We consider Bayesian estimation of state space models when the measurement density is not available but estimating equations for the parameters of the measurement density are available from moment conditions. The most common applications are partial equilibrium models involving moment conditions that depend on dynamic latent variables (e.g., time varying parameters, stochastic volatility) and dynamic general equilibrium models when moment equations from the first order conditions are available but computing an accurate approximation to the measurement density is difficult.

Bayesian estimation of state space models using moment conditions / Gallant, Ronald; Giacomini, Raffaella; Ragusa, Giuseppe. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - 201:2(2017), pp. 198-211. [10.1016/j.jeconom.2017.08.003]

Bayesian estimation of state space models using moment conditions

RAGUSA, GIUSEPPE
2017

Abstract

We consider Bayesian estimation of state space models when the measurement density is not available but estimating equations for the parameters of the measurement density are available from moment conditions. The most common applications are partial equilibrium models involving moment conditions that depend on dynamic latent variables (e.g., time varying parameters, stochastic volatility) and dynamic general equilibrium models when moment equations from the first order conditions are available but computing an accurate approximation to the measurement density is difficult.
Bayesian estimation of state space models using moment conditions / Gallant, Ronald; Giacomini, Raffaella; Ragusa, Giuseppe. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - 201:2(2017), pp. 198-211. [10.1016/j.jeconom.2017.08.003]
File in questo prodotto:
File Dimensione Formato  
bliml.pdf

Open Access

Descrizione: Articolo principale
Tipologia: Documento in Pre-print
Licenza: DRM non definito
Dimensione 309.61 kB
Formato Adobe PDF
309.61 kB Adobe PDF Visualizza/Apri
JE MS2015122-2 Decision letter.pdf

Solo gestori archivio

Descrizione: Acceptance letter
Tipologia: Altro materiale allegato
Licenza: DRM non definito
Dimensione 27.57 kB
Formato Adobe PDF
27.57 kB Adobe PDF   Visualizza/Apri
blim_acc.pdf

Solo gestori archivio

Descrizione: Articolo principale
Tipologia: Documento in Pre-print
Licenza: DRM non definito
Dimensione 815.63 kB
Formato Adobe PDF
815.63 kB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/170943
Citazioni
  • Scopus 8
  • ???jsp.display-item.citation.isi??? 7
social impact