NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Edward P. Herbst

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers and Chapters

June 2014Effective Monetary Policy Strategies in New-Keynesian Models: A Re-Examination
with Hess Chung, Michael Kiley
in NBER Macroeconomics Annual 2014, Volume 29, Jonathan Parker and Michael Woodford, editors
June 2013Sequential Monte Carlo Sampling for DSGE Models
with Frank Schorfheide: w19152
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models, wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using three examples consisting of an artificial state-space model, the Smets and Wouters (2007) model, and Schmitt-Grohé and Uribe’s (2012) news shock model we show that the SMC algorithm is better suited for multimodal and irregular posterior distributions than the widely-used random walk Metropolis- Hastings algorithm. We find that a more diffuse prior for the Smets and Wouters (2007) model improves its marginal data density and that a slight modification of the prior for the news shock model leads to drastic changes in the posterior inference about the im...

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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