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dc.contributor.authorWinschel, Viktoren
dc.contributor.authorKrätzig, Markusen
dc.date.accessioned2008-02-21-
dc.date.accessioned2009-07-23T15:03:39Z-
dc.date.available2009-07-23T15:03:39Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,018en
dc.subject.jelC11en
dc.subject.jelC13en
dc.subject.jelC15en
dc.subject.jelC32en
dc.subject.jelC52en
dc.subject.jelC63en
dc.subject.jelC68en
dc.subject.jelC87en
dc.subject.ddc330en
dc.subject.keywordDynamic Stochastic General Equilibrium (DSGE) Modelsen
dc.subject.keywordBaye- sian Time Series Econometricsen
dc.subject.keywordCurse of Dimensionalityen
dc.subject.stwAllgemeines Gleichgewichten
dc.subject.stwStochastischer Prozessen
dc.subject.stwNichtlineare dynamische Systemeen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwBayes-Statistiken
dc.subject.stwTheorieen
dc.titleSolving, estimating and selecting nonlinear dynamic models without the curse of dimensionality-
dc.type|aWorking Paperen
dc.identifier.ppn55875371Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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