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Gauss Code For Implementing the Particle Filter

Author

Listed:
  • David DeJong
  • Chetan Dave

Abstract

Collection of procedures to execute likelihood evaluation using the particle filter. The likelihood function is associated with the optimal growth model, outlined in Section 10.2.2.2. of Macroeconometric Analysis. The authors request that use of these code in published work be acknowledged by citation of the textbook Macroeconometric Analysis, as well by the citation of any other researchers recognized within the documentation that accompanies the code.

Suggested Citation

  • David DeJong & Chetan Dave, 2006. "Gauss Code For Implementing the Particle Filter," QM&RBC Codes 155, Quantitative Macroeconomics & Real Business Cycles.
  • Handle: RePEc:dge:qmrbcd:155
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    File URL: http://dge.repec.org/codes/dejong/nonling.src
    File Function: program code
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