Bayesian estimation of state space models using moment conditions

DOI10.1016/J.JECONOM.2017.08.003zbMATH Open1377.62091OpenAlexW2742112072MaRDI QIDQ1676368FDOQ1676368

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

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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)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
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• On particle Gibbs sampling
• Solving DSGE models with perturbation methods and a change of variables
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
• A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states

Cited In (13)

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

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