IDEAS home Printed from https://ideas.repec.org/p/bcb/wpaper/281.html
   My bibliography  Save this paper

A Note on Particle Filters Applied to DSGE Models

Author

Listed:
  • Angelo Marsiglia Fasolo

Abstract

This paper compares the properties of two particle filters – the Bootstrap Filter and the Auxiliary Particle Filter – applied to the computation of the likelihood of artificial data simulated from a basic DSGE model with nominal and real rigidities. Particle filters are compared in terms of speed, quality of the approximation of the probability density function of data and tracking of state variables. Results show that there is a case for the use of the Auxiliary Particle Filter only when the researcher uses a large number of observable variables and the number of particles used to characterize the likelihood is relatively low. Simulations also show that the largest gains in tracking state variables in the model are found when the number of particles is between 20,000 and 30,000, suggesting a boundary for this number.

Suggested Citation

  • Angelo Marsiglia Fasolo, 2012. "A Note on Particle Filters Applied to DSGE Models," Working Papers Series 281, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:281
    as

    Download full text from publisher

    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps281.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fabio de Almeida Lopes Araújo & Marcos Aguerri Pimenta de Souza, 2012. "Educação Financeira para um Brasil Sustentável Evidências da Necessidade de Atuação do Banco Central do Brasil em Educação Financeira para o Cumprimento de Sua Missão," Working Papers Series 280, Central Bank of Brazil, Research Department.
    2. Areosa, Marta B. M. & Areosa, Waldyr D. & Carrasco, Vinicius, 2020. "A Sticky–Dispersed Information Phillips Curve: A Model With Partial And Delayed Information," Macroeconomic Dynamics, Cambridge University Press, vol. 24(4), pages 747-773, June.
    3. Agénor, Pierre-Richard & Pereira da Silva, Luiz A., 2014. "Macroprudential regulation and the monetary transmission mechanism," Journal of Financial Stability, Elsevier, vol. 13(C), pages 44-63.
    4. Tabak, Benjamin M. & Takami, Marcelo & Rocha, Jadson M.C. & Cajueiro, Daniel O. & Souza, Sergio R.S., 2014. "Directed clustering coefficient as a measure of systemic risk in complex banking networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 211-216.
    5. Leonardo S. Alencar, 2011. "Um Exame sobre como os Bancos Ajustam seu Índice de Basileia no Brasil," Working Papers Series 251, Central Bank of Brazil, Research Department.
    6. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Manuel S. Santos, 2006. "Convergence Properties of the Likelihood of Computed Dynamic Models," Econometrica, Econometric Society, vol. 74(1), pages 93-119, January.
    7. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
    8. Marcio Janot & Daniel El-Jaick de Souza Mota, 2012. "O Impacto da Comunicação do Banco Central do Brasil sobre o Mercado Financeiro," Working Papers Series 265, Central Bank of Brazil, Research Department.
    9. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
    10. Vicente da Gama Machado, 2012. "Monetary Policy, Asset Prices and Adaptive Learning," Working Papers Series 274, Central Bank of Brazil, Research Department.
    11. Tito Nícias Teixeira da Silva Filho, 2012. "Going Deeper Into the Link Between the Labour Market and Inflation," Working Papers Series 279, Central Bank of Brazil, Research Department.
    12. Correa, Arnildo & Marins, Jaqueline & Neves, Myrian & da Silva, Antonio Carlos, 2014. "Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(3), September.
    13. Tabak, Benjamin M. & Miranda, Rogério Boueri & Fazio, Dimas M., 2013. "A geographically weighted approach to measuring efficiency in panel data: The case of US saving banks," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3747-3756.
    14. Helder Ferreira de Mendonça & Délio José Cordeiro Galvão & Renato Falci Villela Loures, 2011. "Financial Regulation and Transparency of Information: first steps on new land," Working Papers Series 248, Central Bank of Brazil, Research Department.
    15. Benjamin M. Tabak & Giovana L. Craveir & Daniel O. Cajueiro, 2011. "Bank Efficiency and Default in Brazil: Causality Tests," Working Papers Series 253, Central Bank of Brazil, Research Department.
    16. Flury, Thomas & Shephard, Neil, 2011. "Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models," Econometric Theory, Cambridge University Press, vol. 27(5), pages 933-956, October.
    17. Angelo M. Fasolo, 2011. "The Accuracy of Perturbation Methods to Solve Small Open Economy Models," Working Papers Series 262, Central Bank of Brazil, Research Department.
    18. Tabak, Benjamin M. & Fazio, Dimas M. & Cajueiro, Daniel O., 2012. "The relationship between banking market competition and risk-taking: Do size and capitalization matter?," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3366-3381.
    19. Sergio A. Lago Alves, 2012. "Trend Inflation and the Unemployment Volatility Puzzle," Working Papers Series 277, Central Bank of Brazil, Research Department.
    20. João Barata Ribeiro Blanco Barroso, 2012. "Pricing-to-market by Brazilian Exporters: a Panel Cointegration Approach," Working Papers Series 270, Central Bank of Brazil, Research Department.
