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We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (2007) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that 1) the...
Persistent link: https://www.econbiz.de/10010219714
generalized tempering for "online" estimation, and provide examples of multimodal posteriors that are well captured by SMC methods …. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts of DSGE models with …
Persistent link: https://www.econbiz.de/10012038824