Papers

Learning Correlated Equilibria in Extensive Form Games

We formalize an efficient class of counterfactual regret minimization algorithms exploiting the “sequence form” to compute …

admin, Amy Greenwald

Project

Estimating HANK: Macro Time Series and Micro Moments

We show how to use sequential Monte Carlo methods to estimate a heterogeneous agent New Keynesian (HANK) model featuring both nominal …

Sushant Acharya, Michael Cai, Marco Del Negro, Keshav Dogra, Ethan Matlin, admin

Project Technical Appendix

Online Estimation of DSGE Models

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We …

Michael Cai, Marco Del Negro, Edward Herbst, Ethan Matlin, admin, Frank Schorfheide

PDF Project DOI NBER Working Paper no. 26826 PIER Working Paper no. 19-014 NY Fed Staff Report no. 893