Efficient Likelihood Evaluation of State-Space Representations

DOI10.1093/RESTUD/RDS040MaRDI QIDQ4922019zbMATH OpenOpenAlexFDO

Authors David N. DeJong, Roman Liesenfeld, Guilherme V. Moura, Jean-Francois Richard, Hariharan Dharmarajan

Publication date 28 May 2013

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/restud/rds040

zbMATH Keywords

particle filterdynamic stochastic general equilibrium modelefficient importance samplingkernel density approximation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cited in

(16)

• On particle methods for parameter estimation in state-space models
• Boolean Kalman filter and smoother under model uncertainty
• Testing for parameter changes in linear state space models
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• Efficient estimation of conditionally linear and Gaussian state space models
• Particle efficient importance sampling
• A one-step-ahead pseudo-DIC for comparison of Bayesian state-space models
• Maximum likelihood recursive state estimation using the expectation maximization algorithm
• Bandwidth selection in pre-smoothed particle filters
• Bayesian inference for nonlinear structural time series models
• Efficient matrix approach for classical inference in state space models
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• Likelihood approximation by numerical integration on sparse grids
• A survey of sequential Monte Carlo methods for economics and finance
• The likelihood for a state space model

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