Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153188
Authors: 
Amisano, Gianni
Tristani, Oreste
Year of Publication: 
2007
Series/Report no.: 
ECB Working Paper 754
Abstract: 
We estimate the approximate nonlinear 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 nonlinear model can account for richer economic dynamics: the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample.
Subjects: 
Bayesian estimation
DSGE Models
Inflation persistence
second order approximations
sequential Monte Carlo
JEL: 
C11
C15
E31
E32
E52
Document Type: 
Working Paper

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