IDEAS home Printed from https://ideas.repec.org/r/fip/fedcwp/0106.html
   My bibliography  Save this item

Maximum likelihood in the frequency domain: the importance of time-to-plan

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
  2. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2015. "Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 126-154.
  3. Gianfreda, Angelica & Maranzano, Paolo & Parisio, Lucia & Pelagatti, Matteo, 2023. "Testing for integration and cointegration when time series are observed with noise," Economic Modelling, Elsevier, vol. 125(C).
  4. Patrick Francois & Huw Lloyd- Ellis, 2005. "I - Q Cycles," Macroeconomics 0511023, University Library of Munich, Germany.
  5. Khorunzhina, Natalia, 2015. "Real business-cycle model with habits: Empirical investigation," Economic Modelling, Elsevier, vol. 46(C), pages 61-69.
  6. Rots, Eyno, 2017. "Imperfect information and the house price in a general-equilibrium model," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 215-231.
  7. Fujiwara, Ippei & Teranishi, Yuki, 2011. "Real exchange rate dynamics revisited: A case with financial market imperfections," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1562-1589.
  8. Christiano, Lawrence J. & Vigfusson, Robert J., 2003. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 789-815, May.
  9. Canova, Fabio, 2014. "Bridging DSGE models and the raw data," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 1-15.
  10. Berger, Allen N. & Bouwman, Christa H.S., 2017. "Bank liquidity creation, monetary policy, and financial crises," Journal of Financial Stability, Elsevier, vol. 30(C), pages 139-155.
  11. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data," Koç University-TUSIAD Economic Research Forum Working Papers 1321, Koc University-TUSIAD Economic Research Forum.
  12. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
  13. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Econometric Society 2004 Far Eastern Meetings 619, Econometric Society.
  14. Ippei Fujiwara & Yuki Teranishi, 2008. "Real Exchange Rate Dynamics under Staggered Loan Contracts," IMES Discussion Paper Series 08-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
  15. Zhongjun Qu, 2018. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 916-932, December.
  16. Millar, Jonathan N. & Oliner, Stephen D. & Sichel, Daniel E., 2016. "Time-to-plan lags for commercial construction projects," Regional Science and Urban Economics, Elsevier, vol. 59(C), pages 75-89.
  17. Rhys M. Bidder, 2013. "Frequency shifting," Working Paper Series 2013-29, Federal Reserve Bank of San Francisco.
  18. Luca Sala, 2015. "Dsge Models in the Frequency Domains," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 219-240, March.
  19. Bruinshoofd, W.A. & Candelon, B. & Raabe, K., 2005. "Banking sector strength and the transmission of currency crises," Research Memorandum 022, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  20. Mertens, Elmar, 2010. "Structural shocks and the comovements between output and interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1171-1186, June.
  21. Jung, Yong-Gook, 2013. "An inference about the length of the time-to-build period," Economic Modelling, Elsevier, vol. 33(C), pages 42-54.
  22. Nalan Baştürk & Cem Çakmakli & S. Pinar Ceyhan & Herman K. Van Dijk, 2014. "Posterior‐Predictive Evidence On Us Inflation Using Extended New Keynesian Phillips Curve Models With Non‐Filtered Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1164-1182, November.
  23. Elmar Mertens, 2005. "Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer," Working Papers 05.05, Swiss National Bank, Study Center Gerzensee.
  24. Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
  25. Christopher J. Gust & Robert J. Vigfusson, 2009. "The power of long-run structural VARs," International Finance Discussion Papers 978, Board of Governors of the Federal Reserve System (U.S.).
  26. Santos Monteiro, Paulo, 2008. "Testing Full Consumption Insurance in the Frequency Domain," The Warwick Economics Research Paper Series (TWERPS) 874, University of Warwick, Department of Economics.
  27. Gianluca Moretti & Giulio Nicoletti, 2010. "Estimating DSGE models with unknown data persistence," Temi di discussione (Economic working papers) 750, Bank of Italy, Economic Research and International Relations Area.
  28. Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models across Frequencies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 741-760, December.
  29. Lovcha, Yuliya & Pérez Laborda, Alejandro, 2016. "Frequency-Domain Estimation as an Alternative to Pre-Filtering External Cycles in Structural VAR Analysis," Working Papers 2072/290743, Universitat Rovira i Virgili, Department of Economics.
  30. Saijo, Hikaru, 2013. "Estimating DSGE models using seasonally adjusted and unadjusted data," Journal of Econometrics, Elsevier, vol. 173(1), pages 22-35.
  31. Chen, Zhanhui, 2016. "Time-to-produce, inventory, and asset prices," Journal of Financial Economics, Elsevier, vol. 120(2), pages 330-345.
  32. Proietti, Tommaso, 2008. "Band spectral estimation for signal extraction," Economic Modelling, Elsevier, vol. 25(1), pages 54-69, January.
  33. Zhongjun Qu & Denis Tkachenko, 2010. "Identification and Frequency Domain QML Estimation of Linearized DSGE Models," Boston University - Department of Economics - Working Papers Series WP2010-053, Boston University - Department of Economics.
  34. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Jun 2023.
  35. Monteiro, Paulo Santos, 2008. "Testing Full Consumption Insurance in the Frequency Domain," Economic Research Papers 269910, University of Warwick - Department of Economics.
  36. Jonas D. M. Fisher, 2001. "A real explanation for heterogeneous investment dynamics," Working Paper Series WP-01-14, Federal Reserve Bank of Chicago.
  37. Tan, Fei, 2017. "An analytical approach to new Keynesian models under the fiscal theory," Economics Letters, Elsevier, vol. 156(C), pages 133-137.
  38. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.
  39. Edge, Rochelle M., 2007. "Time-to-build, time-to-plan, habit-persistence, and the liquidity effect," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1644-1669, September.
  40. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.
  41. Kevin E. Beaubrun-Diant, 2005. "Can a Time-to-Plan Model explain the Equity Premium Puzzle," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-8.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.