Bayesian Estimation of DSGE Models /

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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...

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Detalles Bibliográficos
Autores principales: Herbst, Edward P., 1984- (Autor), Schorfheide, Frank (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton : Princeton University Press, [2016]
Colección:Book collections on Project MUSE.
Temas:
Markov-Ketten-Monte-Carlo-Verfahren
Bayes-Entscheidungstheorie
Allgemeines Gleichgewichtsmodell
Stochastisches dynamisches System
Stochastic analysis.
Equilibrium (Economics) > Mathematical models.
Econometrics.
Bayesian statistical decision theory.
BUSINESS & ECONOMICS > Econometrics.
POLITICAL SCIENCE > Economic Conditions.
BUSINESS & ECONOMICS > Economics > Macroeconomics.
Économetrie.
Analyse stochastique.
Theorie de la decision bayesienne.
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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