Tailored randomized block MCMC methods with application to DSGE models

DOI10.1016/j.jeconom.2009.08.003zbMath1431.62603OpenAlexW2137824508MaRDI QIDQ2630161

Srikanth Ramamurthy, Siddhartha Chib

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.08.003

zbMATH Keywords

Markov chain Monte Carlosimulated annealingmarginal likelihoodMetropolis-Hastings algorithmdynamic stochastic general equilibrium modelsrandomized blocksmulti modal densitiestailored proposal densities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Dynamic stochastic general equilibrium theory (91B51)

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Uses Software

• Gensys

Cites Work

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