Online estimation of DSGE models

DOI10.1093/ECTJ/UTAA029MaRDI QIDQ5083246zbMATH OpenOpenAlexFDO

Authors Michael Cai, Marco Del Negro, Edward Herbst, Ethan Matlin, Reca Sarfati, Frank Schorfheide

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w26826.pdf

zbMATH Keywords

Bayesian inferenceonline estimationadaptive algorithmssequential Monte Carlo methodsdensity forecasts

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(3)

• Estimating the effects of demographics on interest rates: a robust Bayesian perspective
• Sequential Monte Carlo with model tempering
• Global robust Bayesian analysis in large models

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