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Bayesian estimation of DSGE models / Edward P. Herbst and Frank Schorfheide.

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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Bibliographic Details
Online Access: Full Text (via EBSCO)
Main Authors: Herbst, Edward P., 1984- (Author), Schorfheide, Frank (Author)
Format: eBook
Language:English
Published: Princeton : Princeton University Press, [2016]
Series:Econometric and Tinbergen Institutes lectures.
Subjects:
Equilibrium (Economics) > Mathematical models.
Bayesian statistical decision theory.
Stochastic analysis.
Econometrics.
Table of Contents:
  • 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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