Rapid estimation of nonlinear DSGE models

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

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: New Keynesian; particle filter
• Subjects: E - Macroeconomics and Monetary Economics > E0 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General

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