Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices

DOI10.3982/QE396MaRDI QIDQ4586400zbMATH OpenOpenAlexFDO

Authors Martin Kliem, Harald Uhlig

Publication date 13 September 2018

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 3.0 Unported

Full work available at URL https://doi.org/10.3982/qe396

zbMATH Keywords

Bayesian estimationprior choiceSharpe ratiostochastic steady state

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

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Cited in

(11)

• Bayesian estimation of dynamic asset pricing models with informative observations
• A two-step indirect inference approach to estimate the long-run risk asset pricing model
• Speculative bubbles in present-value models: a Bayesian Markov-switching state space approach
• Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
• A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles
• Bayesian estimation and entropy for economic dynamic stochastic models: an exploration of overconsumption
• DSGE models in macroeconometrics: an introduction to the minimal econometric interpretation and its application
• Bayesian Analysis of DSGE Models
• Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
• Estimación de modelos de equilibrio general en economías dinámicas por métodos de Monte Carlo y Cadenas de Markov
• Generalized spectral estimation of the consumption-based asset pricing model

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