Bayesian Estimation of DSGE Models

DOI10.1515/9781400873739zbMath1362.91001OpenAlexW2223741282MaRDI QIDQ3463293

Edward Herbst, Frank Schorfheide

Publication date: 13 January 2016

Full work available at URL: https://doi.org/10.1515/9781400873739

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Dynamic stochastic general equilibrium theory (91B51)

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Data revisions and DSGE models ⋮ Bayesian estimation of agent-based models ⋮ Is Rotemberg pricing justified by macro data? ⋮ A solution to the global identification problem in DSGE models ⋮ Full‐information estimation of heterogeneous agent models using macro and micro data ⋮ Hamiltonian sequential Monte Carlo with application to consumer choice behavior ⋮ Unconventional monetary policy in a nonlinear quadratic model ⋮ Improved marginal likelihood estimation via power posteriors and importance sampling ⋮ Global identification of linearized DSGE models ⋮ Quasi-Bayesian model selection ⋮ Stochastic Filtering Methods in Electronic Trading ⋮ Origins of monetary policy shifts: a new approach to regime switching in DSGE models ⋮ Deep habits and exchange rate pass-through

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