Online estimation of DSGE models

DOI10.1093/ECTJ/UTAA029OpenAlexW4285652002MaRDI QIDQ5083246FDOQ5083246

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

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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