Ethan Matlin
I’m a Senior Research Analyst at the Federal Reserve Bank of New York using Julia to estimate and forecast macroeconomic models. I’m interested in applying advances in efficient scientific computing to answer questions about the economy and improve societal well-being.
Session
07-24
15:00
30min
“Online” Estimation of Macroeconomic Models
Ethan Matlin
Medium-large Dynamic Stochastic General Equilibrium models such as those used for forecasting and policy analysis by central banks take a substantial amount of time to estimate using standard approaches such as Random Walk Metropolis Hastings. Our new Sequential Monte Carlo sampler in DSGE.jl makes it possible to estimate DSGE models in parallel, reducing computational time, and “online,” that is efficiently including new data in the estimation as they become available.
Room 349