Capitole
creators_halaffid: 1002422
title: Learning Markov Processes with Latent Variables
ispublished: inpress
subjects: subjects_ECO
abstract: We consider the problem of identifying the parameters of a time-homogeneous
bivariate Markov chain when only one of the two variables is observable. We show that, subject to conditions that we spell out, the transition kernel and the distribution of the initial condition are uniquely recoverable (up to an arbitrary relabelling of the state space of the latent variable) from the joint distribution of four (or more) consecutive time-series observations. The result is, therefore, applicable to (short) panel data as well as to (stationary) time series data.
date: 2024-12
date_type: published
publisher: Cambridge University press
official_url: http://tse-fr.eu/pub/130200
faculty: tse
divisions: tse
keywords: dynamic discrete choice
keywords: finite mixture
keywords: Markov process
keywords: regime switching
keywords: state dependence
language: en
has_fulltext: TRUE
subjectsJEL: JEL_C32
subjectsJEL: JEL_C33
view_date_year: 2024
full_text_status: public
publication: Econometric Theory
place_of_pub: Cambridge
refereed: TRUE
issn: 0266-4666
oai_identifier: oai:tse-fr.eu:130200
harvester_local_overwrite: pending
harvester_local_overwrite: subjectsJEL
harvester_local_overwrite: creators_idrefppn
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harvester_local_overwrite: abstract
harvester_local_overwrite: publisher
harvester_local_overwrite: creators_id
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oai_lastmod: 2025-01-30T16:57:51Z
oai_set: tse
site: ut1
citation:   Higgins, Ayden and Jochmans, Koen <https://www.idref.fr/175871108>  (2024) Learning Markov Processes with Latent Variables.    Econometric Theory.       (In Press)  
document_url: https://publications.ut-capitole.fr/id/eprint/50299/1/wp_tse_1366.pdf