DSGE models with Student-t errors

DOI10.1080/07474938.2013.807152zbMATH Open1491.62197OpenAlexW2096201680MaRDI QIDQ5080441FDOQ5080441

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

Recommendations

• Bayesian student-t stochastic volatility models via scale mixtures
• Bayesian Analysis of DSGE Models
• A Student-\(t\) full factor multivariate GARCH model
• Tailored randomized block MCMC methods with application to DSGE models
• On sampling the degree-of-freedom of Student's-\(t\) disturbances

zbMATH Keywords

Metropolis-HastingsBayesian inferenceMCMCstate-space modelmarginal likelihoodparticle filteringmultivariate-Student-\(t\) distribution

Mathematics Subject Classification ID

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

Cites Work

• Solving linear rational expectations models
• Markov chain Monte Carlo methods for stochastic volatility models.
• Methods for inference in large multiple-equation Markov-switching models
• On Gibbs sampling for state space models
• Title not available (Why is that?)
• Bayesian Analysis of Binary and Polychotomous Response Data
• Marginal Likelihood from the Gibbs Output
• Filtering via Simulation: Auxiliary Particle Filters
• Marginal Likelihood From the Metropolis–Hastings Output
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Bayesian Analysis of DSGE Models
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• The Solution of Linear Difference Models under Rational Expectations
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Analysis of multifactor affine yield curve models
• Tailored randomized block MCMC methods with application to DSGE models
• Bayes prediction in regressions with elliptical errors

Cited In (13)

• Sunspot-driven fat tails: a note
• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Vector autoregression models with skewness and heavy tails
• Student's-\(t\) process with spatial deformation for spatio-temporal data
• The Student's \(t\)
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
• 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
• Estimación bayesiana de un Modelo Garch-M Bivariado
• Identification and estimation of non-Gaussian structural vector autoregressions
• Bayesian VARs and prior calibration in times of COVID-19
• Noncausality and inflation persistence
• Bayesian semiparametric multivariate stochastic volatility with application

Uses Software

• Gensys

This page was built for publication: DSGE models with Student-\(t\) errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5080441)