BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
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Publication:3100976
DOI10.1017/S0266466610000599zbMath1226.62021MaRDI QIDQ3100976
Publication date: 22 November 2011
Published in: Econometric Theory (Search for Journal in Brave)
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
91B82: Statistical methods; economic indices and measures
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Non-linear DSGE models and the optimized central difference particle filter, Marginal likelihood for Markov-switching and change-point GARCH models
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