Rapid estimation of nonlinear DSGE models

This article describes a new approximation method for dynamic stochastic general equilibrium (DSGE) models. The method allows nonlinear models to be estimated efficiently and relatively quickly with the fully-adapted particle filter, without using high-performance parallel computation. The article demonstrates the method by estimating, on US data, a nonlinear New Keynesian model with time-varying volatility.

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Year of publication:	2012-09-11
Authors:	Hall, Jamie

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Hall, Jamie (2012): Rapid estimation of nonlinear DSGE models.
Classification:	E0 - Macroeconomics and Monetary Economics. General ; C1 - Econometric and Statistical Methods: General
Source:	BASE

Persistent link: https://www.econbiz.de/10015234560