Description
| Product ID: | 9780691161082 |
| Product Form: | Hardback |
| Country of Manufacture: | US |
| Series: | The Econometric and Tinbergen Institutes Lectures |
| Title: | Bayesian Estimation of DSGE Models |
| Authors: | Author: Edward P. Herbst, Frank Schorfheide |
| Page Count: | 296 |
| Subjects: | Macroeconomics, Macroeconomics, Econometrics and economic statistics, Econometrics |
| Description: | Select Guide Rating Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book c Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. |
| Imprint Name: | Princeton University Press |
| Publisher Name: | Princeton University Press |
| Country of Publication: | GB |
| Publishing Date: | 2015-12-29 |
