3rd order approximation and partcle filter

Dynare help (legacy posts)
1

Hello, I’m replicating the thesis, “Risk Matters : The Real Effects of volatility shocks, FGRU(AER,2011)”.

The replication asks me to have the skill about bayesian estimation with particle filter(with 3rd order approximation).

Because of my lackness of programming skill, I want to replicate it with Dynare.(I just know about Dynare)

But the Dynare forum says “It is not possible with Dynare.”

Thus, Can I replicate it with Dynare? or Could you give me any information or training code about it so that I can replicate it?

Thanks very much in advance.

2

Full replication files for the model are available via Born/Pfeifer (2014): “Risk Matters: A comment” at aeaweb.org/articles.php?doi=10.1257/aer.104.12.4231. Particle filter codes are at github.com/JohannesPfeifer/Particle_Filtering

3

Thank you very much, Prof.Pfeifer.

With my coldness, I checked the reply lately.

Thanks again.