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Bayesian Estimation Of Dsge Models


Bayesian Estimation Of Dsge Models
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Bayesian Estimation Of Dsge Models


Bayesian Estimation Of Dsge Models
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Author : Edward P. Herbst
language : en
Publisher: Princeton University Press
Release Date : 2015-12-29

Bayesian Estimation Of Dsge Models written by Edward P. Herbst and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-29 with Business & Economics categories.


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 book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.



Bayesian Estimation Of Dsge Models


Bayesian Estimation Of Dsge Models
DOWNLOAD
Author : Edward P. Herbst
language : en
Publisher: Princeton University Press
Release Date : 2015-12-29

Bayesian Estimation Of Dsge Models written by Edward P. Herbst and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-29 with Business & Economics categories.


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 book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.



Bayesian Estimation Of Dsge Models


Bayesian Estimation Of Dsge Models
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Author : Pablo Guerron-Quintana
language : en
Publisher:
Release Date : 2012

Bayesian Estimation Of Dsge Models written by Pablo Guerron-Quintana and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Bayesian statistical decision theory categories.


We survey Bayesian methods for estimating dynamic stochastic general equilibrium (DSGE) models in this article. We focus on New Keynesian (NK)DSGE models because of the interest shown in this class of models by economists in academic and policy-making institutions. This interest stems from the ability of this class of DSGE model to transmit real, nominal, and fiscal and monetary policy shocks into endogenous fluctuations at business cycle frequencies. Intuition about these propagation mechanisms is developed by reviewing the structure of a canonical NKDSGE model. Estimation and evaluation of the NKDSGE model rests on being able to detrend its optimality and equilibrium conditions, to construct a linear approximation of the model, to solve for its linear approximate decision rules, and to map from this solution into a state space model to generate Kalman filter projections. The likelihood of the linear approximate NKDSGE model is based on these projections. The projections and likelihood are useful inputs into the Metropolis-Hastings Markov chain Monte Carlo simulator that we employ to produce Bayesian estimates of the NKDSGE model. We discuss an algorithm that implements this simulator. This algorithm involves choosing priors of the NKDSGE model parameters and fixing initial conditions to start the simulator. The output of the simulator is posterior estimates of two NKDSGE models, which are summarized and compared to results in the existing literature. Given the posterior distributions, the NKDSGE models are evaluated with tools that determine which is most favored by the data. We also give a short history of DSGE model estimation as well as pointing to issues that are at the frontier of this research.



Dsge Models In Macroeconomics


Dsge Models In Macroeconomics
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Author : Nathan Balke
language : en
Publisher: Emerald Group Publishing
Release Date : 2012-11-29

Dsge Models In Macroeconomics written by Nathan Balke and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-29 with Business & Economics categories.


This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy



The Oxford Handbook Of Bayesian Econometrics


The Oxford Handbook Of Bayesian Econometrics
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Author : John Geweke
language : en
Publisher: Oxford University Press, USA
Release Date : 2011-09-29

The Oxford Handbook Of Bayesian Econometrics written by John Geweke and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-29 with Business & Economics categories.


A broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing.



Structural Macroeconometrics


Structural Macroeconometrics
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Author : David N. DeJong
language : en
Publisher: Princeton University Press
Release Date : 2011-10-23

Structural Macroeconometrics written by David N. DeJong and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-23 with Business & Economics categories.


Provides an overview and exploration of methodologies, models, and techniques used to analyze forces shaping national economies. This title presents a range of methods for characterizing and evaluating empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian.



Essay On Bayesian Estimation Of Dsge Models


Essay On Bayesian Estimation Of Dsge Models
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Author : Filippo Ferroni
language : en
Publisher:
Release Date : 2009

Essay On Bayesian Estimation Of Dsge Models written by Filippo Ferroni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.




Bayesian Estimation Of Dsge Models


Bayesian Estimation Of Dsge Models
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Author : Jagjit Chadha
language : en
Publisher:
Release Date : 2018

Bayesian Estimation Of Dsge Models written by Jagjit Chadha and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.




High Frequency Financial Econometrics


High Frequency Financial Econometrics
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Author : Yacine Aït-Sahalia
language : en
Publisher: Princeton University Press
Release Date : 2014-07-21

High Frequency Financial Econometrics written by Yacine Aït-Sahalia and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-21 with Business & Economics categories.


A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.



Bayesian Multivariate Time Series Methods For Empirical Macroeconomics


Bayesian Multivariate Time Series Methods For Empirical Macroeconomics
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Author : Gary Koop
language : en
Publisher: Now Publishers Inc
Release Date : 2010

Bayesian Multivariate Time Series Methods For Empirical Macroeconomics written by Gary Koop and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.


Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.