Bayesian Estimation of DSGE Models

    By

    Dynamic stochastic general equilibrium DSGE models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This 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.

    View more

    Number of Pages: 296
    Format(s): Hardback - ISBN: 9780691161082
    Publication Date:
    Listed in: Macroeconomics, Econometrics
    Publisher: Princeton University Press

    Books by Edward P. Herbst

    Hardback

    RRP: £40.00

    Sale Price: £26.46

    Save: £13.54 per copy!

    Side-Banner-Right-188px-fd.jpg
    Books TV & Movies

    You might also like...

    Latest from the blog

    Fantastic new recipe book from Sabrina Ghayour 'Sirocco'

    Sabrina Ghayour's long awaited second recipe book Sirocco is out this month and is a great follow up to Persianna. Read article

    Ten Great Bedtime Reads from The Great British Bookshop and Aspace

    We have teamed up with Aspace (www.aspace.co.uk) who create beautiful room for Children to bring you 10 great bedtime reads for your little ones. Read article

    Latest from Twitter

    • @TheGBBookshop - 3 years ago

      Lottery funding for dementia reading project £2m pledged for Reading Agency scheme to pair readers with dementia sufferers

      @TheGBBookshop - 3 years ago

      Harry Potter and the Cursed Child has held on to the number one spot for a sixth week #HarryPotter #CursedChild @littlebrown @pottermore

    • @TheGBBookshop - 3 years ago

      @thebookseller @MartinaCole @Jeffrey_Archer @Foyles

      @TheGBBookshop - 3 years ago

      Frith wins inaugural Klaus Flugge Prize for illustration t.co/U9P08h4XMG

    • @TheGBBookshop - 3 years ago

      RT @Gue_de_Bost: #Dordogneholidaycottage available Sept tweet to book for more info

      @TheGBBookshop - 3 years ago

      The editor is just back from france @HomeAwayUK! t.co/IWutTER1x7