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Citations for "Estimating Macroeconomic Models: A Likelihood Approach"

by Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez

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  1. Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
  2. Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009. "Combining VAR and DSGE forecast densities," Working Paper, Norges Bank 2009/23, Norges Bank.
  3. James B. Bullard & Aarti Singh, 2009. "Learning and the Great Moderation," Working Papers, Federal Reserve Bank of St. Louis 2007-027, Federal Reserve Bank of St. Louis.
  4. Tovar, Camilo Ernesto, 2009. "DSGE Models and Central Banks," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, Kiel Institute for the World Economy, vol. 3(16), pages 1-31.
  5. Juan Rubio-Ramirez & Jesus Fernandez-Villaverde & Pablo A. Guerron-Quintana, 2010. "Fortune or Virtue: Time Variant Volatilities versus Parameter Drifting in U.S. Data," 2010 Meeting Papers, Society for Economic Dynamics 270, Society for Economic Dynamics.
  6. Cheremukhin, Anton A. & Restrepo-Echavarria, Paulina, 2014. "The labor wedge as a matching friction," European Economic Review, Elsevier, Elsevier, vol. 68(C), pages 71-92.
  7. Ricardo Reis & Vasco Curdia, 2009. "Correlated Disturbances and U.S. Business Cycles," 2009 Meeting Papers, Society for Economic Dynamics 129, Society for Economic Dynamics.
  8. Francisco J. Ruge-Murcia, 2010. "Estimating Nonlinear DSGE Models by the Simulated Method of Moments," Working Paper Series, The Rimini Centre for Economic Analysis 49_10, The Rimini Centre for Economic Analysis.
  9. Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," Les Cahiers de Recherche 947, HEC Paris.
  10. Yu-Fu Chen & Michael Funke, 2010. "Global Warming And Extreme Events: Rethinking The Timing And Intensity Of Environmental Policy," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee 236, Economic Studies, University of Dundee.
  11. Gerald A. Carlino & Robert Defina & Keith Sill, 2013. "The Long and Large Decline in State Employment Growth Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 45(2-3), pages 521-534, 03.
  12. Martin Schneider & Cosmin Ilut, 2011. "Ambiguous Business Cycles," 2011 Meeting Papers, Society for Economic Dynamics 612, Society for Economic Dynamics.
  13. Lieven Baele & et al., 2012. "Macroeconomic Regimes," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 03/12, School of Economics and Business Administration, University of Navarra.
  14. Taeyoung Doh, 2013. "Long‐Run Risks In The Term Structure Of Interest Rates: Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 28(3), pages 478-497, 04.
  15. Vicente Tuesta & Juan F. Rubio-Ramirez & Pau Rabanal, 2009. "Cointegrated TFP Processes and International Business Cycles," IMF Working Papers, International Monetary Fund 09/212, International Monetary Fund.
  16. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers, Queen Mary, University of London, School of Economics and Finance 714, Queen Mary, University of London, School of Economics and Finance.
  17. Burriel, Pablo & Fernández-Villaverde, Jesús & Rubio-Ramirez, Juan Francisco, 2009. "MEDEA: A DSGE Model for the Spanish Economy," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7297, C.E.P.R. Discussion Papers.
  18. William Branch & George W. Evans, 2007. "Model Uncertainty and Endogenous Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 207-237, April.
  19. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany.
  20. Olaf Posch, 2009. "Risk premia in general equilibrium," CREATES Research Papers 2009-58, School of Economics and Management, University of Aarhus.
  21. Olaf Posch, 2006. "Explaining Output Volatility: the Case of Taxation," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics 20608, Hamburg University, Department of Economics.
  22. Steffen Ahrens & Matthias Hartmann, 2014. "State-dependence vs. Time-dependence: An Empirical Multi-Country Investigation of Price Sluggishness," Kiel Working Papers 1907, Kiel Institute for the World Economy.
  23. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2011. "Sources of macroeconomic fluctuations: A regime‐switching DSGE approach," Quantitative Economics, Econometric Society, Econometric Society, vol. 2(2), pages 251-301, 07.
  24. Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, School of Economics and Management, University of Aarhus.
  25. Strid, Ingvar, 2008. "Metropolis-Hastings prefetching algorithms," Working Paper Series in Economics and Finance, Stockholm School of Economics 706, Stockholm School of Economics, revised 02 Dec 2009.
