Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models

DOI10.1017/S0266466610000599zbMATH Open1226.62021OpenAlexW2165321580MaRDI QIDQ3100976FDOQ3100976

Neil Shephard, Thomas Flury

Publication date: 22 November 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466610000599

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Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cites Work

• Sequential Monte Carlo Methods in Practice
• Time series analysis by state space methods
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Filtering via Simulation: Auxiliary Particle Filters
• Analysis of multivariate probit models
• A Bayesian Formulation of Exploratory Data Analysis and Goodness‐of‐fit Testing*
• Discrete Choice Methods with Simulation
• Bayesian Analysis of DSGE Models
• Estimating Macroeconomic Models: A Likelihood Approach
• Comparing solution methods for dynamic equilibrium economies
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Convergence Properties of the Likelihood of Computed Dynamic Models
• The Method of Simulated Scores for the Estimation of LDV Models
• Particle Filtering

Cited In (33)

• On particle methods for parameter estimation in state-space models
• Subsampling MCMC -- an introduction for the survey statistician
• Variational Bayes in State Space Models: Inferential and Predictive Accuracy
• Dynamically Rescaled Hamiltonian Monte Carlo for Bayesian Hierarchical Models
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• Calibrating a Stochastic, Agent-Based Model Using Quantile-Based Emulation
• Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
• Sequential Monte Carlo for fractional stochastic volatility models
• Particle Metropolis-Hastings using gradient and Hessian information
• Efficiency of delayed-acceptance random walk metropolis algorithms
• The use of a single pseudo-sample in approximate Bayesian computation
• Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
• Efficient estimation and filtering for multivariate jump-diffusions
• High dimensional dynamic stochastic copula models
• A Survey of Sequential Monte Carlo Methods for Economics and Finance
• Marginal likelihood for Markov-switching and change-point GARCH models
• A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
• Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
• Particle efficient importance sampling
• Full‐information estimation of heterogeneous agent models using macro and micro data
• Bayesian estimation of state space models using moment conditions
• Bandwidth selection in pre-smoothed particle filters
• The Gibbs sampler with particle efficient importance sampling for state-space models*
• A Bayesian learning model of hedge fund performance
• Non-linear DSGE models and the optimized central difference particle filter
• Particle Markov Chain Monte Carlo Methods
• Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models
• Endogenous dynamic efficiency in the intertemporal optimization models of firm behavior
• Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
• Estimating linearized heterogeneous agent models using panel data
• Flexible Bayesian analysis of first price auctions using a simulated likelihood
• Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets
• Estimating dynamic equilibrium models with stochastic volatility

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