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...

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.

There are always two major sources of uncertainty in measurements related to lifetime surveys: variation among the observations and imprecision of individual observation called fuzziness. The typical statistical analysis is based on variation among the observations and does not consider the...