000			02407cam a2200289 i 4500
001			137438
003			ISI Library, Kolkata
005			20170308122853.0
008			150622s2016 nju b 001 0 eng
020			_a9780691161082
040			_aISI Library
082	0	4	_a000SB:339.5 _223 _bH538
100	1		_aHerbst, Edward P., _eauthor
245	1	0	_aBayesian estimation of DSGE models / _cEdward P. Herbst and Frank Schorfheide.
260			_aPrinceton : _bPrinceton University Press, _c©2016.
300			_axix, 275 pages : _billustrations ; _c23 cm.
490	0		_aThe Econometric and Tinbergen Institutes lectures
504			_aIncludes bibliographical references and index.
505	0		_aI 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.
520			_aThis 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.
650		0	_aEquilibrium (Economics) _xMathematical models.
650		0	_aBayesian statistical decision theory.
650		0	_aStochastic analysis.
650		0	_aEconometrics.
700	1		_aSchorfheide, Frank, _eauthor
942			_2ddc _cBK
999			_c421411 _d421411