Bayesian estimation of DSGE models with Hamiltonian Monte Carlo
- In this paper we adapt the Hamiltonian Monte Carlo (HMC) estimator to DSGE models, a method presently used in various fields due to its superior sampling and diagnostic properties. We implement it into a state-of-theart, freely available high-performance software package, STAN. We estimate a small scale textbook New-Keynesian model and the Smets-Wouters model using US data. Our results and sampling diagnostics confirm the parameter estimates available in existing literature. In addition, we find bimodality in the Smets-Wouters model even if we estimate the model using the original tight priors. Finally, we combine the HMC framework with the Sequential Monte Carlo (SMC) algorithm to create a powerful tool which permits the estimation of DSGE models with ill-behaved posterior densities.
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| Author: | Mátyás Farkas, Balint Tatar |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-554818 |
| URL: | https://www.imfs-frankfurt.de/fileadmin/user_upload/IMFS_WP/IMFS_WP_144.pdf |
| Parent Title (English): | Working paper series / Institute for Monetary and Financial Stability ; 144 [Version October 22, 2020] |
| Series (Serial Number): | Working paper series / Institute for Monetary and Financial Stability (144 [v. 22 10.2020]) |
| Publisher: | Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2020 |
| Date of first Publication: | 2020/10/22 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2020/10/26 |
| Tag: | Bayesian Analysis; DSGE Estimation; Hamiltonian Monte Carlo |
| Page Number: | 75 |
| Note: | Eine ältere Version ist zu finden unter http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hebis:30:3-554705 |
| HeBIS-PPN: | 471427624 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) | |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | C Mathematical and Quantitative Methods / C1 Econometric and Statistical Methods: General / C11 Bayesian Analysis |
| C Mathematical and Quantitative Methods / C1 Econometric and Statistical Methods: General / C15 Simulation Methods | |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
