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Rapid estimation of nonlinear DSGE models

Jamie Hall

MPRA Paper from University Library of Munich, Germany

Abstract: This article describes a new approximation method for dynamic stochastic general equilibrium (DSGE) models. The method allows nonlinear models to be estimated efficiently and relatively quickly with the fully-adapted particle filter. The article demonstrates the method by estimating, on US data, a nonlinear New Keynesian model with a zero lower bound on the nominal interest rate.

Keywords: DSGE; nonlinear; particle filter (search for similar items in EconPapers)
JEL-codes: E0 C1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-ecm, nep-mac and nep-ore
Date: 2012-09-11
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https://mpra.ub.uni-muenchen.de/41218/1/MPRA_paper_41218.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/42534/1/MPRA_paper_42534.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41218

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