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A statistical inquiry into the plausibility of recursive utility

Gallant, A. Ronald; Hong, Han - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 523-559

Persistent link: https://www.econbiz.de/10003570720

Bayesian estimation of a dynamic game with endogenous, partially observed, serially correlated state

Gallant, A. Ronald; Hong, Han; Khwaja, Ahmed - 2011

Persistent link: https://www.econbiz.de/10009561727

Comments on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Amengual, Dante; Sentana, Enrique - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 248-252

Persistent link: https://www.econbiz.de/10011591026

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Geweke, John - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 253-257

Persistent link: https://www.econbiz.de/10011591027

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Kim, Chae-yŏng - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 258-260

Persistent link: https://www.econbiz.de/10011591028

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Linton, Oliver; Wu, Ruochen - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 261-264

Persistent link: https://www.econbiz.de/10011591029

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Robert, Christian P. - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 265-271

Persistent link: https://www.econbiz.de/10011591030

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Sims, Christopher A. - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 272-277

Persistent link: https://www.econbiz.de/10011591031

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Wei, Wei; Lunde, Asger - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 278-283

Persistent link: https://www.econbiz.de/10011591033

Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State

Gallant, A. Ronald - 2012

We consider dynamic games that can have state variables that are partially observed, serially correlated, endogenous, and heterogeneous. We propose a Bayesian method that uses a particle filter to compute an unbiased estimate of the likelihood within a Metropolis chain. Unbiasedness guarantees...

Persistent link: https://www.econbiz.de/10013111972