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A note on particle filters applied to DSGE models

Fasolo, Angelo Marsiglia - 2012

Persistent link: https://www.econbiz.de/10009573931

Solving and estimating linearized DSGE models with VARMA shock processes and filtered data

Meyer-Gohde, Alexander; Neuhoff, Daniel - In: Economics letters 133 (2015), pp. 89-91

Persistent link: https://www.econbiz.de/10011432004

Estimating the state vector of linearized DSGE models without the Kalman filter

Kollmann, Robert - In: Economics letters 120 (2013) 1, pp. 65-66

Persistent link: https://www.econbiz.de/10009760472

Tractable latent state filtering for non-linear DSGE models using a second-order approximation and pruning

Kollmann, Robert - In: Computational economics 45 (2015) 2, pp. 239-260

Persistent link: https://www.econbiz.de/10011325720

Posterior inference on parameters in a nonlinear DSGE model via Gaussian-based filters

Noh, Sanha - In: Computational economics 56 (2020) 4, pp. 795-841

Persistent link: https://www.econbiz.de/10012390473

Piecewise-linear approximations and filtering for DSGE models with occasionally-binding constraints

Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - In: Review of economic dynamics 41 (2021), pp. 96-120

Persistent link: https://www.econbiz.de/10012872924

Fundamental shock selection in DSGE models

Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A. - 2015

DSGE models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We analyze the consequences of introducing nonfundamental shocks for the estimation of DSGE model parameters and propose a method to select the structural shocks driving...

Persistent link: https://www.econbiz.de/10010517720

Bayesian estimation of state space models using moment conditions

Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 201 (2017) 2, pp. 198-211

Persistent link: https://www.econbiz.de/10011918691

The international transmission of volatility shocks : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2012

Persistent link: https://www.econbiz.de/10009671786

High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction

Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2020

Persistent link: https://www.econbiz.de/10012373015