Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models
نویسندگان
چکیده
منابع مشابه
Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models
This paper develops methods for estimating dynamic structural microeconomic models with serially correlated latent state variables. The proposed estimators are based on sequential Monte Carlo methods, or particle filters, and simultaneously estimate both the structural parameters and the trajectory of the unobserved state variables for each observational unit in the dataset. We focus two import...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2015
ISSN: 0883-7252
DOI: 10.1002/jae.2470