Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
Year of publication: |
2008
|
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Authors: | Flury, Thomas ; Shephard, Neil |
Institutions: | Finance Research Centre, Oxford University |
Subject: | Dynamic stochastic general equilibrium models | inference | likelihood | MCMC | Metropolis-Hastings | particle filter | state space models | stochastic volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 2 pages long |
Classification: | C11 - Bayesian Analysis ; C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles |
Source: |
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Shephard, Neil, (2008)
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