High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗

53 Pages Posted: 23 Sep 2020

See all articles by Siddhartha Chib

Siddhartha Chib

Washington University in St. Louis - John M. Olin Business School

Minchul Shin

Federal Reserve Banks - Federal Reserve Bank of Philadelphia

Tan Fei

Zhejiang University - College of Economics; Indiana University

Date Written: September, 2020

Abstract

No abstract available.

Keywords: Bayesian inference, MCMC, Metropolis-Hastings, Marginal likelihood, Tailored

JEL Classification: C11, C15, C32, E37, E63

Suggested Citation

Chib, Siddhartha and Shin, Minchul and Fei, Tan, High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗ (September, 2020). FRB of Philadelphia Working Paper No. 20-35, Available at SSRN: https://ssrn.com/abstract=3696731 or http://dx.doi.org/10.21799/frbp.wp.2020.35

Siddhartha Chib (Contact Author)

Washington University in St. Louis - John M. Olin Business School ( email )

One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-4657 (Phone)
314-935-6359 (Fax)

Minchul Shin

Federal Reserve Banks - Federal Reserve Bank of Philadelphia ( email )

Ten Independence Mall
Philadelphia, PA 19106-1574
United States

Tan Fei

Zhejiang University - College of Economics ( email )

Yuquan Campus 38 Zheda Road
Hangzhou, Zhejiang 310027
China

Indiana University ( email )

107 S Indiana Ave
100 South Woodlawn
Bloomington, IN 47405
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
9
Abstract Views
173
PlumX Metrics