Fabio Franco

Independent

No Address Available

SCHOLARLY PAPERS

2

DOWNLOADS

34

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

Efficient Particle MCMC with GMM Likelihood Representation

CEIS Working Paper No. 473
Number of pages: 35 Posted: 20 Nov 2019
Fabio Franco
Independent
Downloads 12 (615,474)

Abstract:

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Particle lter, Kalman lter, MCMC, Generalized Method of Moments, State Space, nonlinear Structural Dynamic model, Stochastic Volatility

Efficient Particle MCMC with GMM Likelihood Representation

Number of pages: 32 Posted: 15 Oct 2019
Fabio Franco
Independent
Downloads 11 (622,721)

Abstract:

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Particle filter, Kalman filter, MCMC, Generalized Method of Moments, State Space, nonlinear Structural Dynamic model, Stochastic Volatility

2.

Likelihood Induced by Moment Functions using Particle Filter: A Comparison of Particle GMM and Standard MCMC Methods

CEIS Working Paper No. 477
Number of pages: 25 Posted: 05 Dec 2019
Fabio Franco
Independent
Downloads 11 (598,010)

Abstract:

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Bootstrap particle filter, GMM likelihood representation, Metropolis-Hastings algorithm, Kalman fi lter, nonlinear/non-Gaussian state space models.