Yano, (2010), "Time-varying Analysis of Dynamic Stochastic General Equilibrium Models Based on Sequential Monte Carlo Methods",

This paper proposes a new method to estimate parameters, natural rates, and business cycles of dynamic stochastic general equilibrium models simultaneously and consistently. It is based on the Monte Carlo particle filter and a self-organizing state space model.

Yano, (2010), "Time-varying Analysis of Dynamic Stochastic General Equilibrium Models Based on Sequential Monte Carlo Methods,"
ESRI Discussion Paper Series No.231.
http://www.esri.go.jp/en/archive/e_dis/abstract/e_dis231-e.html

[Japanese] 本論文では動学的確率的一般均衡モデル（DSGE）のパラメーター、自然率、景気変動を同時推定する手法を提案する。この手法はモンテカルロ粒子フィルターと自己組織化状態空間モデルに基づいている。