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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
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Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State
Gallant, A. Ronald - 2012
We consider dynamic games that can have state variables that are partially observed, serially correlated, endogenous, and heterogeneous. We propose a Bayesian method that uses a particle filter to compute an unbiased estimate of the likelihood within a Metropolis chain. Unbiasedness guarantees...
Persistent link: https://www.econbiz.de/10013111972
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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
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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
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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
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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
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Nonparametric regression approach to Bayesian estimation
Gao, Jiti; Hong, Han - 2014
Persistent link: https://www.econbiz.de/10011781031
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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
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The econometrics of English auctions
Shum, Matthew (contributor) - 1998 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001591792
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Nonparametric learning rules from bandit experiments : the eyes have it!
Hu, Yingyao; Kayaba, Yutaka; Shum, Matthew - In: Games and economic behavior 81 (2013), pp. 215-231
Persistent link: https://www.econbiz.de/10010358095