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
The 2008 financial crisis has highlighted the importance of nonlinear features of our economy includ...
Abstract: This paper focuses on the dynamic misspecification that characterizes the class of small-...
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...
This paper studies the application of the simulated method of moments (SMM) for the estimation of no...
We introduce a nonlinear infinite moving average as an alternative to the standard state-space polic...
Chapter 1 “Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model”: We take a standard New...
Structural models -- that is, statistical models of the macroeconomy which incorporate an underlying...
This paper explores the role of consumption habits using an estimated nonlinear dynamic stochastic g...
In this paper, I review the literature on the formulation and estimation of dynamic stochastic gener...
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economi...
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic Gen...
Many algorithms that provide approximate solutions for dynamic stochastic general equilibrium (DSGE)...
The 2008 financial crisis has highlighted the importance of nonlinear features of our economy includ...
Abstract: This paper focuses on the dynamic misspecification that characterizes the class of small-...
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...
This paper studies the application of the simulated method of moments (SMM) for the estimation of no...
We introduce a nonlinear infinite moving average as an alternative to the standard state-space polic...
Chapter 1 “Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model”: We take a standard New...
Structural models -- that is, statistical models of the macroeconomy which incorporate an underlying...
This paper explores the role of consumption habits using an estimated nonlinear dynamic stochastic g...
In this paper, I review the literature on the formulation and estimation of dynamic stochastic gener...
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economi...
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic Gen...
Many algorithms that provide approximate solutions for dynamic stochastic general equilibrium (DSGE)...
The 2008 financial crisis has highlighted the importance of nonlinear features of our economy includ...
Abstract: This paper focuses on the dynamic misspecification that characterizes the class of small-...
How can parameter estimates be biased in a dynamic stochastic general equilibrium model that omits n...