Bayesian Estimation of DSGE Models.pdf

发布时间：2022-06-08 发布人：admin 分类：说明书资料大小：7.18M 资料格式：pdf 举报版权申诉

第1页 / 共296页

weixin_39215131-10322736-Bayesian Estimation of DSGE Models.pdf-第2页.png

第2页 / 共296页

weixin_39215131-10322736-Bayesian Estimation of DSGE Models.pdf-第3页.png

第3页 / 共296页

weixin_39215131-10322736-Bayesian Estimation of DSGE Models.pdf-第4页.png

第4页 / 共296页

weixin_39215131-10322736-Bayesian Estimation of DSGE Models.pdf-第5页.png

第5页 / 共296页

weixin_39215131-10322736-Bayesian Estimation of DSGE Models.pdf-第6页.png

第6页 / 共296页

weixin_39215131-10322736-Bayesian Estimation of DSGE Models.pdf-第7页.png

第7页 / 共296页

weixin_39215131-10322736-Bayesian Estimation of DSGE Models.pdf-第8页.png

第8页 / 共296页

文本预览

17 16:02:03 UTC

Bayesian Estimation of DSGE Models

THE ECONOMETRIC AND TINBERGEN INSTITUTES LECTURES Herman K. van Dĳk and Philip Hans Franses Series Editors The Econometric Institute, Erasmus University Rotterdam The Econometric and Tinbergen Institutes Lecture Series is a joint project of Princeton University Press and the Econo- metric and Tinbergen Institutes at Erasmus University Rot- terdam. This series collects the lectures of leading researchers which they have given at the Econometric Institute for an audience of academics and students. The lectures are at a high aca- demic level and deal with topics that have important pol- icy implications. The series covers a wide range of topics in econometrics. It is not conﬁned to any one area or sub- discipline. The Econometric Institute is the leading research center in econometrics and management science in the Netherlands. The Institute was founded in 1956 by Jan Tinbergen and Henri Theil, with Theil being its ﬁrst director. The Institute has received worldwide recognition with an advanced training program for various degrees in econometrics. Other books in this series include Anticipating Correlations: A New Paradigm for Risk Manage- ment by Robert Engle Complete and Incomplete Econometric Models by John Geweke Social Choice with Partial Knowledge of Treatment Response by Charles F. Manski Yield Curve Modeling and Forecasting: The Dynamic Nelson- Siegel Approach by Francis X. Diebold and Glenn D. Rude- busch Bayesian Non- and Semi-parametric Methods and Applications by Peter E. Rossi 17 16:02:03 UTC

Bayesian Estimation of DSGE Models Edward P. Herbst and Frank Schorfheide Princeton University Press Princeton and Oxford 17 16:02:03 UTC

Copyright © 2016 by Edward P. Herbst and Frank Schorf- heide. Requests for permission to reproduce material from this work should be sent to Permissions, Princeton Univer- sity Press Published by Princeton University Press, 41 William Street, Princeton, New Jersey 08540 In the United Kingdom: Princeton University Press, 6 Oxford Street, Woodstock, Oxfordshire OX20 1TW press.princeton.edu All Rights Reserved Library of Congress Cataloging-in-Publication Data Herbst, Edward P., 1984- Bayesian estimation of DSGE models / Edward P. Herbst, Frank Schorfheide. pages cm. – (The Econometric and Tinbergen Institutes lectures) Includes bibliographical references and index. ISBN 978-0-691-16108-2 (hardcover : alk. paper) 1. Equilibrium (Economics)–Mathematical models. 2. Bayes- ian statistical decision theory. 3. Stochastic analysis. 4. Econometrics. I. Schorfheide, Frank. II. Title. 2015023799 HB145.H467 2015 339.501’519542–dc23 British Library Cataloging-in-Publication Data is available This book has been composed in LaTeX The publisher would like to acknowledge the authors of this volume for providing the camera-ready copy from which this book was printed. Printed on acid-free paper. ∞ Printed in the United States of America 1 3 5 7 9 10 8 6 4 2 17 16:02:03 UTC

Hat der alte Hexenmeister Sich doch einmal wegbegeben! Und nun sollen seine Geister Auch nach meinem Willen leben. Seine Wort’ und Werke Merkt’ ich und den Brauch, Und mit Geistesst¨arke Tu’ ich Wunder auch. (. . . bad things happen in between, but eventually the master returns. . . ) ‘‘In die Ecke, Besen! Besen! Seid’s gewesen! Denn als Geister Ruft euch nur zu seinem Zwecke Erst hervor der alte Meister.’’ JW von Goethe, Der Zauberlehrling 17 16:02:03 UTC

17 16:02:03 UTC

Contents Figures Tables Series Editors’ Introduction Preface xi xiii xv xvii Introduction to DSGE Modeling and Bayes- I ian Inference 1 DSGE Modeling 1.1 A Small-Scale New Keynesian DSGE Model 1.2 Other DSGE Models Considered in This Book 2 Turning a DSGE Model into a Bayesian Model 2.1 Solving a (Linearized) DSGE Model 2.2 The Likelihood Function 2.3 Priors 3 A Crash Course in Bayesian Inference 3.1 The Posterior of a Linear Gaussian Model 3.2 Bayesian Inference and Decision Making 3.3 A Non-Gaussian Posterior 3.4 Importance Sampling 3.5 Metropolis-Hastings Algorithms 1 3 4 11 14 16 19 22 29 31 35 43 46 52 7 16:12:39 UTC

分享到：

赞收藏

资料库

Bayesian Estimation of DSGE Models.pdf

相关推荐

课程资源

热门标签

最新资料