| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5513 |
| DP5513 Estimating Macroeconomic Models: A Likelihood Approach | |
| Juan Francisco Rubio-Ramírez; Jesus Fernandez-Villaverde | |
| 发表日期 | 2006-03-22 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those characterizing preferences and technology, and to compare different economies. Both tasks can be implemented from either a classical or a Bayesian perspective. We illustrate the technique by estimating a business cycle model with investment-specific technological change, preference shocks, and stochastic volatility. |
| 主题 | International Macroeconomics |
| 关键词 | Dynamic macroeconomic models Particle filtering Nonlinear and/or non-normal models Business cycle stochastic volatility |
| URL | https://cepr.org/publications/dp5513 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534410 |
| 推荐引用方式 GB/T 7714 | Juan Francisco Rubio-Ramírez,Jesus Fernandez-Villaverde. DP5513 Estimating Macroeconomic Models: A Likelihood Approach. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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