Ed Herbst

Minicourse on Sequential Monte Carlo Methods

Lecture One: Sequential Monte Carlo [slides]

• matlab sequential monte carlo | some suggested exercises
• fortran code for original JAE paper | paper
• fortran code for SMC estimation of MS-VAR (with Mark Bognanni) | paper
• python prototype for SMC estimation

Lecture Two: Particle Filters [slides]

• particle filtering matlab code | some suggested exercises
• tempered particle filter in fortran and matlab | paper
• fortran code PFMH estimation of a “medium scale” DSGE model (with Chris Gust, Matt Smith, and David Lopez-Salido) | paper