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. The article demonstrates the method by estimating, on US data, a nonlinear New Keynesian model with a zero lower bound on the nominal interest rate.
Item Type: | MPRA Paper |
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Original Title: | Rapid estimation of nonlinear DSGE models |
Language: | English |
Keywords: | DSGE; nonlinear; particle filter |
Subjects: | E - Macroeconomics and Monetary Economics > E0 - General C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General |
Item ID: | 41218 |
Depositing User: | Jamie Hall |
Date Deposited: | 12 Sep 2012 04:32 |
Last Modified: | 27 Sep 2019 16:31 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/41218 |
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