Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:adaptive algorithms 

Working Paper
Online Estimation of DSGE Models

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits o fgeneralized data tempering for “online” estimation (that is, re-estimating a model asnew data become available), and provide examples of multimodal posteriors that are well captured by SMC methods. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts and study the sensitivity ofthe predictive performance to ...
Finance and Economics Discussion Series , Paper 2020-023

Report
Online Estimation of DSGE Models

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for ?online? estimation, and provide examples of multimodal posteriors that are well captured by SMC methods. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts of DSGE models with and without financial frictions and document the benefits of conditioning DSGE model forecasts on nowcasts ...
Staff Reports , Paper 893

FILTER BY year

FILTER BY Content Type

Report 1 items

Working Paper 1 items

FILTER BY Author

Cai, Michael 2 items

Del Negro, Marco 2 items

Herbst, Edward 2 items

Matlin, Ethan 2 items

Sarfati, Reca 2 items

Schorfheide, Frank 2 items

show more (1)

FILTER BY Jel Classification

C11 2 items

C32 2 items

C53 2 items

E32 2 items

E37 2 items

E52 2 items

show more (1)

FILTER BY Keywords

PREVIOUS / NEXT