Gregor Reich

Tsumcor Research AG

Switzerland

  • Tsumcor Research AG

SCHOLARLY PAPERS

9

DOWNLOADS

1,796

TOTAL CITATIONS

8

Scholarly Papers (9)

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1.

"Small Data": Inference with Occasionally Observed States

HEC Paris Research Paper No. MKG-2020-1380
Number of pages: 62 Posted: 14 Jan 2025
Alexandros Gilch, Andreas Lanz, Philipp Müller, Gregor Reich and Ole Wilms
University of Bonn, University of Basel - Faculty of Business and Economics, Accenture AG, Tsumcor Research AG and University of Hamburg
Downloads 299 (213,491)

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maximum likelihood estimation, occasional state observations, recursive likelihood function integration, interpolation, numerical quadrature, Markov models, dynamic discrete choice models, long-run risk models

2.

A Test of the Extreme Value Type I Assumption in the Bus Engine Replacement Model

Number of pages: 10 Posted: 21 Jan 2012
Bradley Larsen, Florian Oswald, Gregor Reich and Dan Wunderli
Olin Business School - Washington University in St. Louis, Institut d'Etudes Politiques de Paris (Sciences Po) - Department of Economics, Tsumcor Research AG and University of Zurich - Department of Economics
Downloads 285 (224,500)

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Dynamic discrete choice, Extreme value type I

3.

A Note on the Non-Proportionality of Winning Probabilities in Bitcoin

Number of pages: 18 Posted: 17 Jun 2019 Last Revised: 19 Feb 2021
José Parra-Moyano, Gregor Reich and Karl Schmedders
Copenhagen Business School, Tsumcor Research AG and IMD
Downloads 248 (258,510)
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Bitcoin, Blockchain, Choice Models

4.

Harold Zurcher and Paul Volcker—The Minutes of a Meeting that Never Was

Number of pages: 45 Posted: 03 Jan 2019 Last Revised: 22 Feb 2022
Philipp Müller and Gregor Reich
Accenture AG and Tsumcor Research AG
Downloads 228 (280,466)
Citation 1

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Structural estimation, homotopy continuation, discount factor, dynamic programming, structural break, great inflation.

5.

Efficient Likelihood Ratio Confidence Intervals using Constrained Optimization

Number of pages: 17 Posted: 26 Sep 2019 Last Revised: 10 Dec 2020
Gregor Reich and Kenneth L. Judd
Tsumcor Research AG and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 219 (291,588)

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6.

Adaptive Grids for the Estimation of Dynamic Models

Lanz, Andreas, Gregor Reich, and Ole Wilms (2022), "Adaptive Grids for the Estimation of Dynamic Models," Quantitative Marketing and Economics, 20, 179–238.
Number of pages: 62 Posted: 18 Sep 2020 Last Revised: 05 Jul 2023
Andreas Lanz, Gregor Reich and Ole Wilms
University of Basel - Faculty of Business and Economics, Tsumcor Research AG and University of Hamburg
Downloads 204 (311,897)
Citation 1

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Numerical dynamic programming, mathematical programming with equilibrium constraints, r-adaptive grid refinement, equi-oscillation

7.

Divide and Conquer: A New Approach to Dynamic Discrete Choice with Serial Correlation

Number of pages: 19 Posted: 25 Dec 2013
Gregor Reich
Tsumcor Research AG
Downloads 115 (503,970)
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Dynamic discrete choice models, Numerical dynamic programming, Gaussian quadrature, Adaptive grids, Backward iteration

8.

Divide and Conquer: Recursive Likelihood Function Integration for Hidden Markov Models with Continuous Latent Variables

Number of pages: 56 Posted: 14 Jun 2016 Last Revised: 11 Nov 2017
Gregor Reich
Tsumcor Research AG
Downloads 111 (517,407)
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Hidden Markov Models, Numerical Quadrature, Interpolation, Recursion

9.

Tests of Return Predictability: A Comparative Study

Number of pages: 68 Posted: 04 Mar 2021 Last Revised: 28 Nov 2022
Robert Erbe and Gregor Reich
University of Zurich - Department of Business Administration and Tsumcor Research AG
Downloads 87 (609,232)

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