Add to ORKGThis article describes a new approximation method for dynamic stochastic general equilibrium (DSGE) models. The method allows nonlinear models to be estimated efficiently and relatively quickly with the fully-adapted particle filter, without using high-performance parallel computation. The article demonstrates the method by estimating, on US data, a nonlinear New Keynesian model with time-varying volatility
A medium-scale nonlinear dynamic stochastic general equilibrium (DSGE) model was estimated (54 varia...
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economi...
How can parameter estimates be biased in a dynamic stochastic general equilibrium model that omits n...
This article describes a new approximation method for dynamic stochastic general equilibrium (DSGE) ...
This paper discusses a tractable approach for computing the likelihood function of non-linear Dynami...
In this paper we study the e®ects of nonlinearities on the forecast- ing performance of a dynamic st...
Chapter 1 “Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model”: We take a standard New...
This paper studies the application of the simulated method of moments (SMM) for the estimation of no...
Structural models -- that is, statistical models of the macroeconomy which incorporate an underlying...
We introduce a nonlinear infinite moving average as an alternative to the standard state-space polic...
This paper explores the role of consumption habits using an estimated nonlinear dynamic stochastic g...
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic Gen...
Abstract: This paper focuses on the dynamic misspecification that characterizes the class of small-...
In this paper, I review the literature on the formulation and estimation of dynamic stochastic gener...
Many algorithms that provide approximate solutions for dynamic stochastic general equilibrium (DSGE)...
A medium-scale nonlinear dynamic stochastic general equilibrium (DSGE) model was estimated (54 varia...
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economi...
How can parameter estimates be biased in a dynamic stochastic general equilibrium model that omits n...
This article describes a new approximation method for dynamic stochastic general equilibrium (DSGE) ...
This paper discusses a tractable approach for computing the likelihood function of non-linear Dynami...
In this paper we study the e®ects of nonlinearities on the forecast- ing performance of a dynamic st...
Chapter 1 “Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model”: We take a standard New...
This paper studies the application of the simulated method of moments (SMM) for the estimation of no...
Structural models -- that is, statistical models of the macroeconomy which incorporate an underlying...
We introduce a nonlinear infinite moving average as an alternative to the standard state-space polic...
This paper explores the role of consumption habits using an estimated nonlinear dynamic stochastic g...
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic Gen...
Abstract: This paper focuses on the dynamic misspecification that characterizes the class of small-...
In this paper, I review the literature on the formulation and estimation of dynamic stochastic gener...
Many algorithms that provide approximate solutions for dynamic stochastic general equilibrium (DSGE)...
A medium-scale nonlinear dynamic stochastic general equilibrium (DSGE) model was estimated (54 varia...
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economi...
How can parameter estimates be biased in a dynamic stochastic general equilibrium model that omits n...