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Download or read book Solution and Estimation Methods for DSGE Models written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Roger Farmer
Publisher : International Monetary Fund
ISBN 13 : 1484342658
Total Pages : 31 pages
Book Rating : 4.4/5 (843 download)
Download or read book Solving and Estimating Indeterminate DSGE Models written by Mr.Roger Farmer and published by International Monetary Fund. This book was released on 2013-10-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.
Author : Edward P. Herbst
Publisher : Princeton University Press
ISBN 13 : 0691161089
Total Pages : 295 pages
Book Rating : 4.6/5 (911 download)
Download or read book Bayesian Estimation of DSGE Models written by Edward P. Herbst and published by Princeton University Press. This book was released on 2015-12-29 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Gianni Amisano
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (748 download)
Download or read book Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations written by Gianni Amisano and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David N. DeJong
Publisher : Princeton University Press
ISBN 13 : 1400840503
Total Pages : 435 pages
Book Rating : 4.4/5 (8 download)
Download or read book Structural Macroeconometrics written by David N. DeJong and published by Princeton University Press. This book was released on 2011-10-03 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: The revised edition of the essential resource on macroeconometrics Structural Macroeconometrics provides a thorough overview and in-depth exploration of methodologies, models, and techniques used to analyze forces shaping national economies. In this thoroughly revised second edition, David DeJong and Chetan Dave emphasize time series econometrics and unite theoretical and empirical research, while taking into account important new advances in the field. The authors detail strategies for solving dynamic structural models and present the full range of methods for characterizing and evaluating empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian. The authors look at recent strides that have been made to enhance numerical efficiency, consider the expanded applicability of dynamic factor models, and examine the use of alternative assumptions involving learning and rational inattention on the part of decision makers. The treatment of methodologies for obtaining nonlinear model representations has been expanded, and linear and nonlinear model representations are integrated throughout the text. The book offers a rich array of implementation algorithms, sample empirical applications, and supporting computer code. Structural Macroeconometrics is the ideal textbook for graduate students seeking an introduction to macroeconomics and econometrics, and for advanced students pursuing applied research in macroeconomics. The book's historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for academics and professionals.
Author : Nathan Balke
Publisher : Emerald Group Publishing
ISBN 13 : 1781903050
Total Pages : 480 pages
Book Rating : 4.7/5 (819 download)
Download or read book DSGE Models in Macroeconomics written by Nathan Balke and published by Emerald Group Publishing. This book was released on 2012-11-29 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Author : John B. Taylor
Publisher : North Holland
ISBN 13 :
Total Pages : 596 pages
Book Rating : 4.4/5 (91 download)
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by North Holland. This book was released on 1999-12-13 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text aims to provide a survey of the state of knowledge in the broad area that includes the theories and facts of economic growth and economic fluctuations, as well as the consequences of monetary and fiscal policies for general economic conditions.
Author : Juan Carlos Parra-Alvarez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book A Comparison of Numerical Methods for the Solution of Continuous-time DSGE Models written by Juan Carlos Parra-Alvarez and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Roger E. A. Farmer
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (119 download)
Download or read book Solving and Estimating Indeterminate DSGE Models written by Roger E. A. Farmer and published by . This book was released on 2013 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.
Author : Alfonso Novales
Publisher : Springer Science & Business Media
ISBN 13 : 354068669X
Total Pages : 543 pages
Book Rating : 4.5/5 (46 download)
Download or read book Economic Growth written by Alfonso Novales and published by Springer Science & Business Media. This book was released on 2008-10-20 with total page 543 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a book on deterministic and stochastic Growth Theory and the computational methods needed to produce numerical solutions. Exogenous and endogenous growth models are thoroughly reviewed. Special attention is paid to the use of these models for fiscal and monetary policy analysis. Modern Business Cycle Theory, the New Keynesian Macroeconomics, the class of Dynamic Stochastic General Equilibrium models, can be all considered as special cases of models of economic growth, and they can be analyzed by the theoretical and numerical procedures provided in the textbook. Analytical discussions are presented in full detail. The book is self contained and it is designed so that the student advances in the theoretical and the computational issues in parallel. EXCEL and Matlab files are provided on an accompanying website to illustrate theoretical results as well as to simulate the effects of economic policy interventions.
Author :
Publisher :
ISBN 13 :
Total Pages : 199 pages
Book Rating : 4.:/5 (915 download)
Download or read book Essays on Higher Order Approximation Solution Mmethods for DSGE Models written by and published by . This book was released on 2015 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter B. Dixon
Publisher : Newnes
ISBN 13 : 0444536353
Total Pages : 1143 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Computable General Equilibrium Modeling written by Peter B. Dixon and published by Newnes. This book was released on 2013-11-14 with total page 1143 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this collection of 17 articles, top scholars synthesize and analyze scholarship on this widely used tool of policy analysis, setting forth its accomplishments, difficulties, and means of implementation. Though CGE modeling does not play a prominent role in top US graduate schools, it is employed universally in the development of economic policy. This collection is particularly important because it presents a history of modeling applications and examines competing points of view. Presents coherent summaries of CGE theories that inform major model types Covers the construction of CGE databases, model solving, and computer-assisted interpretation of results Shows how CGE modeling has made a contribution to economic policy
Author : Sungbae An
Publisher :
ISBN 13 :
Total Pages : 75 pages
Book Rating : 4.:/5 (129 download)
Download or read book Bayesian Analysis of DSGE Models written by Sungbae An and published by . This book was released on 2019 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons, and comparisons to vector autoregressions, as well as the nonlinear estimation based on a second-order accurate model solution. These methods are applied to data generated from correctly specified and misspecified linearized DSGE models, and a DSGE model that was solved with a second-order perturbation method.
Author : Pablo A. Guerron-Quintana
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (78 download)
Download or read book Bayesian Estimation of DSGE Models written by Pablo A. Guerron-Quintana and published by . This book was released on 2012 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : John B. Taylor
Publisher : Elsevier
ISBN 13 : 0444594787
Total Pages : 1376 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 2016-12-01 with total page 1376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
Author : Ricardo Masini
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Framework for Solving Non-Linear DSGE Models written by Ricardo Masini and published by . This book was released on 2019 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a framework to solve non-linear DSGE models combining approximation and estimation techniques. Instead of relying on a fixed grid, we use Monte Carlo methods to draw samples from the state space, which are used to estimate an approximation for the value or policy functions of interest. By using estimators from high-dimensional statistics we can attenuate the curse of dimensionality while maintaining flexibility, theoretical guarantees for convergence and upper bound for the errors. In particular, we propose two different methods: a regularized projection and a support vector machine algorithm. To illustrate these solution procedures, we apply the first algorithm to solve a standard growth model, which has a known linear solution, and show that it achieves good accuracy, correctly shrinking the coefficients of a polynomial basis. Moreover, we use the support vector machine algorithm to solve a New Keynesian model with a Zero Lower Bound (ZLB) and compare our results with the ones from the Smolyak Method, which is widely used in the literature. We show that the latter overestimate the impact of the ZLB in the economy, achieving a lower accuracy than the one from our solution.
Author : Humberto Barreto
Publisher : Cambridge University Press
ISBN 13 : 1107584981
Total Pages : 199 pages
Book Rating : 4.1/5 (75 download)
Download or read book Teaching Macroeconomics with Microsoft Excel® written by Humberto Barreto and published by Cambridge University Press. This book was released on 2016-05-23 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt: Humberto Barreto shows professors how to teach macroeconomic models and incorporate data using Microsoft Excel® with free files and videos.
