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@inproceedings{898755,
author = {Liščinský, Zdeněk and Vašíček, Osvald},
address = {České Budějovice},
booktitle = {Mathematical Methods in Economics 2010},
keywords = {DSGE models; nonlinear approximation; particle filter},
language = {eng},
location = {České Budějovice},
isbn = {978-80-7394-218-2},
publisher = {University of South Bohemia, Faculty of Economics},
title = {Estimating Nonlinear Approximation of DSGE Models: the Case of Czech Economy},
year = {2010}
}
TY - JOUR
ID - 898755
AU - Liščinský, Zdeněk - Vašíček, Osvald
PY - 2010
TI - Estimating Nonlinear Approximation of DSGE Models: the Case of Czech Economy
PB - University of South Bohemia, Faculty of Economics
CY - České Budějovice
SN - 9788073942182
KW - DSGE models
KW - nonlinear approximation
KW - particle filter
N2 - The aim of this paper is to estimate nonlinear approximation of a New Keynesian DSGE model of Czech economy and to compare the results with the results obtained from standard estimation procedure which uses (log)linear approximation of the model. Several authors, e.g. An and Schorfheide (2006), Fernandez-Villaverde and Rubio-Ramirez (2005), have used baseline models and/or simulated data to show that the nonlinear approach provides more accurate estimates and better data fit. In our application we use slightly modified Liu's (2005) open economy model. We solve the model for second-order approximation and estimate it by Bayesian techniques, particularly evaluate its likelihood function with particle filter. For computations we employed standard Matlab functions and also developed our own procedures.
ER -
LIŠČINSKÝ, Zdeněk a Osvald VAŠÍČEK. Estimating Nonlinear Approximation of DSGE Models: the Case of Czech Economy. In \textit{Mathematical Methods in Economics 2010}. České Budějovice: University of South Bohemia, Faculty of Economics, 2010, 7 s. ISBN~978-80-7394-218-2.
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