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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

Bayesian averaging, prediction and nonnested model selection

Hong, Han; Preston, Bruce - In: Journal of econometrics 167 (2012) 2, pp. 358-369

Persistent link: https://www.econbiz.de/10009612857

Likelihood inference in a class of nonregular econometric models

Chernozhukov, Victor (contributor); Hong, Han (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001647459

Nonparametric regression approach to Bayesian estimation

Gao, Jiti; Hong, Han - 2014

Persistent link: https://www.econbiz.de/10011781031

A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states

Gallant, A. Ronald; Hong, Han; Khwaja, Ahmed - In: Journal of econometrics 203 (2018) 1, pp. 19-32

Persistent link: https://www.econbiz.de/10011974601

Constrained estimation using penalization and MCMC

Gallant, A. Ronald; Hong, Han; Leung, Michael P.; Li, Jessie - In: Journal of econometrics 228 (2022) 1, pp. 85-106

Persistent link: https://www.econbiz.de/10013441728

Structural econometrics of auctions : a review

Gentry, Matthew L.; Hubbard, Timothy P.; Nekipelov, Denis N. - 2018

Persistent link: https://www.econbiz.de/10011875193

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