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Rapid estimation of nonlinear DSGE models

Hall, Jamie (2012): Rapid estimation of nonlinear DSGE models.

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Abstract

This article describes a new approximation method for dynamic stochastic general equilibrium (DSGE) models. The method allows nonlinear models to be estimated efficiently and relatively quickly with the fully-adapted particle filter, without using high-performance parallel computation. The article demonstrates the method by estimating, on US data, a nonlinear New Keynesian model with time-varying volatility.

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