NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Michael D. Cai

Northwestern University
Department of Economics
2211 Campus Dr.
Evanston, IL 60208

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Federal Reserve Bank of New York

NBER Working Papers and Publications

March 2020Online Estimation of DSGE Models
with Marco Del Negro, Edward P. Herbst, Ethan Matlin, Reca Sarfati, Frank Schorfheide: w26826
This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits of generalized data tempering for “online” estimation (that is, re-estimating a model as new data become available), and provide examples of multimodal posteriors that are well captured by SMC methods. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts and study the sensitivity of the predictive performance to changes in the prior distribution. We find that making priors less informative (compared to the benchmark priors used in the literature) by increasing the prior variance does not lead to a deterioratio...
 
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