Bayesian inference for nonlinear structural time series models

Journal of Econometrics

Volumn 179, Issue 2, 2014, Pages 99-111

  Hall, Jamie ^a   Pitt, Michael K ^b   Kohn, Robert ^a  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Auxiliary particle filter; DSGE model; Multi modal; State space model

Indexed keywords

INFERENCE ENGINES; MONTE CARLO METHODS; STATE SPACE METHODS;

ALTERNATIVE PROCEDURES; ASSET PRICING MODEL; AUXILIARY PARTICLE FILTER; CONDITIONAL DISTRIBUTION; DSGE MODELS; MULTI-MODAL; STATE - SPACE MODELS; STRUCTURAL TIME SERIES MODELS;

BAYESIAN NETWORKS;

EID: 84896730176     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.10.016     Document Type: Article

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