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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. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," CEPR Discussion Papers 8169, C.E.P.R. Discussion Papers.
  2. Luis Gil-Alana & Antonio Moreno, 2012. "Fractional integration and structural breaks in U.S. macro dynamics," Empirical Economics, Springer, vol. 43(1), pages 427-446, August.
  3. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs, Spanish Economic Association, vol. 1(1), pages 3-49, March.
  4. RUGE-MURCIA, Francisco J., 2003. "Methods to Estimate Dynamic Stochastic General Equilibrium Models," Cahiers de recherche 2003-23, Universite de Montreal, Departement de sciences economiques.
  5. Hu, Yingyao & Shum, Matthew, 2012. "Nonparametric identification of dynamic models with unobserved state variables," Journal of Econometrics, Elsevier, vol. 171(1), pages 32-44.
  6. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
  7. Pablo Burriel & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2009. "MEDEA: A DSGE Model for the Spanish Economy," PIER Working Paper Archive 09-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. Amisano, Giovanni & Tristani, Oreste, 2007. "Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model," CEPR Discussion Papers 6373, C.E.P.R. Discussion Papers.
  9. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramírez & Martin Uribe, 2009. "Risk Matters: The Real Effects of Volatility Shocks," PIER Working Paper Archive 09-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  10. Zheng Liu, 2009. "Sources of the Great Moderation: Shocks, Frictions, or Monetary Policy?," 2009 Meeting Papers 379, Society for Economic Dynamics.
  11. Pablo A. Guerron, 2007. "What You Match Does Matter: The Effects of Data on DSGE Estimation," Working Paper Series 012, North Carolina State University, Department of Economics.
  12. Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the statistical identification of DSGE models," Journal of Econometrics, Elsevier, vol. 150(1), pages 99-115, May.
  13. Tovar, Camilo Ernesto, 2009. "DSGE Models and Central Banks," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(16), pages 1-31.
  14. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany.
  15. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2010. "Sources of Macroeconomic Fluctuations: A Regime-switching DSGE Approach," Emory Economics 1002, Department of Economics, Emory University (Atlanta).
  16. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
  17. Paulina Restrepo-Echavarria, 2010. "Endogenous Borrowing Constraints and Stagnation in Latin America," 2010 Meeting Papers 470, Society for Economic Dynamics.
  18. 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 13-191/III, Tinbergen Institute.
  19. Foerster, Andrew & Rubio-Ramírez, Juan Francisco & Waggoner, Daniel F & Zha, Tao, 2013. "Perturbation Methods for Markov-Switching DSGE Models," CEPR Discussion Papers 9464, C.E.P.R. Discussion Papers.
  20. Pau Rabanal & Juan F. Rubio-Ramirez & Vicente Tuesta, 2009. "Cointegrated TFP processes and international business cycles," Working Paper 2009-23, Federal Reserve Bank of Atlanta.
  21. James B. Bullard & Aarti Singh, 2009. "Learning and the Great Moderation," Working Papers 2007-027, Federal Reserve Bank of St. Louis.
  22. Edda Zoli & Silvia Sgherri, 2009. "Euro Area Sovereign Risk During the Crisis," IMF Working Papers 09/222, International Monetary Fund.
  23. Lieven Baele & Geert Bekaert & Seonghoon Cho & Koen Inghelbrecht & Antonio Moreno, 2011. "Macroeconomic Regimes," NBER Working Papers 17090, National Bureau of Economic Research, Inc.
  24. Amisano, Gianni & Tristani, Oreste, 2011. "Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2167-2185.
  25. Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
  26. Bruce Preston & Mauro Roca, 2007. "Incomplete Markets, Heterogeneity and Macroeconomic Dynamics," NBER Working Papers 13260, National Bureau of Economic Research, Inc.
  27. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," NBER Working Papers 13166, National Bureau of Economic Research, Inc.
  28. Martin Andreasen, 2010. "How to Maximize the Likelihood Function for a DSGE Model," Computational Economics, Society for Computational Economics, vol. 35(2), pages 127-154, February.
  29. Anton A. Cheremukhin & Paulina Restrepo-Echavarria, 2010. "The labor wedge as a matching friction," Working Papers 1004, Federal Reserve Bank of Dallas.
