Non-linear DSGE Models and The Optimized Particle Filter
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Cited by:- Andreasen, Martin & Meldrum, Andrew, 2013. "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers 481, Bank of England.
- Matthew Smith, 2012. "Estimating Nonlinear Economic Models Using Surrogate Transitions," 2012 Meeting Papers 494, Society for Economic Dynamics.
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More about this item
Keywords
Likelihood inference; Non-linear DSGE models; Non-normal shocks; Particle filtering;
All these keywords.JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2010-02-20 (Central Banking)
- NEP-DGE-2010-02-20 (Dynamic General Equilibrium)
- NEP-ECM-2010-02-20 (Econometrics)
- NEP-ETS-2010-02-20 (Econometric Time Series)
Statistics
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