Bayesian Analysis of DSGE Models—Some Comments

DOI10.1080/07474930701220121MaRDI QIDQ5292343zbMATH OpenOpenAlexFDO

Authors Jesper Lindé, Mattias Villani, Malin Adolfson

Publication date 20 June 2007

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930701220121

zbMATH Keywords

marginal likelihoodMCMC

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

Recommendations

• Bayesian Analysis of DSGE Models
• Comment on An and Schorfheide's Bayesian Analysis of DSGE Models
• Bayesian Analysis of DSGE Models—Rejoinder
• Bayesian estimation of DSGE models
• Bayesian Analysis of DSGE Models by S. An and F. Schorfheide

Cites work

• Exact predictive densities for linear models with ARCH disturbances
• Markov chains for exploring posterior distributions. (With discussion)

Cited in

(20)

• Block Kalman filtering for large-scale DSGE models
• Bayesian estimation of DSGE models: identification using a diagnostic indicator
• Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
• What drives Ireland's housing market? A Bayesian DSGE approach
• Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach
• An application of hybrid MCMC and simulation smoother in estimating a DSGE model with measurement errors
• Bayesian estimation of DSGE models
• Bayesian prior elicitation in DSGE models: macro- vs micropriors
• Discussion of: ``Bayesian models and methods in public policy and government settings by S.E. Fienberg
• Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices
• EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING*
• Bayesian comparison of private and common values in structural second-price auctions
• Bayesian Analysis of DSGE Models
• Bayesian Analysis of DSGE Models by S. An and F. Schorfheide
• Comment
• Comment on An and Schorfheide's Bayesian Analysis of DSGE Models
• Bayesian Analysis of DSGE Models—Rejoinder
• Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
• A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models
• On the application and use of DSGE models

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