An auxiliary particle filter for nonlinear dynamic equilibrium models

DOI10.1016/j.econlet.2016.04.020zbMath1396.91420OpenAlexW2345356592MaRDI QIDQ1668289

Yuan Yang, Lu Wang

Publication date: 3 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.04.020

zbMATH Keywords

Bayesian estimationDSGE modelauxiliary particle filter

Mathematics Subject Classification ID

Approximation algorithms (68W25) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

• Euro area inflation persistence in an estimated nonlinear DSGE model
• Non-linear DSGE models and the optimized central difference particle filter
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Filtering via Simulation: Auxiliary Particle Filters
• Bayesian Analysis of DSGE Models
• Estimating Macroeconomic Models: A Likelihood Approach

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