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.2017.04.004zbMATH Open1386.62074OpenAlexW2771159797MaRDI QIDQ1706441FDOQ1706441

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

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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)

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Cited In (3)

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

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