NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Sequential Monte Carlo Sampling for DSGE Models

Edward P. Herbst, Frank Schorfheide

NBER Working Paper No. 19152
Issued in June 2013

---- Acknowledgments ----

Many thanks to Stephanie Schmitt-Grohe and Martin Uribe for graciously sharing their code. We are also thankful for helpful comments and suggestions from Fabio Canova, Garland Durham, Jesus Fernandez- Villaverde, and seminar participants at the Board of Governors, the 2012 Conference on Computational and Financial Econometrics, ECARES/ULB, and University of Pennsylvania. Schorfheide gratefully acknowledges financial support from the National Science Foundation under Grant SES 1061725. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Federal Reserve Board of Governors, the Federal Reserve System, or the National Bureau of Economic Research.

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