Econ 722 - Spring 2020 - Prof. Schorfheide
Particle Filters
PS4 - problem 3
Bootstrap particle filter and conditionally-optimal particle filter for small-scale DSGE model in Herbst and Schorfheide (2015).
Two experiments:
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Robustness of empirical results: change the sample to 1999:IV - 2019:III
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Performance of the algorithm: run the filter multiple times and compute summary statistics for the accuracy of the likelihood approximation.