TY - JOUR
T1 - Bayesian estimation of state space models using moment conditions
AU - Gallant, A. Ronald
AU - Giacomini, Raffaella
AU - Ragusa, Giuseppe
N1 - Funding Information:
We thank Gary Chamberlain, Whitney Newey, Frank Schorfheide, Neil Shephard and seminar participants at Harvard/MIT, Cambridge, Carlos III, Yale, Duke, Northern Illinois, UCSC, Penn State, Michigan State, Cleveland Fed, ULB, and Illinois for useful comments and suggestions. Raffaella Giacomini gratefully acknowledges financial support from the ESRC through the Centre for Microdata Methods and Practice grant RES-589-28-0001 .
Publisher Copyright:
© 2017
PY - 2017/12
Y1 - 2017/12
N2 - We consider Bayesian estimation of state space models when the measurement density is not available but estimating equations for the parameters of the measurement density are available from moment conditions. The most common applications are partial equilibrium models involving moment conditions that depend on dynamic latent variables (e.g., time–varying parameters, stochastic volatility) and dynamic general equilibrium models when moment equations from the first order conditions are available but computing an accurate approximation to the measurement density is difficult.
AB - We consider Bayesian estimation of state space models when the measurement density is not available but estimating equations for the parameters of the measurement density are available from moment conditions. The most common applications are partial equilibrium models involving moment conditions that depend on dynamic latent variables (e.g., time–varying parameters, stochastic volatility) and dynamic general equilibrium models when moment equations from the first order conditions are available but computing an accurate approximation to the measurement density is difficult.
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U2 - 10.1016/j.jeconom.2017.08.003
DO - 10.1016/j.jeconom.2017.08.003
M3 - Article
AN - SCOPUS:85030856795
VL - 201
SP - 198
EP - 211
JO - Journal of Econometrics
JF - Journal of Econometrics
SN - 0304-4076
IS - 2
ER -