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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
- 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.
- Amisano, Gianni & Tristani, Oreste, 2007.
"Euro area inflation persistence in an estimated nonlinear DSGE model,"
Working Paper Series
0754, European Central Bank.
- 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.
- Gianni Amisano & Oreste Tristani, 2007. "Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model," Working Paper Series 18-07, The Rimini Centre for Economic Analysis.
- Amisano, Giovanni & Tristani, Oreste, 2007. "Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model," CEPR Discussion Papers 6373, C.E.P.R. Discussion Papers.
- Gianni Amisano & Oreste Tristani, 2007. "Euro area inflation persistence in an estimated nonlinear DSGE model," Working Papers 0704, University of Brescia, Department of Economics.
- Harvey,Andrew C., 1990.
"Forecasting, Structural Time Series Models and the Kalman Filter,"
Cambridge University Press, number 9780521321969, October.
- Harvey,Andrew C., 1991. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521405737, October.
- 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.
- repec:cpm:dynare:001 is not listed on IDEAS
- Jesús Fernández-Villaverde & Grey Gordon & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2012.
"Nonlinear adventures at the zero lower bound,"
12-10, Federal Reserve Bank of Philadelphia.
- 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.
- Fernández-Villaverde, Jesús & Gordon, Grey & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco, 2012. "Nonlinear Adventures at the Zero Lower Bound," CEPR Discussion Papers 8972, C.E.P.R. Discussion Papers.
- Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.