scholarly journals A Monte Carlo procedure for checking identification in DSGE models

2017 ◽  
Vol 76 ◽  
pp. 202-210 ◽  
Author(s):  
Vo Phuong Mai Le ◽  
David Meenagh ◽  
Patrick Minford ◽  
Michael Wickens
Author(s):  
Edward P. Herbst ◽  
Frank Schorfheide

Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. The book is essential reading for graduate students, academic researchers, and practitioners at policy institutions.


1990 ◽  
Vol 209 ◽  
Author(s):  
P. Mulheran ◽  
J.H. Harding

A Monte Carlo procedure has been used to study the ordering of both two and three dimensional (2d and 3d) Potts Hamiltonians, further to the work of Anderson et al. For the 3d lattice, the short time growth rate is found to be much slower than previously reported, though the simulated microstructure is in agreement with the earlier studies. We propose a new stochastic model that gives good agreement with the simulations.


1987 ◽  
Vol 77 (3) ◽  
pp. 942-957
Author(s):  
C. A. Zelt ◽  
J. J. Drew ◽  
M. J. Yedlin ◽  
R. M. Ellis

Abstract In crustal refraction experiments, the crucial deeply refracted and head wave arrivals often have a low signal-to-noise ratio. A method to aid in the picking of noisy refraction data is presented which is applicable to any branch of a seismic section whose waveform is approximately invariant throughout the branch. The technique exploits the spatial correlation of arrivals and is based on the lateral coherency which results if the refracted arrivals are aligned by applying appropriate time shifts to each trace of the branch. The alignment of arrivals occurs iteratively and is accomplished through a cross-correlation of each trace with the stack of the section of the previous iteration. The iteration yielding the section with the highest degree of lateral coherency (semblance) is used to extract the travel-time pick of each trace. The pick, plus a possible d.c. component, is the negative of the time shift required to achieve arrival alignment. Two modifications can improve the performance of the picking routine. To prevent a cycle skipping problem, a Monte Carlo technique is implemented in which the cross-correlation function is transformed into a probability distribution so that the lag corresponding to the maximum cross-correlation is most probably selected. Second, to increase the coherency of the arrivals, a spectral balancing technique is applied in either the time or frequency domain. The picking routine is applied to both a synthetic and real data example, and the results suggest that the routine can be applied successfully to data with a signal-to-noise ratio as low as one. Also, the Monte Carlo procedure together with spectral balancing increases the final semblance over that obtained with the unmodified method.


1981 ◽  
Vol 47 (22) ◽  
pp. 1628-1631 ◽  
Author(s):  
J. E. Hirsch ◽  
D. J. Scalapino ◽  
R. L. Sugar ◽  
R. Blankenbecler

Energies ◽  
2020 ◽  
Vol 13 (9) ◽  
pp. 2142
Author(s):  
Fabio Massimo Gatta ◽  
Alberto Geri ◽  
Stefano Lauria ◽  
Marco Maccioni ◽  
Francesco Palone

A significant majority of overhead transmission lines’ (OHLs) outages is due to backflashovers caused by direct lightning strikes: the realistic assessment of the lightning performance is thus an important task. The paper presents the analysis of the lightning performance of an existing 150 kV Italian OHL, namely, its backflashover rate (BFOR), carried out by means of an ATP-EMTP-based Monte Carlo procedure. Among other features, the procedure makes use of a simplified pi-circuit for line towers’ grounding system, allowing a very accurate reproduction of transient behaviours at a very low computational cost. Tower grounding design modifications, aimed at improving the OHL lightning performance, are also proposed and discussed.


2009 ◽  
Vol 80 (1) ◽  
Author(s):  
Yanier Crespo ◽  
Alessandro Laio ◽  
Giuseppe E. Santoro ◽  
Erio Tosatti

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