Fitting a Complex Markov Model for Firm and Market Productivity

Julia Valder
University of Wisconsin-Milwaukee
MS Graduate Student

“There is a model in economics that models firm and market productivity as Markov Chains. But estimating the transition matrix for a single firm with traditional methods like maximum likelihood is highly inaccurate since the available data is limited. The estimation for the market-wide transition probabilities also create some challenges for traditional methods. This thesis presents a different approach to this problem, proposes an estimator for single-firm productivity Markov chains and analyzes its properties.”

Committee Members: 
Profs. Richard Stockbridge (Advisor); Gabriella Pinter & Chao Zhu