Bayesian estimation of state space models using moment conditions

DOI10.1016/J.JECONOM.2017.08.003MaRDI QIDQ1676368zbMATH OpenOpenAlexFDO

Authors A. Ronald Gallant, Raffaella Giacomini, Giuseppe Ragusa

Publication date 7 November 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11568/958510

zbMATH Keywords

particle filterstate space modelsBayesian estimationDSGE modelsstructural modelsmoment equations

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
• An MCMC approach to classical estimation.
• Asset Prices in an Exchange Economy
• Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
• Common risk factors in the returns on stocks and bonds
• Filtering via Simulation: Auxiliary Particle Filters
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Large Sample Properties of Generalized Method of Moments Estimators
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• On a converse to Scheffé's theorem
• On particle Gibbs sampling
• On the determination of general scientific models with application to asset pricing
• Particle Markov Chain Monte Carlo Methods
• Semi-Nonparametric Maximum Likelihood Estimation
• Solving DSGE models with perturbation methods and a change of variables
• The Impact of Uncertainty Shocks
• The pseudo-marginal approach for efficient Monte Carlo computations
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

Cited in

(13)

• Editors' introduction
• Endogenous dynamic efficiency in the intertemporal optimization models of firm behavior
• Efficient estimation of conditionally linear and Gaussian state space models
• Directional technology distance functions through duality
• Bayesian prediction mean squared error for state space models with estimated parameters
• Fully Bayesian analysis of switching Gaussian state space models
• Moment conditions and Bayesian non-parametrics
• Minimum bias priors for estimating parameters of additive terms in state-space models
• Measures of global sensitivity in linear programming: applications in banking sector
• Bayesian Estimation and Comparison of Moment Condition Models
• Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
• Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling.
• Comparing dynamic equilibrium models to data: a Bayesian approach

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