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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155

Persistent link: https://www.econbiz.de/10012110246

Reflections on the probability space induced by moment conditions with implications for Bayesian inference

Gallant, A. Ronald - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 229-247

Persistent link: https://www.econbiz.de/10011588992

Reflections on the probability space induced by moment conditions with implications for Bayesian inference : author response to comments

Gallant, A. Ronald - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 284-294

Persistent link: https://www.econbiz.de/10011591037

Nonparametric Bayes subject to overidentified moment conditions

Gallant, A. Ronald - In: Journal of econometrics 228 (2022) 1, pp. 27-38

Persistent link: https://www.econbiz.de/10013441713

New directions in nonlinear structural estimation : Bayes and Frequentist: editorial

Tauchen, George Eugene - In: Journal of econometrics 228 (2022) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10013441706

On the determination of general scientific models

Gallant, A. Ronald (contributor); … - 2004 - This draft September 2004

Persistent link: https://www.econbiz.de/10003770545

Estimating a dynamic oligopolistic game with serially correlated unobserved production costs

Gallant, A. Ronald; Hong, Han; Khwaja, Ahmed - 2008

Persistent link: https://www.econbiz.de/10003819987

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

A Statistical Inquiry into the Plausibility of Recursive Utility

Gallant, A. Ronald - 2010

We use purely statistical methods to determine if the pricing kernel is the intertemporal marginal rate of substitution under recursive utility. We introduce a nonparametric Bayesian method that treats the pricing kernel as a latent variable and extracts it and its transition density from...

Persistent link: https://www.econbiz.de/10013152680