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Bayesian Estimation of DSGE Models /
Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used i...
| Autores principales: | , |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
[2016]
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| Colección: | Book collections on Project MUSE.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 020 | |a 9781400873739 | ||
| 020 | |z 9780691161082 | ||
| 040 | |a MdBmJHUP |c MdBmJHUP | ||
| 100 | 1 | |a Herbst, Edward P., |d 1984- |e author. | |
| 245 | 1 | 0 | |a Bayesian Estimation of DSGE Models / |c Edward P. Herbst and Frank Schorfheide. |
| 264 | 1 | |a Princeton : |b Princeton University Press, |c [2016] | |
| 264 | 3 | |a Baltimore, Md. : |b Project MUSE, |c 0000 | |
| 264 | 4 | |c ©[2016] | |
| 300 | |a 1 online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 0 | |a The Econometric and Tinbergen Institutes lectures | |
| 505 | 0 | |a Introduction to DSGE modeling and Bayesian inference -- DSGE modeling -- Turning a DSGE model into a Bayesian Model -- A crash course in Bayesian inference -- Estimation of linearized DSGE models -- Metropolis-Hasting algorithms for DSGE models -- Sequential Monte Carlo methods -- Three applications -- Estimation of nonlinear DSGE models -- From linear to nonlinear DSGE models -- Particle filters -- Combining particle filters with MH samplers -- Combining particle filters with SMC samplers. | |
| 520 | |a Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations.-- |c Provided by publisher. | ||
| 546 | |a In English. | ||
| 588 | |a Description based on print version record. | ||
| 650 | 7 | |a Markov-Ketten-Monte-Carlo-Verfahren |2 gnd | |
| 650 | 7 | |a Bayes-Entscheidungstheorie |2 gnd | |
| 650 | 7 | |a Allgemeines Gleichgewichtsmodell |2 gnd | |
| 650 | 7 | |a Stochastisches dynamisches System |2 gnd | |
| 650 | 7 | |a Stochastic analysis. |2 fast |0 (OCoLC)fst01133499 | |
| 650 | 7 | |a Equilibrium (Economics) |x Mathematical models. |2 fast |0 (OCoLC)fst00914550 | |
| 650 | 7 | |a Econometrics. |2 fast |0 (OCoLC)fst00901574 | |
| 650 | 7 | |a Bayesian statistical decision theory. |2 fast |0 (OCoLC)fst00829019 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Econometrics. |2 bisacsh | |
| 650 | 7 | |a POLITICAL SCIENCE |x Economic Conditions. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Economics |x Macroeconomics. |2 bisacsh | |
| 650 | 6 | |a Économetrie. | |
| 650 | 6 | |a Analyse stochastique. | |
| 650 | 6 | |a Theorie de la decision bayesienne. | |
| 650 | 0 | |a Econometrics. | |
| 650 | 0 | |a Stochastic analysis. | |
| 650 | 0 | |a Bayesian statistical decision theory. | |
| 650 | 0 | |a Equilibrium (Economics) |x Mathematical models. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 700 | 1 | |a Schorfheide, Frank, |e author. | |
| 710 | 2 | |a Project Muse. |e distributor | |
| 830 | 0 | |a Book collections on Project MUSE. | |
| 856 | 4 | 0 | |z Texto completo |u https://projectmuse.uam.elogim.com/book/47727/ |
| 945 | |a Project MUSE - Custom Collection | ||