Particle filter & estimation at 3rd order

Dear all,

I have two related questions:

  1. As of now, is Dynare allowing estimation at order 3 based on some particle filter? Or is it planned to be made possible soon?
  2. Dynare has a particle filter module, used in estimation at order = 2. Even if estimation is not yet possible at order 3, are some of those filters still working with order = 3 already, or are some such versions available somewhere? (Glimpsing at the code, it seems that most is for order 2, but I may have missed something.)

Basically, I am looking for a particle filter that can be applied to decision rules from Dynare at order 3 somewhat naturally and I really want to make sure that none exists (even some crude version) before coding it myself.

My goal is for now to back out shocks from a 3rd-order model whose parameters have been estimated in another way (SMM), but I could be interested in doing the estimation itself with the particle filter further down the line.

(Note: I am aware of the particle filter code by Professor Pfeifer, but this code is applied to an AR process with stochastic volatility, as far as I am aware. Instead, here, I really want to apply the filter/smoother to Dynare decision rules.)

Thank you very much!

We are working on it. See https://git.dynare.org/Dynare/dynare/issues/1673

But it seems that estimation in itself would not be sufficient for you. You seem to be interested in the smoother, which is not there yet.

Dear Prof. Pfeifer,

Ok, thank you for the information. I am indeed interested mostly in the smoother for now, although the estimation is already great news.

Let me know if you have a sense of whether/when the team will work on the smoother.

Thanks!

This is mostly in @frederic.karame’s wheelhouse. He might know more.

Sounds good, thank you!

No particle smoother for the moment.
Order 3 is nearly ready but has not been tested with particle filtering.

Sounds good, thank you both for the information. I’ll have a look at the order 3 estimation in a little while.