DSGE MODELS WITH STUDENT-t ERRORS

被引：33

作者：

Chib, Siddhartha ^{[1
]}

Ramamurthy, Srikanth ^{[2
]}

机构：

[1] Washington Univ, Olin Business Sch, St Louis, MO 63130 USA

[2] Loyola Univ Maryland, Sellinger Sch Business, Baltimore, MD USA

来源：

ECONOMETRIC REVIEWS | 2014年 / 33卷 / 1-4期

关键词：

Bayesian inference; Marginal likelihood; MCMC; Metropolis-Hastings; Particle-filtering; State-space model; Multivariate-student-t distribution; C01; C11; C15; C22; C32; E27; E37; E47; BAYESIAN-ANALYSIS; MARGINAL LIKELIHOOD; VOLATILITY; INFERENCE; SHOCKS;

D O I：

10.1080/07474938.2013.807152

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-t distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the t-distribution, the TaRB-MH algorithm of Chib and Ramamurthy (2010) is used to estimate the model. A technique for estimating the marginal likelihood of the DSGE student-t model is also provided. The methodologies are illustrated first with simulated data and then with the DSGE model of Ireland (2004) where the results support the t-error model in relation to the Gaussian model.

引用

页码：152 / 171

页数：20

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