Bayesian estimation of DSGE models

DOI10.1515/9781400873739MaRDI QIDQ3463293zbMATH OpenOpenAlexFDO

Authors Edward Herbst, Frank Schorfheide

Publication date 13 January 2016

Full work available at URL https://doi.org/10.1515/9781400873739

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Dynamic stochastic general equilibrium theory (91B51) Stochastic models in economics (91B70)

Recommendations

• Bayesian Analysis of DSGE Models
• Bayesian Analysis of DSGE Models—Some Comments
• Methods for applied macroeconomic research.
• Bayesian Econometric Methods
• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze

Cited in

(29)

• High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
• Hamiltonian sequential Monte Carlo with application to consumer choice behavior
• Estimation of DSGE models with the effective lower bound
• Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
• A solution to the global identification problem in DSGE models
• Bayesian Analysis of DSGE Models
• Global identification of linearized DSGE models
• Bayesian estimation of agent-based models
• Bayesian prior elicitation in DSGE models: macro- vs micropriors
• Bayesian Analysis of DSGE Models—Some Comments
• Bayesian Analysis of DSGE Models—Rejoinder
• Deep habits and exchange rate pass-through
• Improved marginal likelihood estimation via power posteriors and importance sampling
• EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING*
• Stochastic filtering methods in electronic trading
• Quasi-Bayesian model selection
• Two-Stage Bayesian Model Averaging in Endogenous Variable Models
• Tailored randomized block MCMC methods with application to DSGE models
• Bayesian estimation of dynamic panel data gravity model
• Is Rotemberg pricing justified by macro data?
• The application of Bayesian inference under SAFE model
• Unconventional monetary policy in a nonlinear quadratic model
• Data revisions and DSGE models
• Full‐information estimation of heterogeneous agent models using macro and micro data
• Book review of: E. P. Herbst and F. Schorfheide, Bayesian estimation of DSGE models
• Challenges and opportunities for twenty first century Bayesian econometricians: a personal view
• Origins of monetary policy shifts: a new approach to regime switching in DSGE models
• Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices
• What drives Ireland's housing market? A Bayesian DSGE approach

This page was built for publication: Bayesian estimation of DSGE models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3463293)