Theory behind Dynare and DSGE models in general
Posted: Sat Dec 05, 2009 4:27 pmHi there,
I would like to understand some parts of Dynare more in detail. There is some mathematical and statistical background behind many of the functions in Dynare, e.g. MCMC algorithm, Homothopy methods, Kalman filter and many others. Is there any website summarizing mathematical background of Dynare? I would appreciate two kind of references: First, a general description of the methods used by Dynare, explaining the idea and some theory, without much technical information. Second, the references to the papers on which the particular methods are based (e.q. there are several kinds of Homotopy methods, various methods for posterior mode computing, etc.).
I believe that having a documentation dealing with the theoretical background of Dynare would encourage more people to bring new ideas to the program. It would also help to inspire theoreticians so that thay can focus their research on something with immediate use.
Thanks for any information in advance!
Pavel
I would like to understand some parts of Dynare more in detail. There is some mathematical and statistical background behind many of the functions in Dynare, e.g. MCMC algorithm, Homothopy methods, Kalman filter and many others. Is there any website summarizing mathematical background of Dynare? I would appreciate two kind of references: First, a general description of the methods used by Dynare, explaining the idea and some theory, without much technical information. Second, the references to the papers on which the particular methods are based (e.q. there are several kinds of Homotopy methods, various methods for posterior mode computing, etc.).
I believe that having a documentation dealing with the theoretical background of Dynare would encourage more people to bring new ideas to the program. It would also help to inspire theoreticians so that thay can focus their research on something with immediate use.
Thanks for any information in advance!
Pavel