Estimating Non-Linear Macroeconomic Models at the New York Fed | M Cai | JuliaCon 2018

Sophisticated tools are required to accurately estimate modern economic models, in the face of unprecedented macroeconomic conditions. The tempered particle filter is a novel method for filtering nonlinear state space models, surpassing conventional tools in accuracy and flexibility. This talk will also mention other applications of sequential Monte Carlo methods as well as current work being done on solving and estimating heterogeneous agent models by the NY Fed DSGE team.

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