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Estimation in non-linear non-Gaussian state space models with precision-based methods

dc.contributor.authorChan, Joshua C. C.
dc.contributor.authorStrachan, Rodney W.
dc.date.accessioned2025-04-07T05:44:10Z
dc.date.available2025-04-07T05:44:10Z
dc.date.issued2012-01
dc.description.abstractIn recent years state space models, particularly the linear Gaussian version, have become the standard framework for analyzing macroeconomic and financial data. However, many theoretically motivated models imply non-linear or non-Gaussian specifications ?or both. Existing methods for estimating such models are computationally intensive, and often cannot be applied to models with more than a few states. Building upon recent developments in precision-based algorithms, we propose a general approach to estimating high-dimensional non-linear non-Gaussian state space models. The baseline algorithm approximates the conditional distribution of the states by a multivariate Gaussian or t density, which is then used for posterior simulation. We further develop this baseline algorithm to construct more sophisticated samplers with attractive properties: one based on the accept-reject Metropolis-Hastings (ARMH) algorithm, and another adaptive collapsed sampler inspired by the cross-entropy method. To illustrate the proposed approach, we investigate the effect of the zero lower bound of interest rate on monetary transmission mechanism.
dc.identifier.urihttps://hdl.handle.net/1885/733747022
dc.language.isoen_AU
dc.provenanceThe publisher permission to make it open access was granted in November 2024
dc.publisherCrawford School of Public Policy, The Australian National University
dc.relation.ispartofseriesCAMA Working Paper 13/2012
dc.rightsAuthor(s) retain copyright
dc.sourceCentre for Applied Macroeconomic Analysis Working Papers
dc.source.urihttps://crawford.anu.edu.au
dc.titleEstimation in non-linear non-Gaussian state space models with precision-based methods
dc.typeWorking/Technical Paper
dcterms.accessRightsOpen Access
local.bibliographicCitation.issue13/2012
local.type.statusMetadata only

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