Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F. - Department of Economics, University of Pennsylvania - 2004
Sequential Monte Carlo filter proposed by Fernández-Villaverde and Rubio-Ramírez (2004) and the Kalman filter. The Sequential … results. First, both for simulated and for real data, the Sequential Monte Carlo filter delivers a substantially better fit of … Monte Carlo filter exploits the nonlinear structure of the economy and evaluates the likelihood function of the model by …