From 928c51e5b9402f537be37e36db740bfcac344b32 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Hermes=29?= Date: Thu, 28 May 2015 12:27:40 +0200 Subject: [PATCH] Added online approach (parameters treated as state variables) in the reference manual. --- doc/dynare.texi | 6 ++++++ 1 file changed, 6 insertions(+) diff --git a/doc/dynare.texi b/doc/dynare.texi index 2bc260882..819584b36 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -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