DSGE Model Estimation on the Basis of Second-Order Approximation

Author:

Ivashchenko Sergey

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Reference15 articles.

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2. An, S., & Schorfheide, F. (2006). Bayesian analysis of DSGE models. Working Papers from Federal Reserve Bank of Philadelphia. No. 06–5.

3. Andreasen, M. M. (2008). Non-linear DSGE models, the central difference Kalman filter, and the mean shifted particle filter, CREATES Research Paper 2008–33. http://ssrn.com/abstract=1148079 . Accessed 30 Aug 2011.

4. Arulampalam, M. S., Maskell, S., Gordon, N., & Clapp, T. (2002). A tutorial on particle filters for online nonlinear/non-Gaussian Bayesian tracking. IEEE Transactions on Signal Processing, 50(2), 174–188.

5. Collard, F., & Juillard, M. (2001). Accuracy of stochastic perturbation methods: The case of asset pricing models. Journal of Economic Dynamics and Control, 25(6–7), 979–999.

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