Marko Mlikota, Frank Schorfheide
arXiv 14 Feb 2022 · Econometrics · publishedStudies in Nonlinear Dynamics and Econometrics (2023) · 2 citations (OpenAlex)
arXiv:2202.07070 · PDF · DOI · OpenAlex · Extracted main text
Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and mutating posterior draws from an approximating model that allows for fast likelihood evaluations, into posterior draws from the model of interest, using a sequential Monte Carlo (SMC) algorithm. We apply the technique to the estimation of a vector autoregression with stochastic volatility and a nonlinear dynamic stochastic general equilibrium model. The runtime reductions we obtain range from 27% to 88%.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Herbst and Schorfheide (2015) Bayesian Estimation of DSGE Models | 0.843 | 3 | 3 | 100% |
| 2 | Herbst and Schorfheide (2014) Sequential Monte Carlo Sampling for DSGE Models | 0.811 | 4 | 2 | 100% |
| 3 | Durham and Geweke (2014) Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments | 0.644 | 2 | 2 | 100% |
| 4 | Acharya, Chen, Del Negro, Dogra, Matlin, and Sarfati (2021) Estimating HANK: Macro Time Series and Micro Moments | 0.405 | 1 | 1 | 100% |
| 5 | Aruoba, Mlikota, Schorfheide, and Villalvazo (2022) SVARs with Occasionally-Binding Constraints | 0.405 | 1 | 1 | 100% |
| 6 | Cai, Del Negro, Herbst, Matlin, Sarfati, and Schorfheide (2021) Online Estimation of DSGE Models | 0.405 | 1 | 1 | 100% |
| 7 | Chopin (2002) A Sequential Particle Filter for Static Models | 0.405 | 1 | 1 | 100% |
| 8 | Chopin, Jacob, and Papaspiliopoulos (2013) $SMC^2$: an efficient algorithm for sequential analysis of state space models | 0.405 | 1 | 1 | 100% |
| 9 | Creal (2007) Sequential Monte Carlo Samplers for Bayesian DSGE Models | 0.405 | 1 | 1 | 100% |
| 10 | Del Negro and Schorfheide (2012) DSGE Model Based Forecasting | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 15 scored citations.