Bayesian estimation of simultaneous equation model with lagged endogenous variables and first order serially correlated errors

The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors

In this paper various methods for the estimation of simultaneous equation models with lagged endogenow variables and List order s&fly correlated errors are discussed. The m.&ods dilfer in tbe number of instrumental variables used. The asymptotic and small sample properties of the various metlmds are compared, and the variables which must be included as insuuments to insure consistent estimates ...

Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State

We consider dynamic games that can have state variables that are partially observed, serially correlated, endogenous, and heterogeneous. We propose a Bayesian method that uses a particle filter to compute an unbiased estimate of the likelihood within a Metropolis chain. Unbiasedness guarantees that the stationary density of the chain is the exact posterior, not an approximation. The number of p...

Errors in Variables in Simultaneous Equation Models

Efficient Estimation in Panel Data Partially Additive Linear Model with Serially Correlated Errors

The partially linear additive model arises in many scientific endeavors. In this paper, we look at inference given panel data and a serially correlated error component structure. By combining polynomial spline series approximation with least squares and the estimation of correlation, we propose a weighted semiparametric least squares estimator (WSLSE) for the parametric components, and a weight...

Testing Dependence Among Serially Correlated Multicategory Variables

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Standard tests assume, however, that draws are independent and only limited results exist on the e¤ect of serial dependency a problem that is important in areas such as economics, …nance, medical trials and meteorology. This paper proposes new tests of independence based on canonical c...