By Edward P. Herbst,Frank Schorfheide
Dynamic stochastic normal equilibrium (DSGE) types became one of many workhorses of contemporary macroeconomics and are broadly used for tutorial examine in addition to forecasting and coverage research at imperative banks. This publication introduces readers to state of the art computational concepts utilized in the Bayesian research of DSGE types. The e-book covers Markov chain Monte Carlo strategies for linearized DSGE types, novel sequential Monte Carlo tools that may be used for parameter inference, and the estimation of nonlinear DSGE versions in accordance with particle clear out approximations of the possibility functionality. The theoretical foundations of the algorithms are mentioned extensive, and particular empirical functions and numerical illustrations are supplied. The e-book additionally offers beneficial recommendation on the way to tailor those algorithms to precise purposes and check the accuracy and reliability of the computations.
Bayesian Estimation of DSGE Models is key analyzing for graduate scholars, educational researchers, and practitioners at coverage institutions.
Read Online or Download Bayesian Estimation of DSGE Models (The Econometric and Tinbergen Institutes Lectures) PDF
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Extra resources for Bayesian Estimation of DSGE Models (The Econometric and Tinbergen Institutes Lectures)
Bayesian Estimation of DSGE Models (The Econometric and Tinbergen Institutes Lectures) by Edward P. Herbst,Frank Schorfheide