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.2017.04.004zbMath1386.62074OpenAlexW2771159797MaRDI QIDQ1706441
A. Ronald Gallant, Ahmed Khwaja, Han Hong
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
dynamic gamesheterogeneous agentsparticle filterendogenous statepartially observed stateserially correlated state
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Dynamic games (91A25)
Related Items (3)
Cites Work
- Nonparametric identification of dynamic models with unobserved state variables
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Structural vs. atheoretic approaches to econometrics
- Empirical models of discrete games
- Discounted, positive, and noncooperative stochastic games
- Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
- Monte Carlo strategies in scientific computing.
- Sequential Monte Carlo Methods in Practice
- Conditional Choice Probability Estimation of Dynamic Discrete Choice Models With Unobserved Heterogeneity
- Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher
- Identification and Estimation of a Discrete Game of Complete Information
- Computational Methods for Oblivious Equilibrium
- BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
- Conditional Choice Probabilities and the Estimation of Dynamic Models
- Bayesian Estimation of Dynamic Discrete Choice Models
- Sequential Estimation of Dynamic Discrete Games
- Markov Perfect Industry Dynamics With Many Firms
- Inference in Dynamic Discrete Choice Models With Serially Correlated Unobserved State Variables
- Patents as Options: Some Estimates of the Value of Holding European Patent Stocks
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- Estimation of a Model of Entry in the Airline Industry
- A Computationally Practical Simulation Estimator for Panel Data
- On the Existence of Pure and Mixed Strategy Nash Equilibria in Discontinuous Games
- Filtering via Simulation: Auxiliary Particle Filters
- Particle Markov Chain Monte Carlo Methods
- Markov-Perfect Industry Dynamics: A Framework for Empirical Work
- Estimating Dynamic Models of Imperfect Competition
- Identifying Dynamic Discrete Decision Processes
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