Bayesian estimation of DSGE models:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton ; Oxford
Princeton University Press
[2016]
|
| Schriftenreihe: | The Econometric and Tinbergen Institutes lectures
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xix, 275 Seiten Diagramme |
| ISBN: | 9780691161082 |
Internformat
MARC
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| 100 | 1 | |a Herbst, Edward P. |d 1984- |e Verfasser |0 (DE-588)1043671811 |4 aut | |
| 245 | 1 | 0 | |a Bayesian estimation of DSGE models |c Edward P. Herbst and Frank Schorfheide |
| 264 | 1 | |a Princeton ; Oxford |b Princeton University Press |c [2016] | |
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Datensatz im Suchindex
| _version_ | 1804175266879111168 |
|---|---|
| adam_text | Contents
Figures xi
Tables xiii
Series Editors9 Introduction xv
Preface xvii
I Introduction to DSGE Modeling and Bayes-
ian Inference 1
1 DSGE Modeling 3
1.1 A Small-Scale New Keynesian DSGE Model 4
1.2 Other DSGE Models Considered in This Book 11
2 Turning a DSGE Model into a Bayesian Model 14
2.1 Solving a (Linearized) DSGE Model 16
2.2 The Likelihood Function 19
2.3 Priors 22
3 A Crash Course in Bayesian Inference 29
3.1 The Posterior of a Linear Gaussian Model 31
3.2 Bayesian Inference and Decision Making 35
3.3 A Non-Gaussian Posterior 43
3.4 Importance Sampling 46
3.5 Metropolis-Hastings Algorithms 52
viii • Table of Contents
II Estimation of Linearized DSGE Models 63
4 Metropolis-Hastings Algorithms for DSGE Models 65
4.1 A Benchmark Algorithm 67
4.2 The RWMH-V Algorithm at Work 69
4.3 Challenges Due to Irregular Posteriors 77
4.4 Alternative MH Samplers 81
4.5 Comparing the Accuracy of MH Algorithms 87
4.6 Evaluation of the Marginal Data Density 93
5 Sequential Monte Carlo Methods 100
5.1 A Generic SMC Algorithm 101
5.2 Further Details of the SMC Algorithm 109
5.3 SMC for the Small-Scale DSGE Model 125
6 Three Applications 130
6.1 A Model with Correlated Shocks 131
6.2 The Smets-Wouters Model with a Diffuse Prior 141
6.3 The keeper-Plante-Traum Fiscal Policy Model 150
III Estimation of Nonlinear DSGE Models 161
7 From Linear to Nonlinear DSGE Models 163
7.1 Nonlinear DSGE Model Solutions 164
7.2 Adding Nonlinear Features to DSGE Models 167
8 Particle Filters 171
8.1 The Bootstrap Particle Filter 173
8.2 A Generic Particle Filter 182
8.3 Adapting the Generic Filter 185
8.4 Additional Implementation Issues 191
8.5 Adapting St-i Draws 198
8.6 Application to the Small-Scale DSGE Model 204
8.7 Application to the SW Model 212
8.8 Computational Considerations 216
9 Combining Particle Filters with MH Samplers 218
9.1 The PFMH Algorithm 218
9.2 Application to the Small-Scale DSGE Model 222
9.3 Application to the SW Model 224
Table of Contents • ix
9.4 Computational Considerations 229
10 Combining Particle Filters with SMC Samplers 231
10.1 An SMC2 Algorithm 231
10.2 Application to the Small-Scale DSGE Model 237
10.3 Computational Considerations 239
Appendix 241
A Model Descriptions 241
A. 1 Smets-Wouters Model 241
A. 2 Leeper-Plante-Traum Fiscal Policy Model 247
B Data Sources 249
B. 1 Small-Scale New Keynesian DSGE Model 249
B.2 Smets-Wouters Model 249
B.3 Leeper-Plante-Traum Fiscal Policy Model 251
Bibliography 257
Index 271
|
| any_adam_object | 1 |
| author | Herbst, Edward P. 1984- Schorfheide, Frank |
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| author_role | aut aut |
| author_sort | Herbst, Edward P. 1984- |
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| building | Verbundindex |
| bvnumber | BV042951605 |
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| dewey-full | 339.501/519542 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 339 - Macroeconomics and related topics |
| dewey-raw | 339.501/519542 |
| dewey-search | 339.501/519542 |
| dewey-sort | 3339.501 6519542 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV042951605 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:34Z |
| institution | BVB |
| isbn | 9780691161082 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028377719 |
| oclc_num | 934585068 |
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| physical | xix, 275 Seiten Diagramme |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Princeton University Press |
| record_format | marc |
| series2 | The Econometric and Tinbergen Institutes lectures |
| spelling | Herbst, Edward P. 1984- Verfasser (DE-588)1043671811 aut Bayesian estimation of DSGE models Edward P. Herbst and Frank Schorfheide Princeton ; Oxford Princeton University Press [2016] © 2016 xix, 275 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier The Econometric and Tinbergen Institutes lectures Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd rswk-swf Stochastisches dynamisches System (DE-588)4305316-6 gnd rswk-swf Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 gnd rswk-swf Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd rswk-swf Stochastisches dynamisches System (DE-588)4305316-6 s Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 s Bayes-Entscheidungstheorie (DE-588)4144220-9 s Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 s b DE-604 Schorfheide, Frank Verfasser (DE-588)130374822 aut Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028377719&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Herbst, Edward P. 1984- Schorfheide, Frank Bayesian estimation of DSGE models Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd Stochastisches dynamisches System (DE-588)4305316-6 gnd Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 gnd Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd |
| subject_GND | (DE-588)4210294-7 (DE-588)4305316-6 (DE-588)4508520-1 (DE-588)4144220-9 |
| title | Bayesian estimation of DSGE models |
| title_auth | Bayesian estimation of DSGE models |
| title_exact_search | Bayesian estimation of DSGE models |
| title_full | Bayesian estimation of DSGE models Edward P. Herbst and Frank Schorfheide |
| title_fullStr | Bayesian estimation of DSGE models Edward P. Herbst and Frank Schorfheide |
| title_full_unstemmed | Bayesian estimation of DSGE models Edward P. Herbst and Frank Schorfheide |
| title_short | Bayesian estimation of DSGE models |
| title_sort | bayesian estimation of dsge models |
| topic | Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd Stochastisches dynamisches System (DE-588)4305316-6 gnd Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 gnd Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd |
| topic_facet | Allgemeines Gleichgewichtsmodell Stochastisches dynamisches System Markov-Ketten-Monte-Carlo-Verfahren Bayes-Entscheidungstheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028377719&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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