  26. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  27. Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the Statistical Identification of DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7176, C.E.P.R. Discussion Papers.
  28. Andrew Foerster & Juan Rubio-Ramirez & Dan Waggoner & Tao Zha, 2013. "Perturbation methods for Markov-switching DSGE model," Research Working Paper, Federal Reserve Bank of Kansas City RWP 13-01, Federal Reserve Bank of Kansas City.
  29. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "The Research Agenda: Jesus Fernandez-Villaverde and Juan F. Rubio-Ramirez on Estimating DSGE Models," EconomicDynamics Newsletter, Review of Economic Dynamics, Review of Economic Dynamics, vol. 8(1), November.
  30. Hong, Han & Preston, Bruce, 2012. "Bayesian averaging, prediction and nonnested model selection," Journal of Econometrics, Elsevier, Elsevier, vol. 167(2), pages 358-369.
  31. Ron Gallant & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Generalized method of moments with latent variables," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP50/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  32. Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, Elsevier, vol. 153(2), pages 196-210, December.
  33. Amisano, Gianni & Tristani, Oreste, 2010. "Euro area inflation persistence in an estimated nonlinear DSGE model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(10), pages 1837-1858, October.
  34. Ruge-Murcia, Francisco J., 2002. "Methods to Estimate Dynamic Stochastic General Equilibrium Models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt4fc8x822, Department of Economics, UC San Diego.
  35. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-191/III, Tinbergen Institute.
  36. Doh, Taeyoung, 2011. "Yield curve in an estimated nonlinear macro model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(8), pages 1229-1244, August.
  37. Paulina Restrepo-Echavarria, 2010. "Endogenous Borrowing Constraints and Stagnation in Latin America," 2010 Meeting Papers, Society for Economic Dynamics 470, Society for Economic Dynamics.
  38. Amisano, Gianni & Tristani, Oreste, 2011. "Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations," Working Paper Series, European Central Bank 1341, European Central Bank.
  39. Gorodnichenko, Yuriy & Ng, Serena, 2010. "Estimation of DSGE models when the data are persistent," Journal of Monetary Economics, Elsevier, Elsevier, vol. 57(3), pages 325-340, April.
  40. Yingyao Hu & Matthew Shum, 2008. "Nonparametric identification of dynamic models with unobserved state variables," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP13/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  41. Bruce Preston & Mauro Roca, 2007. "Incomplete Markets, Heterogeneity and Macroeconomic Dynamics," NBER Working Papers 13260, National Bureau of Economic Research, Inc.
  42. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers, University of Nevada, Las Vegas , Department of Economics 1210, University of Nevada, Las Vegas , Department of Economics.
  43. Guerron-Quintana, Pablo A., 2009. "Money demand heterogeneity and the great moderation," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(2), pages 255-266, March.
  44. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(6), pages 947-962, June.
  45. Benjamin Born & Johannes Pfeifer, 2011. "Policy Risk and the Business Cycle," Bonn Econ Discussion Papers, University of Bonn, Germany bgse06_2011, University of Bonn, Germany.
  46. Martin M. Andreasen, 2010. "Non-linear DSGE Models and The Optimized Particle Filter," CREATES Research Papers 2010-05, School of Economics and Management, University of Aarhus.
  47. Jonathan A. Parker, 2011. "On Measuring the Effects of Fiscal Policy in Recessions," NBER Working Papers 17240, National Bureau of Economic Research, Inc.
  48. Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2008. "Productivity, energy prices, and the Great Moderation: a new link," Working Paper, Federal Reserve Bank of Atlanta 2008-11, Federal Reserve Bank of Atlanta.
  49. R. Orsi & D. Raggi & F. Turino, 2012. "Size, Trend, and Policy Implications of the Underground Economy," Working Papers wp818, Dipartimento Scienze Economiche, Universita' di Bologna.
  50. Luis Gil-Alana & Antonio Moreno, 2012. "Fractional integration and structural breaks in U.S. macro dynamics," Empirical Economics, Springer, Springer, vol. 43(1), pages 427-446, August.
  51. Lafuente, Juan A. & Pérez, Rafaela & Ruiz, Jesús, 2014. "Time-varying inflation targeting after the nineties," International Review of Economics & Finance, Elsevier, Elsevier, vol. 29(C), pages 400-408.
