Bayesian Estimation of DSGE Models by Edward P Herbst

Bayesian Estimation of DSGE Models by Edward P Herbst

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.

"Well written and well organized, and the topic analyzed is very interesting and current"--Manuel Salvador, MathSciNet

Edward P. Herbst is an economist in the Division of Research and Statistics at the Federal Reserve Board. Frank Schorfheide is Professor of Economics at the University of Pennsylvania and research associate at the National Bureau of Economic Research. He also is a fellow of the Penn Institute for Economic Research, a visiting scholar at the Federal Reserve Banks of Philadelphia and New York, and a coeditor of Quantitative Economics. For more, see edherbst.net and sites.sas.upenn.edu/schorf.

SKU	Nicht verfügbar
ISBN 13	9780691161082
ISBN 10	0691161089
Titel	Bayesian Estimation of DSGE Models
Autor	Edward P Herbst
Serie	The Econometric And Tinbergen Institutes Lectures
Buchzustand	Nicht verfügbar
Bindungsart	Hardback
Verlag	Princeton University Press
Erscheinungsjahr	2015-12-29
Seitenanzahl	296
Hinweis auf dem Einband	Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.
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