| Titre : | Bayesian estimation of DSGE models |
| Auteurs : | Edward P. Herbst, Auteur ; Frank Schorfheide, Auteur |
| Type de document : | Ouvrages |
| Editeur : | Princeton : Princeton University Press, 2016 |
| ISBN/ISSN/EAN : | 978-0-691-16108-2 |
| Format : | xix, 275 pages / 23 cm |
| Langues: | Anglais |
| Catégories : |
[Eurovoc] ÉCONOMIE > analyse économique > analyse économique > économétrie [Eurovoc] SCIENCES > sciences naturelles et appliquées > sciences appliquées > mathématiques |
| Tags : | equilibrium model ; mathematical models ; statistical models ; stochastic model |
| Résumé : | 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 work introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. |
| Note de contenu : |
Introduction to DSGE modeling and Bayesian inference. DSGE modeling --
Turning a DSGE model into a Bayesian model -- A crash course in Bayesian inference -- Estimation of linearized DSGE models. Metropolis-Hastings algorithms for DSGE models -- Sequential Monte Carlo methods -- Three applications -- Estimation of nonlinear DSGE models. From linear to nonlinear DSGE models -- Particle filters -- Combining particle filters with MH samplers -- Combining particle filters with SMC samplers -- Appendix. Model descriptions -- Data sources. |
Exemplaires (1)
| Code-barres | Cote | Support | Localisation | Section | Disponibilité |
|---|---|---|---|---|---|
| 007300 | X 996 | Livre | Centre de documentation du CERDI / Ecole d'Economie | Salle de lecture | Sorti jusqu'au 20/08/2023 |
