Bayesian Estimation of DSGE Models

Herbst, Edward P.; Schorfheide, Frank

ISBN 10: 0691161089 / ISBN 13: 9780691161082

Edité par Princeton University Press, 2015

A propos de cet article

N° de réf. du vendeur 23910294-n

Détails bibliographiques

• Titre: Bayesian Estimation of DSGE Models
• Éditeur: Princeton University Press
• Date de parution: 2015
• Langue: anglais
• ISBN à 10 chiffres: 0691161089
• ISBN à 13 chiffres: 9780691161082
• Reliure: Couverture rigide
• État de l'article: New

A propos de ce titre

Synopsis

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.

Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.

À propos de l?auteur

Edward P. Herbst is an economist in the Division of Research and Statistics at the Federal Reserve Board. Frank Schorfheide is Professor of Economics at the University of Pennsylvania and research associate at the National Bureau of Economic Research. He also is a fellow of the Penn Institute for Economic Research, a visiting scholar at the Federal Reserve Banks of Philadelphia and New York, and a coeditor of Quantitative Economics. For more, see edherbst.net and sites.sas.upenn.edu/schorf.