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

zbMATH Keywords

dynamic gamesheterogeneous agentsparticle filterendogenous statepartially observed stateserially correlated state

Mathematics Subject Classification ID

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)

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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