Search Results - subject:"dynamic latent variable models"

The Gibbs sampler with particle efficient importance sampling for state-space models

Grothe, Oliver; Kleppe, Tore Selland; Liesenfeld, Roman - In: Econometric reviews 38 (2019) 10, pp. 1152-1175

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012181399

Creel, Michael; Kristensen, Dennis - Departament d'Economia i Història Econòmica, … - 2009

This is a guide that explains how to use software that implements the simulated nonparametric moments (SNM) estimator proposed by Creel and Kristensen (2009). The guide shows how results of that paper may easily be replicated, and explains how to install and use the software for estimation of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008574593

Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments

Creel, Michael; Kristensen, Dennis - Departament d'Economia i Història Econòmica, … - 2009

latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher … that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008574594

Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments

Creel, Michael - Departament d'Economia i Història Econòmica, … - 2008

used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent … variable models. Monte Carlo results show that the estimator performs well in comparison to other estimators that have been …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005582721