A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states

DOI10.1016/J.JECONOM.2017.04.004MaRDI QIDQ1706441zbMATH OpenOpenAlexFDO

Authors A. Ronald Gallant, Han Hong, Ahmed Khwaja

Publication date 22 March 2018

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2017.04.004

zbMATH Keywords

particle filterheterogeneous agentsdynamic gamesendogenous statepartially observed stateserially correlated state

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Dynamic games (91A25)

Recommendations

• Bayesian estimation of dynamic discrete choice models
• Inference in dynamic discrete choice models with serially orrelated unobserved state variables
• Sequential Estimation of Dynamic Discrete Games
• Estimating dynamic discrete-choice games of incomplete information
• Estimation of finite sequential games

Cites work

• A Computationally Practical Simulation Estimator for Panel Data
• Bayesian estimation of dynamic discrete choice models
• Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
• Computational methods for oblivious equilibrium
• Conditional Choice Probabilities and the Estimation of Dynamic Models
• Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity
• Discounted, positive, and noncooperative stochastic games
• Empirical models of discrete games
• Estimating Dynamic Models of Imperfect Competition
• Estimation of a Model of Entry in the Airline Industry
• Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
• Filtering via Simulation: Auxiliary Particle Filters
• Identification and estimation of a discrete game of complete information
• Identifying Dynamic Discrete Decision Processes
• Inference in dynamic discrete choice models with serially orrelated unobserved state variables
• Markov Perfect Industry Dynamics With Many Firms
• Markov-Perfect Industry Dynamics: A Framework for Empirical Work
• Monte Carlo strategies in scientific computing.
• Nonparametric identification of dynamic models with unobserved state variables
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• On the Existence of Pure and Mixed Strategy Nash Equilibria in Discontinuous Games
• Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher
• Particle Markov Chain Monte Carlo Methods
• Patents as Options: Some Estimates of the Value of Holding European Patent Stocks
• Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
• Sequential Estimation of Dynamic Discrete Games
• Sequential Monte Carlo Methods in Practice
• Structural vs. atheoretic approaches to econometrics

Cited in

(3)

• Endogenous dynamic efficiency in the intertemporal optimization models of firm behavior
• Estimation of agent-based models using sequential Monte Carlo methods
• Bayesian estimation of state space models using moment conditions

This page was built for publication: A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1706441)