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Added online approach (parameters treated as state variables) in the 

reference manual.
time-shift
Stéphane Adjemian (Hermes) 2015-05-28 12:27:40 +02:00
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@ -4917,6 +4917,9 @@ Uses the CMA-ES (Covariance Matrix Adaptation Evolution Strategy) algorithm of
Uses the simpsa algorithm, based on the combination of the non-linear simplex and simulated annealing algorithms and proposed by
@cite{Cardoso, Salcedo and Feyo de Azevedo (1996)}.
@item 11
This is not strictly speaking an optimization algorithm. The (estimated) parameters are treated as state variables and estimated jointly with the original state variables of the model using a nonlinear filter. The algorithm implemented in Dynare is described in @cite{Liu and West (2001)}.
@item 101
Uses the SolveOpt algorithm for local nonlinear optimization problems proposed by
@cite{Kuntsevich and Kappel (1997)}.
@ -12633,6 +12636,9 @@ Laffargue, Jean-Pierre (1990): ``Résolution d'un modèle
macroéconomique avec anticipations rationnelles'', @i{Annales
d'Économie et Statistique}, 17, 97--119
@item
Liu, Jane and Mike West (2001): ``Combined parameter and state estimation in simulation-based filtering'', in @i{Sequential Monte Carlo Methods in Practice}, Eds. Doucet, Freitas and Gordon, Springer Verlag
@item
Lubik, Thomas and Frank Schorfheide (2007): ``Do Central Banks Respond
to Exchange Rate Movements? A Structural Investigation,'' @i{Journal