Showing 1 - 10 of 19
Persistent link: https://www.econbiz.de/10003989917
Persistent link: https://www.econbiz.de/10010237947
Persistent link: https://www.econbiz.de/10008738446
Persistent link: https://www.econbiz.de/10010497164
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10011499604
Persistent link: https://www.econbiz.de/10011949463
Persistent link: https://www.econbiz.de/10011700564
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/10012038824
Persistent link: https://www.econbiz.de/10012388566