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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Bibliographic Details
Published in:	Journal of applied econometrics (Chichester, England) Vol. 29; no. 7; pp. 1073 - 1098
Main Authors:	Herbst, Edward, Schorfheide, Frank
Format:	Journal Article
Language:	English
Published:	Chichester Blackwell Publishing Ltd 01.11.2014 Wiley (Variant) Wiley-Blackwell Wiley Periodicals Inc
Subjects:	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
Online Access:	Get full text
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