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Sequential Monte Carlo sampling for DSGE models

Herbst, Edward P.; Schorfheide, Frank - 2013

Persistent link: https://www.econbiz.de/10009767519

Sequential Monte Carlo sampling for DSGE models

Herbst, Edward P.; Schorfheide, Frank - 2012

Persistent link: https://www.econbiz.de/10010197217

Sequential Monte Carlo sampling for DSGE models

Herbst, Edward P.; Schorfheide, Frank - In: Journal of applied econometrics 29 (2014) 7, pp. 1073-1098

Persistent link: https://www.econbiz.de/10010492709

Sequential Monte Carlo sampling for DSGE models

Herbst, Edward P.; Schorfheide, Frank - 2013

Persistent link: https://www.econbiz.de/10010431737

Piecewise-linear approximations and filtering for DSGE models with occasionally binding constraints

Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - 2020

Persistent link: https://www.econbiz.de/10012391705

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2020

Persistent link: https://www.econbiz.de/10012388566

Tempered particle filtering

Herbst, Edward P.; Schorfheide, Frank - In: Journal of econometrics 210 (2019) 1, pp. 26-44

Persistent link: https://www.econbiz.de/10012303367

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019

Persistent link: https://www.econbiz.de/10012064996

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for "online" estimation, and...

Persistent link: https://www.econbiz.de/10012038824

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - In: The econometrics journal 24 (2021) 1, pp. C33-C58

Persistent link: https://www.econbiz.de/10012504440