Sequential Monte Carlo sampling for DSGE models

Citations

Cited by:

1. Ho, Paul, 2024. "Estimating the effects of demographics on interest rates: A robust Bayesian perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
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   • Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," School of Economics and Public Policy Working Papers 2023-07 Classification-C3, University of Adelaide, School of Economics and Public Policy.
   • Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," DEM Working Papers Series 213, University of Pavia, Department of Economics and Management.
3. Isabelle Salle & Murat Yıldızoğlu, 2014. "Efficient Sampling and Meta-Modeling for Computational Economic Models," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 507-536, December.
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4. Zhang, Jinyu & Zhang, Qiaosen & Li, Yong & Wang, Qianchao, 2023. "Sequential Bayesian inference for agent-based models with application to the Chinese business cycle," Economic Modelling, Elsevier, vol. 126(C).
5. Arnaud Dufays, 2014. "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research 263, National Bank of Belgium.
6. Atkinson, Tyler & Richter, Alexander W. & Throckmorton, Nathaniel A., 2020. "The zero lower bound and estimation accuracy," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 249-264.
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7. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
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8. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2018. "Monte Carlo Confidence Sets for Identified Sets," Econometrica, Econometric Society, vol. 86(6), pages 1965-2018, November.
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   • Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers CWP43/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
   • Xiaohong Chen & Timothy Christensen & Elie Tamer, 2016. "Monte Carlo Confidence sets for Identified Sets," Cowles Foundation Discussion Papers 2037R2, Cowles Foundation for Research in Economics, Yale University, revised Sep 2017.
9. Haque, Qazi & Groshenny, Nicolas & Weder, Mark, 2021. "Do we really know that U.S. monetary policy was destabilizing in the 1970s?," European Economic Review, Elsevier, vol. 131(C).
   • Qazi Haque & Nicolas Groshenny & Mark Weder, 2018. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," School of Economics and Public Policy Working Papers 2018-03, University of Adelaide, School of Economics and Public Policy.
   • Qazi Haque & Nicolas Groshenny & Mark Weder, 2021. "Do we really know that U.S. monetary policy was destabilizing in the 1970s?," Post-Print hal-04204647, HAL.
   • Qazi Haque & Nicolas Groshenny & Mark Weder, 2020. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Working Papers 2020-10, Department of Economics and Business Economics, Aarhus University.
   • Qazi Haque & Nicolas Groshenny & Mark Weder, 2019. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Discussion / Working Papers 19-11, The University of Western Australia, Department of Economics.
   • Qazi Haque & Nicolas Groshenny & Mark Weder, 2018. "Do we really know that US monetary policy was destabilizing in the 1970s?," CAMA Working Papers 2018-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
   • Qazi Haque & Nicolas Groshenny & Mark Weder, 2019. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," School of Economics and Public Policy Working Papers 2019-06, University of Adelaide, School of Economics and Public Policy.
   • Haque, Qazi & Groshenny, Nicolas & Weder, Mark, 2019. "Do we really know that U.S. monetary policy was destabilizing in the 1970s?," Bank of Finland Research Discussion Papers 20/2019, Bank of Finland.
10. Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
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11. Thorsten Drautzburg, 2020. "A narrative approach to a fiscal DSGE model," Quantitative Economics, Econometric Society, vol. 11(2), pages 801-837, May.
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12. Daniele Siena, 2021. "The Euro Area Periphery and Imbalances: Is it an Anticipation Story?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 278-308, April.
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13. Yunjong Eo & Denny Lie, 2020. "The Role of Inflation Target Adjustment in Stabilization Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(8), pages 2007-2052, December.
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14. repec:zbw:bofrdp:2019_020 is not listed on IDEAS
15. Foroni, Claudia & Gelain, Paolo & Marcellino, Massimiliano, 2022. "The financial accelerator mechanism: does frequency matter?," Working Paper Series 2637, European Central Bank.
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16. Kiley, Michael T. & Sim, Jae, 2017. "Optimal monetary and macroprudential policies: Gains and pitfalls in a model of financial intermediation," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 232-259.
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17. John M. Maheu & Yong Song, 2018. "An efficient Bayesian approach to multiple structural change in multivariate time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 251-270, March.
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18. Iskrev, Nikolay, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Paper Series 2161, European Central Bank.
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19. Herbst, Edward & Schorfheide, Frank, 2019. "Tempered particle filtering," Journal of Econometrics, Elsevier, vol. 210(1), pages 26-44.
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20. Qazi Haque, 2022. "Monetary Policy, Inflation Target, and the Great Moderation: An Empirical Investigation," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
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21. Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021. "Online estimation of DSGE models," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 33-58.
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22. Böhl, Gregor & Goy, Gavin & Strobel, Felix, 2020. "A structural investigation of quantitative easing," IMFS Working Paper Series 142, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
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25. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
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28. Elmar Mertens & James M. Nason, 2020. "Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility," Quantitative Economics, Econometric Society, vol. 11(4), pages 1485-1520, November.
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