Estimating Nonlinear Economic Models Using Surrogate Transitions

Matthew Smith ()

No 494, 2012 Meeting Papers from Society for Economic Dynamics

Abstract: We propose a novel combination of algorithms for jointly estimating parameters and unobservable states in a nonlinear state space system. We exploit an approximation to the marginal likelihood to guide a Particle Marginal Metropolis-Hastings algorithm. While this algorithm seemingly targets reduced dimension marginal distributions, it draws from a joint distribution of much higher dimension. The algorithm is demonstrated on a stochastic volatility model and a Real Business Cycle model with robust preferences.

Date: 2012
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed012:494

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