The discretization filter: A simple way to estimate nonlinear state space models

Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of nonlinea...

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Vydané v:	Quantitative economics Ročník 12; číslo 1; s. 41 - 76
Hlavný autor:	Farmer, Leland E
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New Haven, CT The Econometric Society 2021 John Wiley & Sons, Inc
Predmet:	Algorithms Analysis Approximation C11 C13 discretization DSGE models Dynamic models E40 E50 Econometrics Federal Reserve monetary policy Inflation Interest rates Markov analysis Methods Monetary policy Nonlinear analysis Nonlinear filtering Phillips curve Quantitative analysis regime switching Simplicity Simulation methods state space models Stochastic models Volatility zero lower bound
ISSN:	1759-7331, 1759-7323, 1759-7331
On-line prístup:	Získať plný text
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