Bayesian estimation of DSGE models with Hamiltonian Monte Carlo
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Cited by:
- Boehl, Gregor, 2022.
"Efficient solution and computation of models with occasionally binding constraints,"
Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Gregor Boehl, 2021. "Efficient Solution and Computation of Models With Occasionally Binding Constraints," CRC TR 224 Discussion Paper Series crctr224_2021_253, University of Bonn and University of Mannheim, Germany.
- Böhl, Gregor, 2021. "Efficient solution and computation of models with occasionally binding constraints," IMFS Working Paper Series 148, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Alfred Duncan, 2021. "Reverse mode differentiation for DSGE models," Studies in Economics 2108, School of Economics, University of Kent.
- Joshua Brault, 2024. "Parallel Tempering for DSGE Estimation," Staff Working Papers 24-13, Bank of Canada.
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More about this item
Keywords
DSGE Estimation; Bayesian Analysis; Hamiltonian Monte Carlo;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2020-09-14 (Dynamic General Equilibrium)
- NEP-ECM-2020-09-14 (Econometrics)
- NEP-MAC-2020-09-14 (Macroeconomics)
- NEP-ORE-2020-09-14 (Operations Research)
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