Robust inference on parameters via particle filters and sandwich covariance matrices.
Likelihood based estimation of the parameters of state space models can be carried out via a particle filter. In this paper we show how to make valid inference on such parameters when the model is incorrect. In particular we develop a simulation strategy for computing sandwich covariance matrices...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2012
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