Estimation with projection method

Estimation
1

Hi,

I want to ask if it is possible to do the estimation in Dynare with the projection method as the solution part.

For example, can I implement my Chebyshev polynomials code into the source code, and let Dynare do the Kalman/particle filter and MCMC? But I imagine it can be very difficult.

Thanks.

Leah

2

You could do this, but in this case, it might be easier to do that from scratch. The Kalman filter relies on linear Gaussian state-space representations. Combining it with projection might therefore not make much sense as you use this technique for nonlinear solutions. Programming the Metropolis-Hastings algorithm is just a few lines so it is not worth the effort taking it from Dynare. Regarding the particle filtering, relying on these routines would be a lot of effort. In this case, I would rather go for a Julia, C or Fortran implementation of particle filters.

3

Thanks @jpfeifer for the answer! You are right, Kalman filter is not useful under this context, because the reason to use the projection method is to obtain a more accurate nonlinear state space representation. Regarding the particle filter, I’m trying to program it in Matlab because I don’t really know C or Fortran.

4

You might want to have a look at https://web.sas.upenn.edu/schorf/companion-web-site-bayesian-estimation-of-dsge-models/