Childers, David; Fernández-Villaverde, Jesús; Perla, Jesse - National Bureau of Economic Research - 2022
We propose a methodology to take dynamic stochastic general equilibrium (DSGE) models to the data based on the combination of differentiable state-space models and the Hamiltonian Monte Carlo (HMC) sampler. First, we introduce a method for implicit automatic differentiation of perturbation...