Bayesian estimation of state space models using moment conditions

DOI10.1016/j.jeconom.2017.08.003zbMath1377.62091OpenAlexW2742112072MaRDI QIDQ1676368

Raffaella Giacomini, Giuseppe Ragusa, A. Ronald Gallant

Publication date: 7 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11568/958510

zbMATH Keywords

state space modelsBayesian estimationmoment equationsparticle filterstructural modelsDSGE models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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