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Christian-Albrechts-Universität zu Kiel

Institut fr Volkswirtschaftslehre - Department of Economics
Economics Working Papers

Economics Working Papers: Abstract 2009-02


Nummer

2009-02

Autoren

David N. DeJong, Hariharan Dharmarajan, Roman Liesenfeld, Guilherme V. Moura, Jean-Franois Richard

 

Titel

 

Efficient Likelihood Evaluation of State-Space Representations - (A revised version of EWP 2007-25)
Abstract We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure approximates necessary integrals using continuous approximations of target densities. Construction is achieved via efficient importance sampling, and approximating densities are adapted to fully incorporate current information. We illustrate our procedure in applications to dynamic stochastic general equilibrium models.

Keywords: particle filter, adaption, efficient importance sampling, kernel density approximation, dynamic stochastic general equilibrium model

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