scholarly journals Truncated sequential Monte Carlo test with exact power

2018 ◽  
Vol 32 (2) ◽  
pp. 215-238 ◽  
Author(s):  
Ivair Silva ◽  
Renato Assunção
Keyword(s):  
Monte Carlo ◽  
Sequential Monte Carlo ◽  
Monte Carlo Test ◽  
Exact Power

scholarly journals Optimal generalized truncated sequential Monte Carlo test

2013 ◽  
Vol 121 ◽  
pp. 33-49 ◽  
Author(s):  
Ivair R. Silva ◽  
Renato M. Assunção
Keyword(s):  
Monte Carlo ◽  
Sequential Monte Carlo ◽  
Monte Carlo Test

Power of the Sequential Monte Carlo Test

2009 ◽  
Vol 28 (2) ◽  
pp. 163-174 ◽  
Author(s):  
I. Silva ◽  
R. Assunção ◽  
M. Costa
Keyword(s):  
Monte Carlo ◽  
Sequential Monte Carlo ◽  
Monte Carlo Test

Bayesian Estimation of DSGE Models

2015 ◽  
Author(s):  
Edward P. Herbst ◽  
Frank Schorfheide
Keyword(s):  
Monte Carlo ◽  
Sequential Monte Carlo ◽  
Likelihood Function ◽  
Academic Research ◽  
Dynamic Stochastic General Equilibrium ◽  
Computational Techniques ◽  
Dsge Models ◽  
Monte Carlo Techniques ◽  
Dynamic Stochastic ◽  
Theoretical Foundations

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. The book is essential reading for graduate students, academic researchers, and practitioners at policy institutions.

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