By Edward P. Herbst,Frank Schorfheide
Dynamic stochastic common equilibrium (DSGE) types became one of many workhorses of contemporary macroeconomics and are generally used for tutorial learn in addition to forecasting and coverage research at significant banks. This ebook introduces readers to state of the art computational ideas utilized in the Bayesian research of DSGE types. The publication covers Markov chain Monte Carlo strategies for linearized DSGE types, novel sequential Monte Carlo equipment that may be used for parameter inference, and the estimation of nonlinear DSGE versions in accordance with particle filter out approximations of the possibility functionality. The theoretical foundations of the algorithms are mentioned intensive, and precise empirical purposes and numerical illustrations are supplied. The publication additionally supplies useful recommendation on tips to tailor those algorithms to precise functions 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.
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Additional info 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