  52. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramirez & Martin Uribe, 2011. "Risk Matters: The Real Effects of Volatility Shocks," American Economic Review, American Economic Association, American Economic Association, vol. 101(6), pages 2530-61, October.
  53. Pablo A. Guerron-Quintana, 2010. "What you match does matter: the effects of data on DSGE estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(5), pages 774-804.
  54. Strid, Ingvar, 2010. "Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2814-2835, November.
  55. Mohamed, Issam A.W., 2011. "Utilizing System Dynamics Models in Analyzing Macroeconomic Variables of Yemen," MPRA Paper 31692, University Library of Munich, Germany.
  56. Creal, D., 2009. "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  57. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo Group Munich.
  58. Paul Pichler, 2007. "Forecasting with estimated dynamic stochastic general equilibrium models: The role of nonlinearities," Vienna Economics Papers, University of Vienna, Department of Economics 0702, University of Vienna, Department of Economics.
  59. Martin M. Andreasen, 2009. "Stochastic Volatility and DSGE Models," CREATES Research Papers 2009-29, School of Economics and Management, University of Aarhus.
  60. Pan, Qi & Li, Yong, 2013. "Testing volatility persistence on Markov switching stochastic volatility models," Economic Modelling, Elsevier, Elsevier, vol. 35(C), pages 45-50.
  61. Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Technical Appendices, Review of Economic Dynamics 11-84, Review of Economic Dynamics.
  62. Flury, Thomas & Shephard, Neil, 2011. "Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 27(05), pages 933-956, October.
  63. Fernández-Villaverde, Jesús, 2009. "The Econometrics of DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7157, C.E.P.R. Discussion Papers.
  64. Edda Zoli & Silvia Sgherri, 2009. "Euro Area Sovereign Risk During the Crisis," IMF Working Papers, International Monetary Fund 09/222, International Monetary Fund.
  65. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
  66. Martin Møller Andreasen, 2008. "How to Maximize the Likelihood Function for a DSGE Model," CREATES Research Papers 2008-32, School of Economics and Management, University of Aarhus.
  67. Juan Francisco Rubio-Ramírez & Daniel Waggoner & Tao Zha, 2005. "Markov-switching structural vector autoregressions: theory and application," Working Paper, Federal Reserve Bank of Atlanta 2005-27, Federal Reserve Bank of Atlanta.
  68. Nicolas Petrosky-Nadeau & Lu Zhang, 2013. "Solving the DMP Model Accurately," NBER Working Papers 19208, National Bureau of Economic Research, Inc.
  69. Ruge-Murcia, Francisco, 2012. "Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(6), pages 914-938.
  70. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, Elsevier, vol. 171(2), pages 134-151.
  71. Florian Heiss, 2008. "Sequential numerical integration in nonlinear state space models for microeconometric panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(3), pages 373-389.
  72. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, frictions, or monetary policy?," Working Paper, Federal Reserve Bank of Atlanta 2009-03, Federal Reserve Bank of Atlanta.
  73. Gust, Christopher & López-Salido, J David & Smith, Matthew E, 2012. "The Empirical Implications of the Interest-Rate Lower Bound," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9214, C.E.P.R. Discussion Papers.
  74. Mohamed, Issam A.W., 2011. "Introduction to the Macroeconomic Structure of Yemen," MPRA Paper 31782, University Library of Munich, Germany.
  75. Renzo Orsi & Davide Raggi & Francesco Turino, 2013. "Online Appendix to "Size, Trend, and Policy Implications of the Underground Economy"," Technical Appendices, Review of Economic Dynamics 12-217, Review of Economic Dynamics.
  76. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, Elsevier, vol. 31(C), pages 642-652.
  77. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," NBER Working Papers 13166, National Bureau of Economic Research, Inc.
  78. Leonardo Melosi, 2009. "A Likelihood Analysis of Models with Information Frictions," 2009 Meeting Papers, Society for Economic Dynamics 1034, Society for Economic Dynamics.
  79. Posch, Olaf & Trimborn, Timo, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-450, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  80. Daniel Burren, 2010. "The Term Structure of Interest Rates in a New Keynesian Model with Time-Varying Macro Volatility," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 277-299, November.
  81. Chen, Yu-Fu & Funke, Michael, 2010. "Global Warming And Extreme Events: Rethinking The Timing And Intensity Of Environmental Policy," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2010-48, Scottish Institute for Research in Economics (SIRE).