PL EN


2012 | 878 | 143-162
Article title

Empiryczne modele równowagi ogólnej: zagadnienia numeryczne estymacji bayesowskiej

Title variants
EN
EMPIRICAL GENERAL EQUILIBRIUM MODELS: NUMERICAL ISSUES OF THE BAYESIAN ESTIMATION
Languages of publication
PL
Abstracts
EN
The paper presents numerical issues related to the estimation of dynamic general equilibrium models with Bayesian techniques. As an illustrative example, a simple New-Keynesian model with nominal rigidities in price and wage settings is taken from the literature. Estimating structural parameters requires the application of numerical methods – optimization algorithms for maximum likelihood and Monte Carlo techniques for the Bayesian estimation of the Markov Chain. A broad literature that treats the estimation of dynamic macroeconomic models rarely presents any aspects of the numerical side of applications and its potential impact on results and inference. The paper concentrates on the issue of convergence criteria of the Markov Chain Monte Carlo techniques and the methods of monitoring parameter stability.
Contributors
  • Uniwersytet Ekonomiczny w Krakowie, Katedra Ekonometrii i Badan Operacyjnych, ul. Rakowicka 27, 31-510 Kraków, Poland, eewrobel@cyf-kr.edu.pl
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-26a29da4-bc2b-4287-ba36-e4b34e1e930c
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.