DSGE Models with Student-t Errors

Siddhartha Chib; Srikanth Ramamurthy

doi:10.1080/07474938.2013.807152

DSGE Models with Student-t Errors

Siddhartha Chib
, Srikanth Ramamurthy

Research output: Contribution to journal › Article › peer-review

38 Scopus citations

Abstract

This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-t distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the t-distribution, the TaRB-MH algorithm of Chib and Ramamurthy (2010) is used to estimate the model. A technique for estimating the marginal likelihood of the DSGE student-t model is also provided. The methodologies are illustrated first with simulated data and then with the DSGE model of Ireland (2004) where the results support the t-error model in relation to the Gaussian model.

Original language	English
Pages (from-to)	152-171
Number of pages	20
Journal	Econometric Reviews
Volume	33
Issue number	1-4
DOIs	https://doi.org/10.1080/07474938.2013.807152
State	Published - Feb 2014

Keywords

Bayesian inference
MCMC
Marginal likelihood
Metropolis-Hastings
Multivariate-student-t distribution
Particle-filtering
State-space model

Access to Document

10.1080/07474938.2013.807152

Cite this

@article{f2ac8fdcf3c84d8081199e2a87ef80c5,

title = "DSGE Models with Student-t Errors",

abstract = "This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-t distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the t-distribution, the TaRB-MH algorithm of Chib and Ramamurthy (2010) is used to estimate the model. A technique for estimating the marginal likelihood of the DSGE student-t model is also provided. The methodologies are illustrated first with simulated data and then with the DSGE model of Ireland (2004) where the results support the t-error model in relation to the Gaussian model.",

keywords = "Bayesian inference, MCMC, Marginal likelihood, Metropolis-Hastings, Multivariate-student-t distribution, Particle-filtering, State-space model",

author = "Siddhartha Chib and Srikanth Ramamurthy",

year = "2014",

month = feb,

doi = "10.1080/07474938.2013.807152",

language = "English",

volume = "33",

pages = "152--171",

journal = "Econometric Reviews",

issn = "0747-4938",

number = "1-4",

}

TY - JOUR

T1 - DSGE Models with Student-t Errors

AU - Chib, Siddhartha

AU - Ramamurthy, Srikanth

PY - 2014/2

Y1 - 2014/2

N2 - This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-t distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the t-distribution, the TaRB-MH algorithm of Chib and Ramamurthy (2010) is used to estimate the model. A technique for estimating the marginal likelihood of the DSGE student-t model is also provided. The methodologies are illustrated first with simulated data and then with the DSGE model of Ireland (2004) where the results support the t-error model in relation to the Gaussian model.

AB - This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-t distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the t-distribution, the TaRB-MH algorithm of Chib and Ramamurthy (2010) is used to estimate the model. A technique for estimating the marginal likelihood of the DSGE student-t model is also provided. The methodologies are illustrated first with simulated data and then with the DSGE model of Ireland (2004) where the results support the t-error model in relation to the Gaussian model.

KW - Bayesian inference

KW - MCMC

KW - Marginal likelihood

KW - Metropolis-Hastings

KW - Multivariate-student-t distribution

KW - Particle-filtering

KW - State-space model

UR - https://www.scopus.com/pages/publications/84885366972

U2 - 10.1080/07474938.2013.807152

DO - 10.1080/07474938.2013.807152

M3 - Article

AN - SCOPUS:84885366972

SN - 0747-4938

VL - 33

SP - 152

EP - 171

JO - Econometric Reviews

JF - Econometric Reviews

IS - 1-4

ER -

DSGE Models with Student-t Errors

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this