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Robust inference on parameters via particle filters and sandwich covariance matrices

  • Neil Shephard
  • Arnaud Doucet

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.

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File URL: http://www.economics.ox.ac.uk/materials/papers/12037/paper606.pdf
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Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 606.

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Date of creation: 01 Jun 2012
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Handle: RePEc:oxf:wpaper:606
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Web page: http://www.economics.ox.ac.uk/
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  1. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood," PIER Working Paper Archive 04-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  2. Jesus Fernandez-Villaverde & Juan Rubio & Manuel Santos, 2005. "Convergence Properties of the Likelihood of Computed Dynamic Models," NBER Technical Working Papers 0315, National Bureau of Economic Research, Inc.
  3. 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.
  4. Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 361-93, July.
  5. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
  6. repec:dgr:vuarem:2009-18 is not listed on IDEAS
  7. Jason R. Blevins, 2011. "Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models," Working Papers 11-01, Ohio State University, Department of Economics.
  8. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models—Rejoinder," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 211-219.
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