TY  - UNPD
A1  - Böhl, Gregor
T1  - Ensemble MCMC sampling for robust Bayesian inference
T2  - Working paper series / Institute for Monetary and Financial Stability ; 177
N2  - The author proposes a Differential-Independence Mixture Ensemble (DIME) sampler for the Bayesian estimation of macroeconomic models.It allows sampling from particularly challenging, high-dimensional black-box posterior distributions which may also be computationally expensive to evaluate. DIME is a “Swiss Army knife”, combining the advantages of a broad class of gradient-free global multi-start optimizers with the properties of a Monte Carlo Markov chain (MCMC). This includes fast burn-in and convergence absent any prior numerical optimization or initial guesses, good performance for multimodal distributions, a large number of chains (the “ensemble”) running in parallel, an endogenous proposal density generated from the state of the full ensemble, which respects the bounds of the prior distribution. The author shows that the number of parallel chains scales well with the number of necessary ensemble iterations.

DIME is used to estimate the medium-scale heterogeneous agent New Keynesian (“HANK”) model with liquid and illiquid assets, thereby for the first time allowing to also include the households’ preference parameters. The results mildly point towards a less accentuated role of household heterogeneity for the empirical macroeconomic dynamics.
T3  - Working paper series / Institute for Monetary and Financial Stability - 177 
KW  - Bayesian Estimation
KW  - Monte Carlo Methods
KW  - Heterogeneous Agents
KW  - Global Optimization
KW  - Swiss Army Knife
Y1  - 2022
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/69175
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-691753
UR  - https://www.imfs-frankfurt.de/de/forschung/imfs-working-papers/details/mm_publication/detail/publication/ensemble-mcmc-sampling-for-robust-bayesian-inference.html
N1  - Part of the research leading to the results in this paper has received financial support from the Alfred P. Sloan Foundation under the grant agreement G-2016-7176 for the Macroeconomic Model Comparison Initiative (MMCI) at the Institute for Monetary and Financial Stability. I also gratefully acknowledge financial support by the Deutsche Forschungsgemeinschaft (DFG) under CRC-TR 224 (projects C01 and C05) and under project number 441540692.
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -