Econometric Reviews最新文献_第6页

Efficient estimation with missing data and endogeneity 具有缺失数据和内生性的有效估计

IF 1.2 4区经济学

Econometric Reviews Pub Date : 2023-02-01 DOI: 10.1080/07474938.2023.2178089

Bhavna Rai

引用次数: 1

Inference in an incomplete information entry game with an incumbent and with beliefs conditioned on unobservable market characteristics 在不完全信息输入博弈中，有在位者和以不可观察的市场特征为条件的信念的推理

IF 1.2 4区经济学

Econometric Reviews Pub Date : 2023-02-01 DOI: 10.1080/07474938.2023.2178086

Andrés Aradillas-López

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引用次数: 0

Hamiltonian sequential Monte Carlo with application to consumer choice behavior 哈密顿序列蒙特卡罗及其在消费者选择行为中的应用

IF 1.2 4区经济学

Econometric Reviews Pub Date : 2023-01-02 DOI: 10.1080/07474938.2022.2140982

Martin Burda, Remi Daviet

{"title":"Hamiltonian sequential Monte Carlo with application to consumer choice behavior","authors":"Martin Burda, Remi Daviet","doi":"10.1080/07474938.2022.2140982","DOIUrl":"https://doi.org/10.1080/07474938.2022.2140982","url":null,"abstract":"Abstract The practical use of nonparametric Bayesian methods requires the availability of efficient algorithms for posterior inference. The inherently serial nature of traditional Markov chain Monte Carlo (MCMC) methods imposes limitations on their efficiency and scalability. In recent years, there has been a surge of research activity devoted to developing alternative implementation methods that target parallel computing environments. Sequential Monte Carlo (SMC), also known as a particle filter, has been gaining popularity due to its desirable properties. SMC uses a genetic mutation-selection sampling approach with a set of particles representing the posterior distribution of a stochastic process. We propose to enhance the performance of SMC by utilizing Hamiltonian transition dynamics in the particle transition phase, in place of random walk used in the previous literature. We call the resulting procedure Hamiltonian Sequential Monte Carlo (HSMC). Hamiltonian transition dynamics have been shown to yield superior mixing and convergence properties relative to random walk transition dynamics in the context of MCMC procedures. The rationale behind HSMC is to translate such gains to the SMC environment. HSMC will facilitate practical estimation of models with complicated latent structures, such as nonparametric individual unobserved heterogeneity, that are otherwise difficult to implement. We demonstrate the behavior of HSMC in a challenging simulation study and contrast its favorable performance with SMC and other alternative approaches. We then apply HSMC to a panel discrete choice model with nonparametric consumer heterogeneity, allowing for multiple modes, asymmetries, and data-driven clustering, providing insights for consumer segmentation, individual level marketing, and price micromanagement.","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"42 1","pages":"54 - 77"},"PeriodicalIF":1.2,"publicationDate":"2023-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48679485","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Yet another look at the omitted variable bias 再来看看被忽略的变量偏差

IF 1.2 4区经济学

Econometric Reviews Pub Date : 2023-01-02 DOI: 10.1080/07474938.2022.2157965

Masayuki Hirukawa, Irina Murtazashvili, Artem Prokhorov

引用次数: 3

Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures† 非平稳面板数据中的平稳结构变化和常见因素：医疗支出分析†

IF 1.2 4区经济学

Econometric Reviews Pub Date : 2022-12-21 DOI: 10.1080/07474938.2022.2156740

Ş. Nazlıoğlu, Junsoo Lee, M. Tieslau, Cagin Karul, Yu You

引用次数: 6

IF 1.2 4区经济学