Reverse mode differentiation for DSGE models
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References listed 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2021-09-27 (Dynamic General Equilibrium)
- NEP-ECM-2021-09-27 (Econometrics)
- NEP-ISF-2021-09-27 (Islamic Finance)
- NEP-ORE-2021-09-27 (Operations Research)
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