Online Estimation of DSGE Models
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https://www.nber.org/papers/w26826
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This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits of generalized data tempering for online estimation (that is, re
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美国国家经济研究局创建时间：
2020-03-01
