Adaptive hybrid Metropolis-Hastings samplers for DSGE models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.),Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
- Edward Herbst & Frank Schorfheide, 2012.
"Sequential Monte Carlo sampling for DSGE models,"
12-27, Federal Reserve Bank of Philadelphia, revised 2012.
- 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 (U.S.), revised 2013.
- Pasanisi, Alberto & Fu, Shuai & Bousquet, Nicolas, 2012. "Estimating discrete Markov models from various incomplete data schemes," Computational Statistics & Data Analysis, Elsevier, vol. 56(9), pages 2609-2625.
More about this item
KeywordsMarkov Chain Monte Carlo (MCMC); Adaptive Metropolis-Hastings; Parallel algorithm; DSGE model; Copula;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CBA-2010-02-27 (Central Banking)
- NEP-CMP-2010-02-27 (Computational Economics)
- NEP-DGE-2010-02-27 (Dynamic General Equilibrium)
- NEP-ECM-2010-02-27 (Econometrics)
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