  30. Neil Shephard & Thomas Flury, 2008. "Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models," Economics Series Working Papers 413, University of Oxford, Department of Economics.
  31. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
  32. Jonathan A. Parker, 2011. "On Measuring the Effects of Fiscal Policy in Recessions," NBER Working Papers 17240, National Bureau of Economic Research, Inc.
  33. Wiliam Branch & George W. Evans, 2005. "Model Uncertainty and Endogenous Volatility," University of Oregon Economics Department Working Papers 2005-21, University of Oregon Economics Department, revised 26 Oct 2006.
  34. 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, vol. 8(1), November.
  35. Ron Gallant & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Generalized method of moments with latent variables," CeMMAP working papers CWP50/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  36. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo Group Munich.
  37. Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," CEPR Discussion Papers 7813, C.E.P.R. Discussion Papers.
  38. Gerald Carlino & Robert DeFina & Keith Sill, 2011. "The long and large decline in state employment growth volatility," Working Papers 11-16, Federal Reserve Bank of Philadelphia.
  39. RUGE-MURCIA, Francisco J., 2010. "Estimating Nonlinear DSGE Models by the Simulated Method of Moments," Cahiers de recherche 2010-10, Universite de Montreal, Departement de sciences economiques.
  40. Creal, D., 2009. "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  41. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
  42. 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.
  43. Leonardo Melosi, 2009. "A Likelihood Analysis of Models with Information Frictions," 2009 Meeting Papers 1034, Society for Economic Dynamics.
  44. Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2008. "Productivity, energy prices, and the Great Moderation: a new link," Working Paper 2008-11, Federal Reserve Bank of Atlanta.
  45. Yuriy Gorodnichenko & Serena Ng, 2009. "Estimation of DSGE Models When the Data are Persistent," NBER Working Papers 15187, National Bureau of Economic Research, Inc.
  46. Olaf Posch & Timo Trimborn, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Economics Working Papers 2010-08, School of Economics and Management, University of Aarhus.
  47. 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.
  48. Taeyoung Doh, 2008. "Long Run Risks in the Term Structure of Interest Rates : Estimation," 2008 Meeting Papers 137, Society for Economic Dynamics.
  49. Florian Heiss, 2008. "Sequential numerical integration in nonlinear state space models for microeconometric panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(3), pages 373-389.
  50. Mohamed, Issam A.W., 2011. "Introduction to the Macroeconomic Structure of Yemen," MPRA Paper 31782, University Library of Munich, Germany.
  51. Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
  52. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
  53. Paul Pichler, 2007. "Forecasting with estimated dynamic stochastic general equilibrium models: The role of nonlinearities," Vienna Economics Papers 0702, University of Vienna, Department of Economics.
  54. Juan Francisco Rubio-Ramírez & Daniel Waggoner & Tao Zha, 2005. "Markov-switching structural vector autoregressions: theory and application," Working Paper 2005-27, Federal Reserve Bank of Atlanta.
  55. 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.
  56. Andreasen, Martin M., 2010. "Stochastic volatility and DSGE models," Economics Letters, Elsevier, vol. 108(1), pages 7-9, July.
  57. Mohamed, Issam A.W., 2011. "Utilizing System Dynamics Models in Analyzing Macroeconomic Variables of Yemen," MPRA Paper 31692, University Library of Munich, Germany.
  58. Pan, Qi & Li, Yong, 2013. "Testing volatility persistence on Markov switching stochastic volatility models," Economic Modelling, Elsevier, vol. 35(C), pages 45-50.
  59. Christopher Gust & David Lopez-Salido & Matthew E. Smith, 2012. "The empirical implications of the interest-rate lower bound," Finance and Economics Discussion Series 2012-83, Board of Governors of the Federal Reserve System (U.S.).
  60. Guerron-Quintana, Pablo A., 2009. "Money demand heterogeneity and the great moderation," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 255-266, March.
  61. Renzo Orsi & Davide Raggi & Francesco Turino, 2013. "Online Appendix to "Size, Trend, and Policy Implications of the Underground Economy"," Technical Appendices 12-217, Review of Economic Dynamics.
  62. 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.
  63. Strid, Ingvar, 2008. "Metropolis-Hastings prefetching algorithms," Working Paper Series in Economics and Finance 706, Stockholm School of Economics, revised 02 Dec 2009.