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A toolkit for analyzing nonlinear dynamic stochastic models easily

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  • Harald Uhlig

Abstract

This paper describes and implements a procedure for estimating the timing interval in any linear econometric model. The procedure is applied to Taylor’s model of staggered contracts using annual averaged price and output data. The fit of the version of Taylor’s model with serially uncorrelated disturbances improves as the timing interval of the model is reduced.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Minneapolis in its series Discussion Paper / Institute for Empirical Macroeconomics with number 101.

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Date of creation: 1995
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Handle: RePEc:fip:fedmem:101

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Keywords: Econometric models;

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References

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  1. Finn E. Kydland & Edward C. Prescott, 1990. "The econometrics of the general equilibrium approach to business cycles," Staff Report 130, Federal Reserve Bank of Minneapolis.
  2. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
  3. Farmer Roger E. A. & Guo Jang-Ting, 1994. "Real Business Cycles and the Animal Spirits Hypothesis," Journal of Economic Theory, Elsevier, vol. 63(1), pages 42-72, June.
  4. Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1994. "Mechanics of forming and estimating dynamic linear economies," Staff Report 182, Federal Reserve Bank of Minneapolis.
  5. Campbell, John Y., 1994. "Inspecting the mechanism: An analytical approach to the stochastic growth model," Journal of Monetary Economics, Elsevier, vol. 33(3), pages 463-506, June.
  6. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
  7. Binder,M. & Pesaran,H.M., 1995. "Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results," Cambridge Working Papers in Economics 9415, Faculty of Economics, University of Cambridge.
  8. Jean-Pierre DANTHINE & John B. DONALDSON, 1993. "Computing Equilibria of Non-Optimal Economies," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9306, Université de Lausanne, Faculté des HEC, DEEP.
  9. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  10. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
  11. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
  12. Uhlig, H.F.H.V.S. & Xu, Y., 1996. "Effort and the Cycle: Cyclical Implications of Efficiency Wages," Discussion Paper 1996-49, Tilburg University, Center for Economic Research.
  13. King, R.G. & Rebelo, S.T., 1989. "Low Frequency Filtering And Real Business Cycles," RCER Working Papers 205, University of Rochester - Center for Economic Research (RCER).
  14. Kenneth L. Judd, 1991. "Minimum weighted residual methods for solving aggregate growth models," Discussion Paper / Institute for Empirical Macroeconomics 49, Federal Reserve Bank of Minneapolis.
  15. Gary D. Hansen & Edward C. Prescott, 1992. "Recursive methods for computing equilibria of business cycle models," Discussion Paper / Institute for Empirical Macroeconomics 36, Federal Reserve Bank of Minneapolis.
  16. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, December.
  17. Hansen, Gary D., 1985. "Indivisible labor and the business cycle," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 309-327, November.
  18. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
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  1. Blogs review: A guide to survive Math Camp
    by ? in Bruegel blog on 2013-07-29 11:02:31

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  1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Solution Methods for DSGE models
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  1. Quantitative Macroeconomics and Real Business Cycles (QM&RBC)

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