Non-linear DSGE models and the optimized central difference particle filter
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Publication:647657
DOI10.1016/j.jedc.2011.04.007zbMath1282.91189OpenAlexW3126099294MaRDI QIDQ647657
Publication date: 24 November 2011
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.04.007
Filtering in stochastic control theory (93E11) Applications of mathematical programming (90C90) Dynamic stochastic general equilibrium theory (91B51)
Related Items (6)
Estimation of ergodic agent-based models by simulated minimum distance ⋮ Computing time-consistent equilibria: a perturbation approach ⋮ Bandwidth selection in pre-smoothed particle filters ⋮ Identification of DSGE models -- the effect of higher-order approximation and pruning ⋮ An auxiliary particle filter for nonlinear dynamic equilibrium models ⋮ Bayesian inference for nonlinear structural time series models
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