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Three Essays on Computational Approaches to Economics
Yin, Xunzhao
Yin, Xunzhao
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Abstract
The three essays included in this dissertation are on three di?erent popular computational approaches that are widely applicable in economics. In Chapter 1, a state-space model is constructed which is linear in state variables and nonlinear in parameters. From the model, the time-varying level of natural interest rate is estimated using Kalman ?lter and Gibbs sampling algorithms. Chapter 2 proposes a new algorithm, called Implicit Particle Gibbs, to solve nonlinear state-space models. And Chapter 3 reviews recent development of deep learning and reinforcement learning algorithms and their applications in economics.
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Date
2019-12-31
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Publisher
University of Kansas
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Keywords
Economics, Particle Filter, Reinforcement Learning, r-Star, Term Structure, Yield Curve