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Differentiable, filter free bayesian estimation of DSGE models using mixture density networks / by Christopher Naubert.: FB3-5/2025-3E-PDF

"I develop a methodology for Bayesian estimation of globally solved, non-linear macroeconomic models. A novel feature of my method is the use of a mixture density network to approximate the distribution of initial states. I use the methodology to estimate a medium-scale, two-agent New Keynesian model with irreversible investment and a zero lower bound on nominal interest rates"--Abstract, page i.

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.950568&sl=0

Publication information
Department/Agency
  • Bank of Canada, issuing body.
TitleDifferentiable, filter free bayesian estimation of DSGE models using mixture density networks / by Christopher Naubert.
Series title
  • Staff working paper = Document de travail du personnel, 1701-9397 ; 2025-3
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Note(s)
  • ISSN assigned to different series.
  • "Last updated: January 16, 2025."
  • Includes bibliographical references (pages 27-29).
  • Includes abstract in French.
Publishing information
  • [Ottawa] : Bank of Canada = Banque du Canada, 2025.
  • ©2025
Author / Contributor
  • Naubert, Christopher, author.
Description1 online resource (i, 44 pages) : graphs.
Catalogue number
  • FB3-5/2025-3E-PDF
Subject terms
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