Efficient high-dimensional importance sampling

Journal of Econometrics

Volumn 141, Issue 2, 2007, Pages 1385-1411

  Richard, Jean Francois ^a   Zhang, Wei ^b  

^a UNIVERSITY OF PITTSBURGH   (United States)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Importance sampling; Marginalized likelihood; Monte Carlo; Random effects; Stochastic volatility

Indexed keywords

INTEGRAL EQUATIONS; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS; NUMERICAL METHODS; REGRESSION ANALYSIS; STOCHASTIC MODELS;

IMPORTANCE SAMPLING; MARGINALIZED LIKELIHOOD; RANDOM EFFECTS; STOCHASTIC VOLATILITY;

SAMPLING;

EID: 34848921465     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.02.007     Document Type: Article

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