Edward Herbst

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

11

DOWNLOADS

520

CITATIONS
Rank 6,350

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Top 6,350

in Total Papers Citations

127

Scholarly Papers (11)

Estimating (Markov-Switching) VAR Models Without Gibbs Sampling: A Sequential Monte Carlo Approach

FRB of Cleveland Working Paper No. 14-27
Number of pages: 50 Posted: 22 Nov 2014 Last Revised: 10 Jan 2015
Mark Bognanni and Edward Herbst
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Board of Governors of the Federal Reserve System
Downloads 91 (282,327)
Citation 1

Abstract:

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Vector Autoregressions, Sequential Monte Carlo, Regime-Switching Models, Bayesian Analysis

Estimating (Markov-Switching) VAR Models Without Gibbs Sampling: A Sequential Monte Carlo Approach

FEDS Working Paper No. 2015-116
Number of pages: 56 Posted: 22 Dec 2015
Mark Bognanni and Edward Herbst
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Board of Governors of the Federal Reserve System
Downloads 54 (379,063)

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Bayesian Analysis, Regime-Switching Models, Sequential Monte Carlo, Vector Autoregressions

2.
Downloads 5 (256,619)
Citation 14

Evaluating DSGE Model Forecasts of Comovements

FEDS Working Paper No. 2012-11
Number of pages: 43 Posted: 02 Jun 2017
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 5 (638,618)

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The Empirical Implications of the Interest-Rate Lower Bound

FEDS Working Paper No. 2012-83
Number of pages: 76 Posted: 08 Jan 2013
Federal Reserve Board - Trade and Financial Studies, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Hutchin Hill Capital
Downloads 94 (276,487)
Citation 18

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Zero lower bound, DSGE model, Bayesian estimation

4.

Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy Svars

FEDS Working Paper No. 2016-049
Number of pages: 52 Posted: 20 Jun 2016
Dario Caldara and Edward Herbst
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 72 (322,345)
Citation 4

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Bayesian Inference, Monetary policy, Vector Autoregressions

5.
Downloads 66 (337,994)
Citation 1

Tempered Particle Filtering

PIER Working Paper No. 16-017
Number of pages: 67 Posted: 27 Oct 2016
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 30 (477,039)

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Bayesian Analysis, DSGE Models, Nonlinear Filtering, Monte Carlo Methods

Tempered Particle Filtering

FEDS Working Paper No. 2016-072
Number of pages: 67 Posted: 08 Sep 2016
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 27 (493,406)

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Bayesian Analysis, DSGE Models, Monte Carlo Methods, Nonlinear Filtering

Tempered Particle Filtering

NBER Working Paper No. w23448
Number of pages: 73 Posted: 30 May 2017
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 9 (610,213)

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6.
Downloads 66 (337,994)
Citation 22

Sequential Monte Carlo Sampling for DSGE Models

FRB of Philadelphia Working Paper No. 12-27
Number of pages: 64 Posted: 30 Nov 2012
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 36 (448,302)

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Bayesian Analysis, DSGE Models, Monte Carlo Methods, Parallel Computing

Sequential Monte Carlo Sampling for DSGE Models

FEDS Working Paper No. 2013-43
Number of pages: 42 Posted: 11 Oct 2013
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 20 (536,872)
Citation 2

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Bayesian Analysis, DSGE Models, Monte Carlo Methods, Parallel Computing

Sequential Monte Carlo Sampling for DSGE Models

NBER Working Paper No. w19152
Number of pages: 42 Posted: 21 Jun 2013
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 10 (603,272)
Citation 3

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7.

Forward Guidance with Bayesian Learning and Estimation

FEDS Working Paper No. 2018-072
Number of pages: 43 Posted: 27 Nov 2018 Last Revised: 21 Feb 2019
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 26 (485,046)

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Bayesian estimation, Bayesian learning, forward guidance

8.

Using the 'Chandrasekhar Recursions' for Likelihood Evaluation of DSGE Models

FEDS Working Paper 2012-35
Number of pages: 15 Posted: 28 Jun 2012
Edward Herbst
Board of Governors of the Federal Reserve System
Downloads 22 (507,374)
Citation 2

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Kalman filter, likelihood estimation, computational techniques

9.
Downloads 15 (548,132)
Citation 2

Online Estimation of DSGE Models

PIER Working Paper No. 19-014, July 2019
Number of pages: 70 Posted: 25 Jul 2019
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 12 (589,542)

Abstract:

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adaptive algorithms, Bayesian inference, density forecasts, online estimation, sequential Monte Carlo methods

Online Estimation of DSGE Models

FRB of New York Staff Report No. 893, August 2019
Number of pages: 70 Posted: 06 Aug 2019
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 3 (655,126)

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adaptive algorithms, Bayesian inference, density forecasts, online estimation, sequential Monte Carlo methods

10.

Effective Monetary Policy Strategies in New Keynesian Models: A Re-Examination

NBER Working Paper No. w20611
Number of pages: 50 Posted: 27 Oct 2014
Hess T. Chung, Edward Herbst and Michael T. Kiley
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 5 (611,132)
Citation 1

Abstract:

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11.

Using the "Chandrasekhar Recursions" for Likelihood Evaluation of DSGE Models

FEDS Working Paper No. 2012-35
Number of pages: 15 Posted: 30 May 2017
Edward Herbst
Board of Governors of the Federal Reserve System
Downloads 4 (618,022)
Citation 1

Abstract:

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