    21. Eduardo Luis Lundberg, 2011. "Bancos Oficiais e Crédito Direcionado – o que diferencia o mercado de crédito brasileiro?," Working Papers Series 258, Central Bank of Brazil, Research Department.
    22. Fabia A. de Carvalho, 2012. "Uma Breve Análise de Medidas Alternativas à Mediana na Pesquisa de Expectativas de Inflação do Banco Central do Brasil," Working Papers Series 264, Central Bank of Brazil, Research Department.
    23. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
    24. Lycia M. G. Araujo & Guilherme M. R. Gomes & Solange M. Guerra & Benjamin M. Tabak, 2011. "Comparação da Eficiência de Custo para BRICs e América Latina," Working Papers Series 252, Central Bank of Brazil, Research Department.
    25. Emanuel Kohlscheen, 2011. "The Impact of Monetary Policy on the Exchange Rate: puzzling evidence from three emerging economies," Working Papers Series 259, Central Bank of Brazil, Research Department.
    26. Sergio A. Lago Alves, 2012. "Optimal Policy When the Inflation Target is not Optimal," Working Papers Series 271, Central Bank of Brazil, Research Department.
    27. Pierre-Richard Agénor & Koray Alper & Luiz Pereira da Silva, 2012. "Sudden Floods, Prudential Regulation and Stability in an Open Economy," Working Papers Series 267, Central Bank of Brazil, Research Department.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bruno Martins, 2012. "Local Market Structure and Bank Competition: evidence from the Brazilian auto loan market," Working Papers Series 299, Central Bank of Brazil, Research Department.
    2. Waldyr Areosa & Marta Areosa, 2012. "The Signaling Effect of Exchange Rates: pass-through under dispersed information," Working Papers Series 282, Central Bank of Brazil, Research Department.
    3. Grazzini, Jakob & Richiardi, Matteo, 2015. "Estimation of ergodic agent-based models by simulated minimum distance," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 148-165.
    4. Marta Areosa. Waldyr Areosa, 2012. "Asset Prices and Monetary Policy – A sticky-dispersed information model," Working Papers Series 285, Central Bank of Brazil, Research Department.
    5. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
    6. Waldyr Areosa & Marta Areosa, 2012. "Information (in) Chains: information transmission through production chains," Working Papers Series 286, Central Bank of Brazil, Research Department.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Waldyr Areosa & Marta Areosa, 2012. "Information (in) Chains: information transmission through production chains," Working Papers Series 286, Central Bank of Brazil, Research Department.
    2. Bruno Martins, 2012. "Local Market Structure and Bank Competition: evidence from the Brazilian auto loan market," Working Papers Series 299, Central Bank of Brazil, Research Department.
    3. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
    4. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    5. Marta Areosa. Waldyr Areosa, 2012. "Asset Prices and Monetary Policy – A sticky-dispersed information model," Working Papers Series 285, Central Bank of Brazil, Research Department.
    6. Pablo Burriel & Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "MEDEA: a DSGE model for the Spanish economy," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 175-243, March.
    7. repec:zbw:bofrdp:2016_016 is not listed on IDEAS
    8. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    9. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137, National Bureau of Economic Research, Inc.
    10. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    11. Hall, Jamie & Pitt, Michael K. & Kohn, Robert, 2014. "Bayesian inference for nonlinear structural time series models," Journal of Econometrics, Elsevier, vol. 179(2), pages 99-111.
    12. Arnaud Doucet & Neil Shephard, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Papers 2012-W05, Economics Group, Nuffield College, University of Oxford.
    13. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    14. Gianni Amisano & Oreste Tristani, 2006. "Euro area inflation persistence in an estimated nonlinear," Computing in Economics and Finance 2006 347, Society for Computational Economics.
    15. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
    16. Amisano, Gianni & Tristani, Oreste, 2010. "Euro area inflation persistence in an estimated nonlinear DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 1837-1858, October.
    17. Kilponen, Juha & Orjasniemi, Seppo & Ripatti, Antti & Verona, Fabio, 2016. "The Aino 2.0 model," Research Discussion Papers 16/2016, Bank of Finland.
    18. Tovar, Camilo Ernesto, 2009. "DSGE Models and Central Banks," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-31.
    19. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1059-1087.
    20. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," CREATES Research Papers 2021-08, Department of Economics and Business Economics, Aarhus University.
    21. Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, Department of Economics and Business Economics, Aarhus University.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:281. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rodrigo Barbone Gonzalez (email available below). General contact details of provider: https://www.bcb.gov.br/en .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.