Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
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Other versions of this item:
- 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(5), pages 933-956, October.
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KeywordsDynamic stochastic general equilibrium models; inference; likelihood; MCMC; Metropolis-Hastings; particle filter; state space models; stochastic volatility;
All these keywords.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-DGE-2008-12-07 (Dynamic General Equilibrium)
- NEP-ECM-2008-12-07 (Econometrics)
- NEP-ETS-2008-12-07 (Econometric Time Series)
- NEP-MAC-2008-12-07 (Macroeconomics)
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