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Bayesian Estimation of DSGE Models

Edward P. Herbst and Frank Schorfheide

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.001.0001
Subject:
Economics and Finance, Econometrics

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 ... More


Turning a DSGE Model into a Bayesian Model

Edward P. Herbst and Frank Schorfheide

in Bayesian Estimation of DSGE Models

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.003.0002
Subject:
Economics and Finance, Econometrics

This chapter considers the turning of DSGE models into Bayesian versions by specifying a probability distribution for the innovations of the exogenous shock processes. There exists a wide variety of ... More


Three Applications

Edward P. Herbst and Frank Schorfheide

in Bayesian Estimation of DSGE Models

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.003.0006
Subject:
Economics and Finance, Econometrics

This chapter modifies the baseline DSGE model in three dimensions. First, it replaces the AR processes for technology growth and government spending by a VAR process, generalizing the law of motion ... More


Particle Filters

Edward P. Herbst and Frank Schorfheide

in Bayesian Estimation of DSGE Models

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.003.0008
Subject:
Economics and Finance, Econometrics

This chapter explains how the key difficulty that arises when the Bayesian estimation of DSGE models is extended from linear to nonlinear models is the evaluation of the likelihood function, and ... More


DSGE Modeling

Edward P. Herbst and Frank Schorfheide

in Bayesian Estimation of DSGE Models

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.003.0001
Subject:
Economics and Finance, Econometrics

This chapter discusses how dynamic stochastic general equilibrium (DSGE) models are now widely used by academics to conduct empirical research macroeconomics, as well as by central banks to interpret ... More


Metropolis-Hastings Algorithms for DSGE Models

Edward P. Herbst and Frank Schorfheide

in Bayesian Estimation of DSGE Models

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.003.0004
Subject:
Economics and Finance, Econometrics

This chapter talks about the most widely used method to generate draws from posterior distributions of a DSGE model: the random walk MH (RWMH) algorithm. The DSGE model likelihood function in ... More


From Linear to Nonlinear DSGE Models

Edward P. Herbst and Frank Schorfheide

in Bayesian Estimation of DSGE Models

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.003.0007
Subject:
Economics and Finance, Econometrics

This chapter presents computational techniques that can be used to estimate DSGE models that have been solved with nonlinear techniques, such as higher-order perturbation methods or projection ... More


Sequential Monte Carlo Methods

Edward P. Herbst and Frank Schorfheide

in Bayesian Estimation of DSGE Models

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.003.0005
Subject:
Economics and Finance, Econometrics

This chapter analyzes Sequential Monte Carlo (SMC) algorithms and how they were initially developed to solve filtering problems that arise in nonlinear state–space models. The first paper that ... More


Combining Particle Filters with SMC Samplers

Edward P. Herbst and Frank Schorfheide

in Bayesian Estimation of DSGE Models

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.003.0010
Subject:
Economics and Finance, Econometrics

This chapter combines the SMC algorithm with the particle filter approximation of the likelihood function to develop an SMC2 algorithm. As with the PFMH algorithm, the goal is to obtain a posterior ... More


The Role of Monetary Policy in Turkey during the Global Financial Crisis

Harun Alp and Selim Elekdağ

in The Great Recession: Lessons for Central Bankers

Published in print:
2013
Published Online:
January 2015
ISBN:
9780262018340
eISBN:
9780262305921
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262018340.003.0003
Subject:
Economics and Finance, Financial Economics

Turkey is an interesting case study because it was one of the hardest hit countries by the crisis, with a year-over-year contraction of 15 percent during the first quarter of 2009. At the same time, ... More


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