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Evaluating the information matrix in linearized DSGE models

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  • Iskrev, Nikolay

Abstract

In this note we show how the stochastic general equilibrium (DSGE) models can be evaluated analytically. The result is useful for the estimation and identification analysis of such models.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 3 (June)
Pages: 607-610

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Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:607-610

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Thomas J. Rothenberg, 1966. "Efficient Estimation with a priori Information: A Classical Approach," Cowles Foundation Discussion Papers 205, Cowles Foundation for Research in Economics, Yale University.
  2. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
  3. Canova, Fabio & Sala, Luca, 2006. "Back to square one: identification issues in DSGE models," Working Paper Series 0583, European Central Bank.
  4. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
  5. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-91, May.
  6. Sims, Christopher A, 2002. "Solving Linear Rational Expectations Models," Computational Economics, Society for Computational Economics, vol. 20(1-2), pages 1-20, October.
  7. André Klein & Guy Melard & Toufik Zahaf, 2000. "Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules," ULB Institutional Repository 2013/13742, ULB -- Universite Libre de Bruxelles.
  8. Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 0722, European Central Bank.
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Citations

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Cited by:
  1. Martin Fukac, 2010. "Impulse response identification in DSGE models," Research Working Paper RWP 10-07, Federal Reserve Bank of Kansas City.
  2. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
  3. Martin Fukac & Adrian Pagan, 2009. "Structural macro-wconometric modelling in a policy environment," Reserve Bank of New Zealand Discussion Paper Series DP2009/16, Reserve Bank of New Zealand.
  4. Evren Caglar & Jagjit S. Chadha & Katsuyuki Shibayama, 2012. "Bayesian Estimation of DSGE Models: Is the Workhorse Model Identified?," Koç University-TUSIAD Economic Research Forum Working Papers 1205, Koc University-TUSIAD Economic Research Forum.
  5. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.
  6. Iskrev, Nikolay, 2010. "Local identification in DSGE models," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 189-202, March.

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