DSGE Models with Student-tErrors

DOI10.1080/07474938.2013.807152zbMath1491.62197OpenAlexW2096201680MaRDI QIDQ5080441

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

marginal likelihoodstate-space modelBayesian inferenceMCMCMetropolis-Hastingsparticle filteringmultivariate-Student-\(t\) distribution

Mathematics Subject Classification ID

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

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Uses Software

• Gensys

Cites Work

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