Econ 722 - Spring 2020 - Prof. Schorfheide
Sequential Monte Carlo Methods
PS4 - problem 2
SMC estimation for the stylized state-space model in Herbst and Schorfheide (2015) can be found in the folder ''Identification Problems". It contains two experiments:
- Global identification problem: it highlights the bimodality of the posterior distribution.
- Local identification problem: it highlights the weak identification.
Furthermore, the SMC is also used for Bayesian inference of the parameters of the small-scale New Keynesian model presented in section 1.1 of Herbst and Schorfheide (2015).