Narrow search
Showing 1 - 10 of 11,036
Cover Image
Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation
Kollmann, Robert - 2015
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the...
Persistent link: https://www.econbiz.de/10014157128
Cover Image
Estimating Nonlinear Dynamic Equilibrium Economies : A Likelihood Approach
Fernández-Villaverde, Jesús; Rubio-Ramirez, Juan Francisco - 2014
authors develop a sequential Monte Carlo algorithm that delivers an estimate of the likelihood function of the model using … simulation methods. This likelihood can be used for parameter estimation and for model comparison. The algorithm can deal both … and its good performance in finite simulations. This new algorithm is important because the existing empirical literature …
Persistent link: https://www.econbiz.de/10014048588
Cover Image
Solution and Estimation Methods for DSGE Models
Fernández-Villaverde, Jesús - 2016
This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field
Persistent link: https://www.econbiz.de/10013002113
Cover Image
Chapter 9. Solution and Estimation Methods for DSGE Models
Fernández-Villaverde, J.; Rubio-Ramírez, J.F.; … - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 527-724). 2016
This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.
Persistent link: https://www.econbiz.de/10014024288
Cover Image
Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
Amisano, Gianni; Tristani, Oreste - 2011
Phenomena such as the Great Moderation have increased the attention of macro-economists towards models where shock processes are not (log-)normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime...
Persistent link: https://www.econbiz.de/10009160033
Cover Image
A Regression Method Based on Characteristic Functions for Numerical Solutions of Forward-Backward Stochastic Differential Equations
Ding, Deng - 2014
showing the algorithm available, and a empirical formula is pointed out for more general application …
Persistent link: https://www.econbiz.de/10013050360
Cover Image
Chapter 9. Analysis of Numerical Errors
Peralta-Alva, Adrian; Santos, Manuel S. - In: Handbook of computational economics : volume 3, (pp. 517-556). 2014
This paper provides a general framework for the quantitative analysis of stochastic dynamic models. We review the convergence properties of some numerical algorithms and available methods to bound approximation errors. We then address the convergence and accuracy properties of the simulated...
Persistent link: https://www.econbiz.de/10014025713
Cover Image
Gradient-Based Structural Estimation
Duarte, Victor - 2021
to find the set of parameters that globally minimizes the objective function. I illustrate the algorithm by solving and …
Persistent link: https://www.econbiz.de/10013247175
Cover Image
On Approximating DSGE Models by Series Expansions
Lombardo, Giovanni - 2010
We show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature we propose a method consisting of series expansions of the non-linear system around a known solution. The variables are represented in terms of their...
Persistent link: https://www.econbiz.de/10013136525
Cover Image
Solving and analyzing DSGE models in the frequency domain
Meyer-Gohde, Alexander - 2024
I provide a solution method in the frequency domain for multivariate linear rational expectations models. The method works with the generalized Schur decomposition, providing a numerical implementation of the underlying analytic function solution methods suitable for standard DSGE estimation and...
Persistent link: https://www.econbiz.de/10015051533