Particle filters for continuous likelihood evaluation and maximisation
Malik, Sheheryar and Pitt, Michael K.. (2011) Particle filters for continuous likelihood evaluation and maximisation. Journal of Econometrics, Vol.165 (No.2). pp. 190-209. ISSN 0304-4076Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.jeconom.2011.07.006
In this paper, a method is introduced for approximating the likelihood for the unknown parameters of a state space model. The approximation converges to the true likelihood as the simulation size goes to infinity. In addition, the approximating likelihood is continuous as a function of the unknown parameters under rather general conditions. The approach advocated is fast and robust, and it avoids many of the pitfalls associated with current techniques based upon importance sampling. We assess the performance of the method by considering a linear state space model, comparing the results with the Kalman filter, which delivers the true likelihood. We also apply the method to a non-Gaussian state space model, the stochastic volatility model, finding that the approach is efficient and effective. Applications to continuous time finance models and latent panel data models are considered. Two different multivariate approaches are proposed. The neoclassical growth model is considered as an application.
|Item Type:||Journal Article|
|Divisions:||Faculty of Social Sciences > Economics|
|Journal or Publication Title:||Journal of Econometrics|
|Publisher:||Elsevier BV * North-Holland|
|Page Range:||pp. 190-209|
|Access rights to Published version:||Restricted or Subscription Access|
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