Comments on: ABC+EL=no D(ata)

By: xi'an

xi'an — Fri, 01 Jun 2012 04:11:09 +0000

This is highly interesting, most obviously! Please send me the results or a link to them.

By: Marcio Laurini

Marcio Laurini — Thu, 31 May 2012 22:53:51 +0000

Christian

I did an implementation of the raw ABC and ABC-el algorithms for the Stochastic Volatility model using conditional moments, and also using the smoothed moments for for inducing independence in the empirical likelihood function, e.g. Kitamura (1997).
I still need to perform a more detailed analysis of results and a Monte Carlo analysis, but the results seem very interesting. For real data the posterior expectation of the estimation by ABC-el using smoothed moments is almost equal to that obtained by the MCMC method of Kim, Shepard and Chib (1998), using only 2000 samples.
If you are interested I can send you the results and a more detailed description of the method.

Márcio

By: xi'an

xi'an — Tue, 29 May 2012 04:55:05 +0000

Thanks for the references. Stochastic volatility was on my list of to-do models, indeed!

By: xi'an

xi'an — Tue, 29 May 2012 04:50:46 +0000

Thanks!

By: Marcio Laurini

Marcio Laurini — Tue, 29 May 2012 03:25:26 +0000

A truly innovative article!
I believe that a Stochastic Volatility model is a most interesting application for the ABC methodology using empirical likelihood, as it allows time to build directly moment conditions, e.g. the moment conditions used in the estimation by the generalized method of moments – GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study Torben G. Andersen and Bent E. Sørensen, Journal of Business & Economic Statistics. Vol 14, No. 3 (July 1996), p. 328-352.
An alternative to the reconstruction of IID process for dependent data in the context of empirical likelihood is the use of smoothing / blocking in moment conditions, as defined in Empirical Likelihood Methods with weakly dependent data, Kitamura, Y. (1997) Annals of Statistics 25(5), 2084-2102 and Smith, R. (2001): “GEL Criteria for Moment Condition Models”.

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Márcio Laurini

By: Corey

Corey — Tue, 29 May 2012 02:47:54 +0000

Even though I’m outside the ABC community, I have to say this sounds like a pretty major advance!