Non-linear DSGE models and the optimized central difference particle filter

DOI10.1016/J.JEDC.2011.04.007zbMATH Open1282.91189OpenAlexW3126099294MaRDI QIDQ647657FDOQ647657

Martin Møller Andreasen

Publication date: 24 November 2011

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.04.007

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zbMATH Keywords

likelihood inferenceparticle filteringnon-linear DSGE modelsnon-normal shocks

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Filtering in stochastic control theory (93E11) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

• Sequential Monte Carlo Methods in Practice
• Stochastic processes and filtering theory
• Filtering via Simulation: Auxiliary Particle Filters
• Particle Markov Chain Monte Carlo Methods
• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
• BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
• Bayesian Analysis of DSGE Models
• Estimating Macroeconomic Models: A Likelihood Approach
• Efficient high-dimensional importance sampling
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Title not available (Why is that?)
• New developments in state estimation for nonlinear systems
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Euro area inflation persistence in an estimated nonlinear DSGE model

Cited In (7)

• Computing time-consistent equilibria: a perturbation approach
• Estimation of ergodic agent-based models by simulated minimum distance
• The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
• Identification of DSGE models -- the effect of higher-order approximation and pruning
• An auxiliary particle filter for nonlinear dynamic equilibrium models
• Bandwidth selection in pre-smoothed particle filters
• Bayesian inference for nonlinear structural time series models

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