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Bayesian inference for nonlinear structural time series models
Hall, Jamie; Pitt, Michael K.; Kohn, Robert - In: Journal of econometrics 179 (2014) 2, pp. 99-111
Persistent link: https://www.econbiz.de/10010372659
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Tempered particle filtering
Herbst, Edward P.; Schorfheide, Frank - In: Journal of econometrics 210 (2019) 1, pp. 26-44
Persistent link: https://www.econbiz.de/10012303367
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Bayesian estimation of state space models using moment conditions
Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 201 (2017) 2, pp. 198-211
Persistent link: https://www.econbiz.de/10011918691
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Efficient estimation and filtering for multivariate jump-diffusions
Guay, François; Schwenkler, Gustavo - In: Journal of econometrics 223 (2021) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10012619970
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Filtered likelihood for point processes
Giesecke, Kay; Schwenkler, Gustavo - In: Journal of econometrics 204 (2018) 1, pp. 33-53
Persistent link: https://www.econbiz.de/10011974711
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 196 (2017) 1, pp. 144-155
Persistent link: https://www.econbiz.de/10011743789
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Likelihood ratio testing in linear state space models : an application to dynamic stochastic general equilibrium models
Komunjer, Ivana; Zhu, Yinchu - In: Journal of econometrics 218 (2020) 2, pp. 561-586
Persistent link: https://www.econbiz.de/10012483171
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The estimation of continuous time models with mixed frequency data
Chambers, Marcus J. - In: Journal of econometrics 193 (2016) 2, pp. 390-404
Persistent link: https://www.econbiz.de/10011704956
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325