Rapid estimation of nonlinear DSGE models
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41218.
Date of creation: 11 Sep 2012
Date of revision:
DSGE; nonlinear; particle filter;
Find related papers by JEL classification:
- E0 - Macroeconomics and Monetary Economics - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-22 (All new papers)
- NEP-DGE-2012-09-22 (Dynamic General Equilibrium)
- NEP-ECM-2012-09-22 (Econometrics)
- NEP-MAC-2012-09-22 (Macroeconomics)
- NEP-ORE-2012-09-22 (Operations Research)
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