Euro area inflation persistence in an estimated nonlinear dsge model

Gianni Amisano and Oreste Tristani

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Abstract: We estimate the approximate non-linear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model. We also show that the non-linear model can account for richer economic dynamics: the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample

Keywords: DSGEmodels; Inflation persistence; Second order approximations; Sequential Monte Carlo; Bayesian estimation; C11; C15; E31; E32; E52 (search for similar items in EconPapers)
Date: 2010-09-17
Note: View the original document on HAL open archive server: https://hal.science/hal-00732762
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Citations: View citations in EconPapers (29)

Published in Journal of Economic Dynamics and Control, 2010, 34 (10), pp.1837. ⟨10.1016/j.jedc.2010.05.001⟩

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Related works:
Journal Article: Euro area inflation persistence in an estimated nonlinear DSGE model (2010)
Working Paper: Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model (2007)
Working Paper: Euro area inflation persistence in an estimated nonlinear DSGE model (2007)
Working Paper: Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00732762

DOI: 10.1016/j.jedc.2010.05.001

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