Download PDF BookBayesian Estimation of DSGE Models (The Econometric and Tinbergen Institutes Lectures)

[Free Download.CZME] Bayesian Estimation of DSGE Models (The Econometric and Tinbergen Institutes Lectures)

[Free Download.CZME] Bayesian Estimation of DSGE Models (The Econometric and Tinbergen Institutes Lectures)

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Book Details :
Published on: 2015-12-29
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Original language: English

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 empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Econometric Links Econometrics Journal econometriclinks.com the Econometric Links of the Econometrics Journalby Marius Oomssince 1995. Link or bookmark: econometriclinks.comor http ...
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