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

DOI10.1016/J.JEDC.2011.04.007MaRDI QIDQ647657zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 1666095 (Why is no real title available?)
• Bayesian Analysis of DSGE Models
• Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Efficient high-dimensional importance sampling
• Estimating Macroeconomic Models: A Likelihood Approach
• Euro area inflation persistence in an estimated nonlinear DSGE model
• Filtering via Simulation: Auxiliary Particle Filters
• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
• New developments in state estimation for nonlinear systems
• Particle Markov Chain Monte Carlo Methods
• Sequential Monte Carlo Methods in Practice
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Stochastic processes and filtering theory

Cited in

(9)

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

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