Efficient Evaluation and Estimation of Dynamic Stochastic General Equilibrium Models PDF Download
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Author: Johannes Maximilian Huber
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Johannes Maximilian Huber
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Edward P. Herbst
Publisher: Princeton University Press
ISBN: 0691161089
Category : Business & Economics
Languages : en
Pages : 295
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Book Description
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. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Peter B. Dixon
Publisher: Newnes
ISBN: 0444536353
Category : Business & Economics
Languages : en
Pages : 1143
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Book Description
In this collection of 17 articles, top scholars synthesize and analyze scholarship on this widely used tool of policy analysis, setting forth its accomplishments, difficulties, and means of implementation. Though CGE modeling does not play a prominent role in top US graduate schools, it is employed universally in the development of economic policy. This collection is particularly important because it presents a history of modeling applications and examines competing points of view. - Presents coherent summaries of CGE theories that inform major model types - Covers the construction of CGE databases, model solving, and computer-assisted interpretation of results - Shows how CGE modeling has made a contribution to economic policy
Author: Francisco Javier Ruge-Murcia
Publisher: Montréal : Centre interuniversitaire de recherche en économie quantitative
ISBN: 9782893824758
Category :
Languages : en
Pages : 39
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Book Description
Author: Humberto Barreto
Publisher: Cambridge University Press
ISBN: 1107584981
Category : Business & Economics
Languages : en
Pages : 199
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Book Description
Humberto Barreto shows professors how to teach macroeconomic models and incorporate data using Microsoft Excel® with free files and videos.
Author: David N. DeJong
Publisher: Princeton University Press
ISBN: 1400840503
Category : Business & Economics
Languages : en
Pages : 435
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Book Description
The revised edition of the essential resource on macroeconometrics Structural Macroeconometrics provides a thorough overview and in-depth exploration of methodologies, models, and techniques used to analyze forces shaping national economies. In this thoroughly revised second edition, David DeJong and Chetan Dave emphasize time series econometrics and unite theoretical and empirical research, while taking into account important new advances in the field. The authors detail strategies for solving dynamic structural models and present the full range of methods for characterizing and evaluating empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian. The authors look at recent strides that have been made to enhance numerical efficiency, consider the expanded applicability of dynamic factor models, and examine the use of alternative assumptions involving learning and rational inattention on the part of decision makers. The treatment of methodologies for obtaining nonlinear model representations has been expanded, and linear and nonlinear model representations are integrated throughout the text. The book offers a rich array of implementation algorithms, sample empirical applications, and supporting computer code. Structural Macroeconometrics is the ideal textbook for graduate students seeking an introduction to macroeconomics and econometrics, and for advanced students pursuing applied research in macroeconomics. The book's historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for academics and professionals.
Author: John Geweke
Publisher: Oxford University Press
ISBN: 0191618268
Category : Business & Economics
Languages : en
Pages : 576
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Book Description
Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.
Author: Camilo Ernesto Tovar Mora
Publisher:
ISBN:
Category : Banks and banking, Central
Languages : en
Pages : 36
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Book Description
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and forecasting. This paper reviews some issues and challenges surrounding the use of these models at central banks. It recognises that they offer coherent frameworks for structuring policy discussions. Nonetheless, they are not ready to accomplish all that is being asked of them. First, they still need to incorporate relevant transmission mechanisms or sectors of the economy; second, issues remain on how to empirically validate them; and finally, challenges remain on how to effectively communicate their features and implications to policy makers and to the public. Overall, at their current stage DSGE models have important limitations. How much of a problem this is will depend on their specific use at central banks.
Author: David N. DeJong
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure employs continuous approximations of filtering densities, and delivers unconditionally optimal global approximations of targeted integrands to achieve likelihood approximation. Optimized approximations of targeted integrands are constructed via efficient importance sampling. Resulting likelihood approximations are continuous functions of model parameters, greatly enhancing parameter estimation. We illustrate our procedure in applications to dynamic stochastic general equilibrium models.
