/RWMH

Econ 722, Spring 2020, UPenn

Primary LanguageMATLABGNU General Public License v3.0GPL-3.0

Econ 722 - Spring 2020 - Prof. Schorfheide

DSGE Model Estimation using RWMH algorithm

PS3 - problem 1

Bayesian estimation of the small-scale DSGE model in Chapters 4.1. and 4.2 of Herbst and Schorfheide (2015).

Two experiments:

  • Robustness of the empirical results: change the sample.
  • Performance of the algorithm: change the proposal distribution.