DSGE models with Student-t errors

DOI10.1080/07474938.2013.807152MaRDI QIDQ5080441zbMATH OpenOpenAlexFDO

Authors Siddhartha Chib, Srikanth Ramamurthy

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2013.807152

zbMATH Keywords

Bayesian inferencemarginal likelihoodMCMCMetropolis-Hastingsmultivariate-Student-\(t\) distributionparticle filteringstate-space model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• Analysis of multifactor affine yield curve models
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Bayes prediction in regressions with elliptical errors
• Bayesian Analysis of Binary and Polychotomous Response Data
• Bayesian Analysis of DSGE Models
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Filtering via Simulation: Auxiliary Particle Filters
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Marginal Likelihood from the Gibbs Output
• Marginal Likelihood From the Metropolis–Hastings Output
• Markov chain Monte Carlo methods for stochastic volatility models.
• Methods for inference in large multiple-equation Markov-switching models
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• On Gibbs sampling for state space models
• Solving linear rational expectations models
• Tailored randomized block MCMC methods with application to DSGE models
• The Solution of Linear Difference Models under Rational Expectations
• Using the generalized Schur form to solve a multivariate linear rational expectations model

Cited in

(15)

• Rare shocks vs. non-linearities: what drives extreme events in the economy? Some empirical evidence
• Identification of DSGE models -- the effect of higher-order approximation and pruning
• Student's-\(t\) process with spatial deformation for spatio-temporal data
• Sunspot-driven fat tails: a note
• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Noncausality and inflation persistence
• The Student's \(t\)
• Bayesian semiparametric multivariate stochastic volatility with application
• Vector autoregression models with skewness and heavy tails
• Estimación bayesiana de un Modelo Garch-M Bivariado
• Bayesian VARs and prior calibration in times of COVID-19
• Rational expectations models with multiplicative noise
• Pruned skewed Kalman filter and smoother with application to DSGE models
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
• Identification and estimation of non-Gaussian structural vector autoregressions

Describes a project that uses

Uses Software

• Gensys

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