Tailored randomized block MCMC methods with application to DSGE models

Journal of Econometrics

Volumn 155, Issue 1, 2010, Pages 19-38

  Chib, Siddhartha ^a   Ramamurthy, Srikanth ^b  

^a WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

^b LOYOLA UNIVERSITY MARYLAND   (United States)

Author keywords

Dynamic stochastic general equilibrium models; Marginal likelihood; Markov chain Monte Carlo; Metropolis Hastings algorithm; Multi modal densities; Randomized blocks; Simulated annealing; Tailored proposal densities

Indexed keywords

GENERAL EQUILIBRIUM MODELS; MARGINAL LIKELIHOOD; MARKOV CHAIN MONTE CARLO; METROPOLIS-HASTINGS ALGORITHM; MULTI-MODAL; RANDOMIZED BLOCKS;

ALGORITHMS; ANNEALING; BAYESIAN NETWORKS; CORRELATION DETECTORS; HOUSING; MARKOV PROCESSES; METAL VAPOR LAMPS; MONTE CARLO METHODS; PROBABILITY DISTRIBUTIONS; SANDWICH STRUCTURES; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

SIMULATED ANNEALING;

EID: 75149191785     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.08.003     Document Type: Article

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