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Metropolis-Hastings prefetching algorithms

Strid, Ingvar (contributor) - 2008 - Rev. December 2, 2009

Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based … on the idea of evaluating the posterior in parallel and ahead of time. Improved Metropolis-Hastings prefetching … states of the chain and increase the efficiency of prefetching considerably. The optimal acceptance rate for the prefetching …

Persistent link: https://www.econbiz.de/10003779724

Chapter 9. Solution and Estimation Methods for DSGE Models

Fernández-Villaverde, J.; Rubio-Ramírez, J.F.; … - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 527-724). 2016

This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.

Persistent link: https://www.econbiz.de/10014024288

JBendge : an object-oriented system for solving, estimating and selecting nonlinear dynamic models

Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008

We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...

Persistent link: https://www.econbiz.de/10003727355

Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality

Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Persistent link: https://www.econbiz.de/10003636133

Rising to the Challenge : Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models

Delli Gatti, Domenico - 2019

We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...

Persistent link: https://www.econbiz.de/10012860573

Rising to the challenge : Bayesian estimation and forecasting techniques for macroeconomic agent-based models

Delli Gatti, Domenico; Grazzini, Jakob - 2019

Persistent link: https://www.econbiz.de/10012119860

Solution and Estimation Methods for DSGE Models

Fernández-Villaverde, Jesús - 2016

This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field

Persistent link: https://www.econbiz.de/10013002113

Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems

Malhotra, Yogesh - 2015

Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...

Persistent link: https://www.econbiz.de/10013029835

Better Investing Through Factors, Regimes and Sensitivity Analysis

Homescu, Cristian - 2015

Recent periods of market turbulence and stress have created considerable interest in credible alternatives to traditional asset allocation methodologies. It would be preferred if portfolios can be decomposed into components that can be directly connected to independent risks and individually...

Persistent link: https://www.econbiz.de/10013029300

Many Risks, One (Optimal) Portfolio

Homescu, Cristian - 2014

Persistent link: https://www.econbiz.de/10013050012