SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS
نویسندگان
چکیده
منابع مشابه
Sequential Monte Carlo samplers for Bayesian DSGE models
Bayesian estimation of DSGE models typically uses Markov chain Monte Carlo as importance sampling (IS) algorithms have a difficult time in high-dimensional spaces. I develop improved IS algorithms for DSGE models using recent advances in Monte Carlo methods known as sequential Monte Carlo samplers. Sequential Monte Carlo samplers are a generalization of particle filtering designed for full simu...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2014
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.2397