SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS

We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using two empirical illustrations consisting of the Smets and Wou...

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Vydané v:	Journal of applied econometrics (Chichester, England) Ročník 29; číslo 7; s. 1073 - 1098
Hlavní autori:	Herbst, Edward, Schorfheide, Frank
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Chichester Blackwell Publishing Ltd 01.11.2014 Wiley (Variant) Wiley-Blackwell Wiley Periodicals Inc
Predmet:	Algorithms Bayesian analysis Bayesian method Dynamisches Gleichgewicht Economic models Economic shock Function words General economic equilibrium Inference Markov analysis Markovian processes Monte Carlo simulation Random walk theory Sampling Schätztheorie Stichprobenerhebung Stochastic models Stochastic processes Studies Theorie Working hours
ISSN:	0883-7252, 1099-1255
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