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Rapid estimation of nonlinear DSGE models

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  • Hall, Jamie

Abstract

This article describes a new approximation method for dynamic stochastic general equilibrium (DSGE) models. The method allows nonlinear models to be estimated efficiently and relatively quickly with the fully-adapted particle filter. The article demonstrates the method by estimating, on US data, a nonlinear New Keynesian model with a zero lower bound on the nominal interest rate.

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File URL: http://mpra.ub.uni-muenchen.de/41218/
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File URL: http://mpra.ub.uni-muenchen.de/42534/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41218.

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Date of creation: 11 Sep 2012
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Handle: RePEc:pra:mprapa:41218

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Keywords: DSGE; nonlinear; particle filter;

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References

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  1. Jordi Galí, 2008. "Introduction to Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework
    [Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Ke
    ," Introductory Chapters, Princeton University Press.
  2. Amisano, Gianni & Tristani, Oreste, 2007. "Euro area inflation persistence in an estimated nonlinear DSGE model," Working Paper Series 0754, European Central Bank.
  3. Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521321969, October.
  4. Adjemian, Stéphane & Bastani, Houtan & Karamé, Fréderic & Juillard, Michel & Maih, Junior & Mihoubi, Ferhat & Perendia, George & Pfeifer, Johannes & Ratto, Marco & Villemot, Sébastien, 2011. "Dynare: Reference Manual Version 4," Dynare Working Papers 1, CEPREMAP, revised Apr 2014.
  5. Jesús Fernández-Villaverde & Grey Gordon & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez, 2012. "Nonlinear Adventures at the Zero Lower Bound," NBER Working Papers 18058, National Bureau of Economic Research, Inc.
  6. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
  7. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
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Cited by:
  1. Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.

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