EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/25260
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorWinschel, Viktoren_US
dc.contributor.authorKrätzig, Markusen_US
dc.date.accessioned2008-02-21en_US
dc.date.accessioned2009-07-23T15:03:39Z-
dc.date.available2009-07-23T15:03:39Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25260-
dc.description.abstractWe present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the model solution. The operator also eliminates the curse from Gaussian quadrature and we use it for the integrals arising from rational expectations and in three new nonlinear state space filters. The filters substantially decrease the computational burden compared to the sequential importance resampling particle filter. The posterior of the structural parameters is estimated by a new Metropolis-Hastings algorithm with mixing parallel sequences. The parallel extension improves the global maximization property of the algorithm, simplifies the choice of the innovation variances, allows for unbiased convergence diagnostics and for a simple implementation of the estimation on parallel computers. Finally, we provide all algorithms in the open source software JBendge for the solution and estimation of a general class of models.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,018en_US
dc.subject.jelC11en_US
dc.subject.jelC13en_US
dc.subject.jelC15en_US
dc.subject.jelC32en_US
dc.subject.jelC52en_US
dc.subject.jelC63en_US
dc.subject.jelC68en_US
dc.subject.jelC87en_US
dc.subject.ddc330en_US
dc.subject.keywordDynamic Stochastic General Equilibrium (DSGE) Modelsen_US
dc.subject.keywordBaye- sian Time Series Econometricsen_US
dc.subject.keywordCurse of Dimensionalityen_US
dc.subject.stwAllgemeines Gleichgewichten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwNichtlineare dynamische Systemeen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwBayes-Statistiken_US
dc.subject.stwTheorieen_US
dc.titleSolving, estimating and selecting nonlinear dynamic models without the curse of dimensionalityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn55875371Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
55875371X.PDF484.32 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.