Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints
Download full text from publisher
References listed on IDEAS
- Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-1339, November.
- Kloek, Tuen & van Dijk, Herman K, 1978.
"Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo,"
Econometric Society, vol. 46(1), pages 1-19, January.
- Kloek, T. & van Dijk, H. K., 1976. "BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo," Econometric Institute Archives 272139, Erasmus University Rotterdam.
- Nicolas Chopin, 2002. "Central Limit Theorem for Sequential Monte Carlo Methods and its Applications to Bayesian Inference," Working Papers 2002-44, Center for Research in Economics and Statistics.
- Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012.
"A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation,"
Journal of Econometrics,
Elsevier, vol. 171(2), pages 101-120.
- Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012. "A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 12-026/4, Tinbergen Institute.
- Edward Herbst & Frank Schorfheide, 2014.
"Sequential Monte Carlo Sampling For Dsge Models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 29(7), pages 1073-1098, November.
- Edward Herbst & Frank Schorfheide, 2012. "Sequential Monte Carlo sampling for DSGE models," Working Papers 12-27, Federal Reserve Bank of Philadelphia.
- Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo Sampling for DSGE Models," NBER Working Papers 19152, National Bureau of Economic Research, Inc.
- Edward Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo sampling for DSGE models," Finance and Economics Discussion Series 2013-43, Board of Governors of the Federal Reserve System (US).
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series 1536, European Central Bank.
- Chib, Siddhartha & Ramamurthy, Srikanth, 2010. "Tailored randomized block MCMC methods with application to DSGE models," Journal of Econometrics, Elsevier, vol. 155(1), pages 19-38, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:gam:jecnmx:v:4:y:2016:i:1:p:11:d:65219 is not listed on IDEAS
- Nalan Baştürk & Stefano Grassi & Lennart Hoogerheide & Herman K. Van Dijk, 2016.
"Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM,"
MDPI, Open Access Journal, vol. 4(1), pages 1-20, March.
- Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Parallelization Experience with Four Canonical Econometric Models using ParMitISEM," Tinbergen Institute Discussion Papers 16-005/III, Tinbergen Institute.
- Baştürk, N. & Grassi, S. & Hoogerheide, L. & van Dijk, H.K., 2016. "Parallelization experience with four canonical econometric models using ParMitISEM," Research Memorandum 013, Maastricht University, Graduate School of Business and Economics (GSBE).
- Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
More about this item
KeywordsParticle filter; importance sampling; Bayesian identification;
- D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-DGE-2016-03-06 (Dynamic General Equilibrium)
- NEP-ECM-2016-03-06 (Econometrics)
- NEP-FOR-2016-03-06 (Forecasting)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aah:create:2015-37. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.econ.au.dk/afn/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.