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Author: S. Borağan Aruoba
Publisher:
ISBN:
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Languages : en
Pages : 0
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Book Description
We develop an algorithm to construct approximate decision rules that are piecewise-linear and continuous for DSGE models with an occasionally binding constraint. The functional form of the decision rules allows us to derive a conditionally optimal particle filter (COPF) for the evaluation of the likelihood function that exploits the structure of the solution. We document the accuracy of the likelihood approximation and embed it into a particle Markov chain Monte Carlo algorithm to conduct Bayesian estimation. Compared with a standard bootstrap particle filter, the COPF significantly reduces the persistence of the Markov chain, improves the accuracy of Monte Carlo approximations of posterior moments, and drastically speeds up computations. We use the techniques to estimate a small-scale DSGE model to assess the effects of the government spending portion of the American Recovery and Reinvestment Act in 2009 when interest rates reached the zero lower bound.
Author: S. Borağan Aruoba
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We develop an algorithm to construct approximate decision rules that are piecewise-linear and continuous for DSGE models with an occasionally binding constraint. The functional form of the decision rules allows us to derive a conditionally optimal particle filter (COPF) for the evaluation of the likelihood function that exploits the structure of the solution. We document the accuracy of the likelihood approximation and embed it into a particle Markov chain Monte Carlo algorithm to conduct Bayesian estimation. Compared with a standard bootstrap particle filter, the COPF significantly reduces the persistence of the Markov chain, improves the accuracy of Monte Carlo approximations of posterior moments, and drastically speeds up computations. We use the techniques to estimate a small-scale DSGE model to assess the effects of the government spending portion of the American Recovery and Reinvestment Act in 2009 when interest rates reached the zero lower bound.
Author: Leszek Rutkowski
Publisher: Springer Nature
ISBN: 3031234804
Category : Computers
Languages : en
Pages : 414
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Book Description
The two-volume set LNAI 13588 and 13589 constitutes the refereed post-conference proceedings of the 21st International Conference on Artificial Intelligence and Soft Computing, ICAISC 2022, held in Zakopane, Poland, during June 19–23, 2022. The 69 revised full papers presented in these proceedings were carefully reviewed and selected from 161 submissions. The papers are organized in the following topical sections: Volume I: Neural networks and their applications; fuzzy systems and their applications; evolutionary algorithms and their applications; pattern classification; artificial intelligence in modeling and simulation. Volume II: Computer vision, image and speech analysis; data mining; various problems of artificial intelligence; bioinformatics, biometrics and medical applications.
Author: Tom Holden
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Book Description
We present an algorithm for estimating non-linear dynamic models, including those featuring occasionally binding constraints. The algorithm extends the Cubature Kalman Filter of Arasaratnam and Haykin (2009) with dynamic state space reduction, to give adequate speed in the presence of occasionally binding constraints, and to ensure that it can handle the large state spaces generated by pruned perturbation solutions to medium-scale DSGE models. We further extend the base algorithm to allow for alternative cubature procedures to improve the tracking of non-linearities. The algorithm relies on the solution method for models with occasionally binding constraints of Holden (2016b). We illustrate that the method can solve some of the identification problems that plague linearized DSGE models.
Author: Robert Kollmann
Publisher:
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Languages : en
Pages : 0
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Book Description
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the 'pruning' scheme of Kim, Kim, Schaumburg and Sims (2008). By contrast to particle filters, no stochastic simulations are needed for the filter here -- the present method is thus much faster. In Monte Carlo experiments, the filter here generates more accurate estimates of latent state variables than the standard particle filter. The present filter is also more accurate than a conventional Kalman filter that treats the linearized model as the true data generating process. Due to its high speed, the filter presented here is suited for the estimation of model parameters; a quasimaximum likelihood procedure can be used for that purpose.
Author:
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Languages : en
Pages : 0
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Book Description
'This practical review assesses several approaches to solving medium- and large-scale dynamic stochastic general equilibrium (DSGE) models featuring occasionally binding constraints. In such models, global solution methods are not possible because of the curse of dimensionality. This causes the modeller to look elsewhere for methods that can handle the significant non-linearities and non-differentiable functions that inequality constraints represent. The paper discusses methods-including Newton-type solvers under perfect foresight, the piecewise linear algorithm (OccBin), regime-switching models (RISE) and the news shocks approach (DynareOBC) - and compares the results from a simple borrowing constraints model obtained using projection methods, providing example MATLAB code. The study focuses on the news shocks method, which I find produces higher accuracy than other methods and allows the modeller to study multiple equilibria and determinacy issues'--Abstract, page ii.
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: Klaus Neusser
Publisher: Springer
ISBN: 331932862X
Category : Business & Economics
Languages : en
Pages : 421
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Book Description
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
Author: Tobias Adrian
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Shu-Heng Chen
Publisher: Oxford University Press
ISBN: 0190877502
Category : Business & Economics
Languages : en
Pages : 785
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Book Description
The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.
Author: J.E. Trinidad-Segovia
Publisher: MDPI
ISBN: 3036501967
Category : Business & Economics
Languages : en
Pages : 418
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Book Description
This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.
