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Bayesian Estimation of Dsge Models
Edward P. Herbst
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Description for Bayesian Estimation of Dsge Models
Hardback. .
Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed ... Read more
Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed ... Read more
Product Details
Publisher
Princeton University Press United States
Number of pages
296
Format
Hardback
Publication date
2016
Series
The Econometric and Tinbergen Institutes Lectures
Condition
New
Number of Pages
296
Place of Publication
New Jersey, United States
ISBN
9780691161082
SKU
V9780691161082
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-22
About Edward P. Herbst
Edward P. Herbst is an economist in the Division of Research and Statistics at the Federal Reserve Board. Frank Schorfheide is Professor of Economics at the University of Pennsylvania and research associate at the National Bureau of Economic Research. He also is a fellow of the Penn Institute for Economic Research, a visiting scholar at the Federal Reserve Banks of ... Read more
Reviews for Bayesian Estimation of Dsge Models
Well written and well organized, and the topic analyzed is very interesting and current.
Manuel Salvador, MathSciNet
Manuel Salvador, MathSciNet