Edward P. Herbst, Frank Schorfheide, Bayesian Estimation of DSGE Models

Edward P. Herbst, Frank Schorfheide, Bayesian Estimation of DSGE Models Stat Papers (2017) 58:955–956 DOI 10.1007/s00362-017-0934-4 BOOK REVIEW Edward P. Herbst, Frank Schorfheide, Bayesian Estimation of DSGE Models Series: The Econometric and Tinbergen Institutes Lectures, eds. Dennis Fok and Philip Hans Franses. Princeton University Press, 2016, xx + 296 pp., $ 49.50, ISBN 978-0691161082 Peter Hackl Received: 29 June 2017 / Revised: 29 June 2017 / Published online: 10 July 2017 © Springer-Verlag GmbH Germany 2017 Dynamic stochastic general equilibrium (DSGE) models have become a standard framework for modelling in modern macroeconomics; they are extensively used for policy analysis at central banks and in academic research. This book surveys stan- dard and advanced computational techniques used in the Bayesian analysis of DSGE models. It has three parts: The first contains an introduction to DSGE modelling, start- ing with a small-scale New Keynesian DSGE model and sketching the well-known Smets-Wouters model, and transforming the log-linearized DSGE model into its state- space representation. Also contained is a “crash course in Bayesian inference”, with sections on computational techniques such as importance sampling and the Metropolis- Hastings (MH) algorithm, both with numerical illustrations. The second part covers Bayesian computations for linearized DSGE models with Gaussian shocks, using the Kalman filter for the evaluation http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Statistical Papers Springer Journals

Edward P. Herbst, Frank Schorfheide, Bayesian Estimation of DSGE Models

Loading next page...
 
/lp/springer_journal/edward-p-herbst-frank-schorfheide-bayesian-estimation-of-dsge-models-L2ttvuSeGC
Publisher
Springer Berlin Heidelberg
Copyright
Copyright © 2017 by Springer-Verlag GmbH Germany
Subject
Statistics; Statistics for Business/Economics/Mathematical Finance/Insurance; Probability Theory and Stochastic Processes; Economic Theory/Quantitative Economics/Mathematical Methods; Operations Research/Decision Theory
ISSN
0932-5026
eISSN
1613-9798
D.O.I.
10.1007/s00362-017-0934-4
Publisher site
See Article on Publisher Site

There are no references for this article.

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches

$49/month

Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.

$588

$360/year

billed annually
Start Free Trial

14-day Free Trial