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Reverse mode differentiation for DSGE models

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  • Alfred Duncan

Abstract

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Suggested Citation

  • Alfred Duncan, 2021. "Reverse mode differentiation for DSGE models," Studies in Economics 2108, School of Economics, University of Kent.
  • Handle: RePEc:ukc:ukcedp:2108
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    File URL: https://www.kent.ac.uk/economics/repec/2108.pdf
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    References listed on IDEAS

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    1. Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, vol. 17(3), pages 247-252.
    2. Peijie Wang, 2020. "The Monetary Models," Springer Texts in Business and Economics, in: The Economics of Foreign Exchange and Global Finance, edition 3, chapter 8, pages 173-216, Springer.
    3. Farkas, Mátyás & Tatar, Balint, 2020. "Bayesian estimation of DSGE models with Hamiltonian Monte Carlo," IMFS Working Paper Series 144, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    4. Binder, Michael & Pesaran, M. Hashem, 1997. "Multivariate Linear Rational Expectations Models," Econometric Theory, Cambridge University Press, vol. 13(6), pages 877-888, December.
    5. Edward P. Herbst & Frank Schorfheide, 2016. "Bayesian Estimation of DSGE Models," Economics Books, Princeton University Press, edition 1, number 10612.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    DSGE; Reverse mode differentiation; Hamiltonian Monte Carlo; No U-Turn Sampler; Bayesian estimation;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: 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

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