A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
DOI10.1016/j.jeconom.2017.04.004zbMath1386.62074OpenAlexW2771159797MaRDI QIDQ1706441
A. Ronald Gallant, Ahmed Khwaja, Han Hong
Publication date: 22 March 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.04.004
dynamic gamesheterogeneous agentsparticle filterendogenous statepartially observed stateserially correlated state
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Dynamic games (91A25)
Related Items (3)
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