Non-linear DSGE models and the optimized central difference particle filter
type: Item
instance of: scholarly article
title: Non-linear DSGE models and the optimized central difference particle filter
zbMATH Open document ID: 1282.91189
publication date: 2011-11-24T00:00:00Z
Mathematics Subject Classification ID: 91B51
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 93E11
zbMATH DE Number: 5978517
zbMATH Keywords: likelihood inference
zbMATH Keywords: non-linear DSGE models
zbMATH Keywords: non-normal shocks
zbMATH Keywords: particle filtering
author: Martin Møller Andreasen
MaRDI profile type: Publication
full work available at URL: j.jedc.2011.04.007
OpenAlex ID: W3126099294
cites work: Euro area inflation persistence in an estimated nonlinear DSGE model
cites work: Bayesian Analysis of DSGE Models
cites work: Particle Markov Chain Monte Carlo Methods
cites work: Sequential Monte Carlo Methods in Practice
cites work: Estimating Macroeconomic Models: A Likelihood Approach
cites work: BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
cites work: Following a moving target -- Monte Carlo inference for dynamic Bayesian models
cites work: Stochastic processes and filtering theory
cites work: Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
cites work: Q2753036
cites work: New developments in state estimation for nonlinear systems
cites work: Filtering via Simulation: Auxiliary Particle Filters
cites work: Efficient high-dimensional importance sampling
cites work: Solving dynamic general equilibrium models using a second-order approximation to the policy function
DOI: 10.1016/J.JEDC.2011.04.007
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5978517