Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - C.E.P.R. Discussion Papers - 2006
This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those...