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Sequential Monte Carlo Macroeconomet...

Osell, Shawn.

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Sequential Monte Carlo Macroeconometrics.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Sequential Monte Carlo Macroeconometrics./
作者:	Osell, Shawn.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
面頁冊數:	58 p.
附註:	Source: Masters Abstracts International, Volume: 56-06.
Contained By:	Masters Abstracts International56-06(E).
標題:	Statistics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10287719
ISBN:	9780355298758

Sequential Monte Carlo Macroeconometrics.
Osell, Shawn.

Sequential Monte Carlo Macroeconometrics. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 58 p.

Source: Masters Abstracts International, Volume: 56-06.

Thesis (M.S.)--Northern Illinois University, 2017.

Dynamic Stochastic General Equilibrium models (DSGE) are the workhorse of macroeconomic theory. In this monograph, we estimate the parameters of a DSGE model that reflect specific assumptions that macroeonomists make about certain behaviors through a hypothetical economy. After building a DSGE model, we then apply Bayesian statistical methods to estimate the parameters of the model. The Kalman Filter and Markov Chain Monte Carlo (MCMC) methods are utilized to approximate a linear, Gaussian estimation of the model's parameters. Then several non-linear applications, known as Sequential Monte Carlo (SMC) methods, are reviewed and applied to the quadratic DSGE model. SMC applications are considered better estimates of parameters, especially when the data is non-linear, or when the data contains significant outliers.

ISBN: 9780355298758Subjects--Topical Terms:

517247
Statistics.

Sequential Monte Carlo Macroeconometrics.
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