Search Results - subject:"Sequential Monte Carlo methods"

Trend-cycle decomposition and forecasting using Bayesian multivariate unobserved components

Jahan-Parvar, Mohammad R.; Knipp, Charles; Szerszeń, … - 2024

Persistent link: https://www.econbiz.de/10015271311

Acharya, Sushant; Chen, William; Del Negro, Marco; … - 2023

Sequential Monte Carlo methods. We use this toolkit to compare the out-of-sample forecasting accuracy of a prominent HANK model …

Persistent link: https://www.econbiz.de/10014480620

Estimating HANK for central banks

Acharya, Sushant; Chen, William; Del Negro, Marco; … - 2023

Sequential Monte Carlo methods. We use this toolkit to compare the out-of-sample forecasting accuracy of a prominent HANK model …

Persistent link: https://www.econbiz.de/10014333331

Estimating HANK for central banks

Acharya, Sushant; Chen, William; Del Negro, Marco; … - 2023

Persistent link: https://www.econbiz.de/10014334967

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2020

Persistent link: https://www.econbiz.de/10012388566

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for "online" estimation, and...

Persistent link: https://www.econbiz.de/10012144736