Estimating the competitive storage model with stochastic trend: A particle MCMC approach

Abstract

The structural parameters of the competitive storage model with stochastic trend, completely bounded storage and i.i.d. supply shocks are estimated using particle Markov chain Monte Carlo, relying only on price data.

Date
Location
National Chung Hsing University, Taiwan

Contributed talk in the session “EC344 - Contributions in computational and Bayesian methods”

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Kjartan Kloster Osmundsen
PhD Student in Statistics