stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Added an entry in the manual for the particle filter.

time-shift
Stéphane Adjemian (Charybdis) 2012-06-06 16:42:27 +02:00
parent ef1146f5a3
commit 2b84951f4e
1 changed files with 13 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

13
doc/dynare.texi
View File

@ -4159,6 +4159,14 @@ this covariance matrix. Default is @code{1}.
@item solve_algo = @var{INTEGER}
@xref{solve_algo}.
@item order = @var{INTEGER}
When @code{2}, the likelihood is evaluated with a particle filter based
on a second order approximation of the model (see
@cite{Fernandez-Villaverde and Rubio-Ramirez (2005)}). Default is
@code{1}, ie the lilkelihood of the linearized model is evaluated using
a standard Kalman filter.
@item order = @var{INTEGER}
@xref{order}.
@ -7353,6 +7361,11 @@ Fernandez-Villaverde, Jesus and Juan Rubio-Ramirez (2004): ``Comparing
Dynamic Equilibrium Economies to Data: A Bayesian Approach,''
@i{Journal of Econometrics}, 123, 153--187.
@item
Fernandez-Villaverde, Jesus and Juan Rubio-Ramirez (2005): ``Estimating
Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,''
@i{Journal of Applied Econometrics}, 20, 891--910.
@item
Ireland, Peter (2004): ``A Method for Taking Models to the Data,''
@i{Journal of Economic Dynamics and Control}, 28, 1205--26.