Estimating Macroeconomic Models: A Likelihood Approach
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Cited in
(64)- Evaluating the sample likelihood of linearized DSGE models without the use of the Kalman filter
- On particle methods for parameter estimation in state-space models
- Hamiltonian sequential Monte Carlo with application to consumer choice behavior
- Euro-dollar real exchange rate dynamics in an estimated two-country model: an assessment
- Dynamically Rescaled Hamiltonian Monte Carlo for Bayesian Hierarchical Models
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Particle filters for continuous likelihood evaluation and maximisation
- The implications of inflation in an estimated New Keynesian model
- Estimation of agent-based models using sequential Monte Carlo methods
- Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation
- Estimating macroeconomic models of financial crises: an endogenous regime-switching approach
- Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models
- Yield curve in an estimated nonlinear macro model
- Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter
- Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
- Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
- On the estimation of dynamic stochastic general equilibrium models: an empirical likelihood
- On the specification and estimation of large scale simultaneous structural macroeconometric models
- The term structure of macroeconomic risks at the effective lower bound
- Of Particles and Molecules: Application of Particle Filtering to Irrigated Agriculture in Punjab, India
- The origins and effects of macroeconomic uncertainty
- Assessing DSGE model nonlinearities
- Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
- On the statistical identification of DSGE models
- The Block-Correlated Pseudo Marginal Sampler for State Space Models
- Bayesian averaging, prediction and nonnested model selection
- Learning and time-varying macroeconomic volatility
- Through the looking glass: indirect inference via simple equilibria
- Marginal likelihood for Markov-switching and change-point GARCH models
- Dynamic time series smoothing for symbolic interval data applied to neuroscience
- DSGE pileups
- Three types of robust Ramsey problems in a linear-quadratic framework
- Nonlinear adventures at the zero lower bound
- Real-time forecast evaluation of DSGE models with stochastic volatility
- Estimation of nonlinear DSGE models through Laplace based solutions
- Identification of DSGE models -- the effect of higher-order approximation and pruning
- Identification of Structural Vector Autoregressions by Stochastic Volatility
- Semiparametric estimation of latent variable asset pricing models
- An auxiliary particle filter for nonlinear dynamic equilibrium models
- Risk premia in general equilibrium
- A selective survey on mathematical programming in macroeconomics
- Stochastic volatility and DSGE models
- Envelope condition method with an application to default risk models
- Risk matters: breaking certainty equivalence in linear approximations
- Bandwidth selection in pre-smoothed particle filters
- Stability of noisy Metropolis-Hastings
- Particle filters and Bayesian inference in financial econometrics
- The extended perturbation method: With applications to the New Keynesian model and the zero lower bound
- Structural estimation of jump-diffusion processes in macroeconomics
- Euro area inflation persistence in an estimated nonlinear DSGE model
- Non-linear DSGE models and the optimized central difference particle filter
- Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach
- Combining VAR and DSGE forecast densities
- Learning, confidence, and option prices
- Particle Markov Chain Monte Carlo Methods
- Bayesian inference for nonlinear structural time series models
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- A survey of sequential Monte Carlo methods for economics and finance
- Tempered particle filtering
- Estimating dynamic equilibrium models with stochastic volatility
- Dimension reduction in vector autoregressive models for macroeconomic applications
- Iterated filtering
- Estimation of heuristic switching in behavioral macroeconomic models
- Nonparametric identification of dynamic models with unobserved state variables
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