文章基本信息

标题：Euro area inflation persistence in an estimated nonlinear DSGE model
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作者：Gianni Amisano ; Oreste Tristani
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2007
卷号：1
出版社：European Central Bank
摘要：We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle lter to compute the model likelihood. Our results are consistent with previous ndings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model. We also show that the nonlinear model can account for richer economic dynam- ics: the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample.
关键词：DSGE models; ination persistence; second order approximations;sequential Monte Carlo; Bayesian estimation.