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Robust inference on parameters via particle filters and sandwich covariance matrices

Author

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  • Neil Shephard
  • Arnaud Doucet

Abstract

Likelihood based estimation of the parameters of state space models can be carried out via a particle filter. In this paper we show how to make valid inference on such parameters when the model is incorrect. In particular we develop a simulation strategy for computing sandwich covariance matrices which can be used for asymptotic likelihood based inference. These methods are illustrated on some simulated data.

Suggested Citation

  • Neil Shephard & Arnaud Doucet, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Series Working Papers 606, University of Oxford, Department of Economics.
  • Handle: RePEc:oxf:wpaper:606
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    File URL: http://www.economics.ox.ac.uk/materials/papers/12037/paper606.pdf
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    References listed on IDEAS

    as
    1. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models—Rejoinder," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 211-219.
    2. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Manuel S. Santos, 2006. "Convergence Properties of the Likelihood of Computed Dynamic Models," Econometrica, Econometric Society, vol. 74(1), pages 93-119, January.
    3. Juan F. Rubio-Ramirez & Jesus Fernández-Villaverde, 2005. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 891-910.
    4. Jason R. Blevins, 2016. "Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(5), pages 773-804, August.
    5. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
    6. Flury, Thomas & Shephard, Neil, 2011. "Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models," Econometric Theory, Cambridge University Press, vol. 27(05), pages 933-956, October.
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    Citations

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    Cited by:

    1. Li, Yong & Liu, Xiao-Bin & Yu, Jun, 2015. "A Bayesian chi-squared test for hypothesis testing," Journal of Econometrics, Elsevier, vol. 189(1), pages 54-69.
    2. P. G. Bissiri & C. C. Holmes & S. G. Walker, 2016. "A general framework for updating belief distributions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(5), pages 1103-1130, November.
    3. Li, Yong & Yu, Jun & Zeng, Tao, 2018. "Integrated Deviance Information Criterion for Latent Variable Models," Economics and Statistics Working Papers 6-2018, Singapore Management University, School of Economics.

    More about this item

    Keywords

    Quasi-likelihood; Particle filter; Sandwich matrix; Sequential Monte Carlo;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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