Bayesian estimation of DSGE models /

000SB:339.5
H538

137438

Herbst, Edward P., Bayesian estimation of DSGE models / Edward P. Herbst and Frank Schorfheide. - Princeton : Princeton University Press, ©2016.
xix, 275 pages : illustrations ; 23 cm. - (The Econometric and Tinbergen Institutes lectures ) Content notes : I Introduction to DSGE modeling and Bayesian inference.
1. DSGE modeling --
2. Turning a DSGE model into a Bayesian model --
3. A crash course in Bayesian inference --
II Estimation of linearized DSGE models.
4. Metropolis-Hastings algorithms for DSGE models --
5. Sequential Monte Carlo methods --
6. Three applications --
III Estimation of nonlinear DSGE models.
7. From linear to nonlinear DSGE models --
8. Particle filters --
9. Combining particle filters with MH samplers --
10. Combining particle filters with SMC samplers --
Appendix.
A. Model descriptions --
B. Data sources. 9780691161082 * Equilibrium (Economics) - Mathematical models. Bayesian statistical decision theory. Stochastic analysis. Econometrics. * Schorfheide, Frank, * Title * Series