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Citations for "Formulating and estimating dynamic linear rational expectations models"

by Lars Peter Hansen & Thomas J. Sargent

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  1. Massimo Franchi & Paolo Paruolo, 2012. "On ABCs (and Ds) of VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  2. Lanne, Markku & Saikkonen, Pentti, 2009. "Noncausal vector autoregression," Research Discussion Papers 18/2009, Bank of Finland.
  3. Boileau, Martin & Normandin, Michel, 2002. "Aggregate employment, real business cycles, and superior information," Journal of Monetary Economics, Elsevier, vol. 49(3), pages 495-520, April.
  4. Joseph E. Gagnon, 1989. "Exchange rate variability and the level of international trade," International Finance Discussion Papers 369, Board of Governors of the Federal Reserve System (U.S.).
  5. Lars Sondergaard, 2003. "Using Instrumental Variables to Estimate the Share of Backward- Looking Firms," Macroeconomics 0308009, EconWPA.
  6. Martin Boileau & Michel Normandin, 2001. "Labor Hoarding, Superior Information and Business Cycle Dynamics," Cahiers de recherche CREFE / CREFE Working Papers 129, CREFE, Université du Québec à Montréal.
  7. Miranda, Mario J. & Rui, Xiongwen, 1997. "Maximum likelihood estimation of the nonlinear rational expectations asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1493-1510, June.
  8. James J. Heckman & Rodrigo Pinto, 2013. "Causal Analysis after Haavelmo," NBER Working Papers 19453, National Bureau of Economic Research, Inc.
  9. Francois Gourio, 2006. "Firms' Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns," 2006 Meeting Papers 846, Society for Economic Dynamics.
  10. Sharon Kozicki & P.A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City.
  11. Palm, Franz C. & Pfann, Gerard A., 1998. "Sources of asymmetry in production factor dynamics," Journal of Econometrics, Elsevier, vol. 82(2), pages 361-392, February.
  12. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L., 2008. "The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value," Journal of Financial Economics, Elsevier, vol. 89(1), pages 158-174, July.
  13. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "How Much Does Household Collateral Constrain Regional Risk Sharing?," NBER Working Papers 10505, National Bureau of Economic Research, Inc.
  14. Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
  15. Robert Flood, 1988. "Asset Prices and Time-Varying Risk," NBER Working Papers 2780, National Bureau of Economic Research, Inc.
  16. Lee E. Ohanian & Marco Del Negro & Tao Zha, 2005. "Monetary policy and learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 257-261, April.
  17. Jaap Abbring & James Heckman, 2008. "Dynamic policy analysis," CeMMAP working papers CWP05/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  18. Lars Peter Hansen & Thomas J. Sargent, 1980. "Linear rational expectations models for dynamically interrelated variables," Working Papers 135, Federal Reserve Bank of Minneapolis.
  19. Schmidt, Sebastian & Wieland, Volker, 2013. "The New Keynesian Approach to Dynamic General Equilibrium Modeling: Models, Methods and Macroeconomic Policy Evaluation," Handbook of Computable General Equilibrium Modeling, Elsevier.
  20. Du, Ding, 2006. "Monetary policy, stock returns and inflation," Journal of Economics and Business, Elsevier, vol. 58(1), pages 36-54.
  21. André Kurmann, 2004. "Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing," Macroeconomics 0409028, EconWPA.
  22. Francisco J. Ruge-Murcia, 2004. "Methods to Estimate Dynamic Stochastic General Equilibrium Models," 2004 Meeting Papers 83, Society for Economic Dynamics.
  23. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent & Mark Watson, 2006. "A,B,C's (and D's)'s for Understanding VARS," Levine's Bibliography 321307000000000646, UCLA Department of Economics.
  24. Greg Hannsgen, 2005. "The Disutility of International Debt: Analytical Results and Methodological Implications," Method and Hist of Econ Thought 0505001, EconWPA.
  25. West, Kenneth D., 1988. "The insensitivity of consumption to news about income," Journal of Monetary Economics, Elsevier, vol. 21(1), pages 17-33, January.
  26. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2002. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," CEPR Discussion Papers 3701, C.E.P.R. Discussion Papers.
  27. Klaeffling, Matt, 2003. "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series 0228, European Central Bank.
  28. Juselius, Mikael, 2008. "Cointegration implications of linear rational expectation models," Research Discussion Papers 6/2008, Bank of Finland.
  29. Fujii, Tomoki & Karp, Larry, 2006. "Numerical analysis of non-constant discounting with an application to renewable resource management," CUDARE Working Paper Series 1019, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
  30. Michael Palumbo & Jeremy Rudd & Karl Whelan, 2002. "On the relationships between real consumption, income and wealth," Finance and Economics Discussion Series 2002-38, Board of Governors of the Federal Reserve System (U.S.).
  31. Robert S. Chirinko, 1986. "Investment, Tobin's Q, and Multiple Capital Inputs," NBER Working Papers 2033, National Bureau of Economic Research, Inc.
  32. Taffesse, Alemayehu Seyoum, 1997. "Government policy and dynamic supply response: a study of the compulsory grain delivery system," MPRA Paper 18674, University Library of Munich, Germany.
  33. Luca Fanelli, 2010. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
  34. Kenneth Kasa, 1995. "Signal extraction and the propagation of business cycles," Working Papers in Applied Economic Theory 95-14, Federal Reserve Bank of San Francisco.
  35. Masao Ogaki & Bruce E. Hansen & Ippei Fujiwara & Hyeongwoo Kim, 2013. "Purchasing power parity and the Taylor rule," AJRC Working Papers 05, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
  36. Christiano, Lawrence J. & Eichenbaum, Martin, 1987. "Temporal aggregation and structural inference in macroeconomics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 26(1), pages 63-130, January.
  37. Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 441-467.
  38. Sherwin Rosen & Robert H. Topel, 1986. "A Time-Series Model of Housing Investment in the U.S," NBER Working Papers 1818, National Bureau of Economic Research, Inc.
  39. Thomas H. Turner & Charles H. Whiteman, 1981. "Econometric policy evaluation under rational expectations," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr / Sum.
  40. Richard Dennis, 2004. "New Keynesian Optimal-Policy Models: An Empirical Assessment," Royal Economic Society Annual Conference 2004 152, Royal Economic Society.
  41. Backus, David & Chernov, Mikhail & Zin, Stanley E., 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.
  42. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  43. Gregor W. Smith, 2007. "Pooling Forecasts in Linear Rational Expectations Models," Working Papers 1129, Queen's University, Department of Economics.
  44. Michel Normandin, 2004. "Econometric Inference, Cyclical Fluctuations, and Superior Information," Cahiers de recherche 04-13, HEC Montréal, Institut d'économie appliquée.
  45. Thomas C. Glaessner, 1982. "Formulation and estimation of a dynamic model of exchange rate determination: an application of general method of moments techniques," International Finance Discussion Papers 208, Board of Governors of the Federal Reserve System (U.S.).
  46. Virkola, Tuomo, 2014. "Exchange Rate Regime, Fiscal Foresight and the Effectiveness of Fiscal Policy in a Small Open Economy," ETLA Reports 20, The Research Institute of the Finnish Economy.
  47. Oleg Korenok, 2005. "Empirical Comparison of Sticky Price and Sticky Information Models," Working Papers 0501, VCU School of Business, Department of Economics.
  48. Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc.
  49. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series 2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  50. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Center for Economic Research (RECent) 008, University of Modena and Reggio E., Dept. of Economics.
  51. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
  52. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2005. "A critique of structural VARs using real business cycle theory," Working Papers 631, Federal Reserve Bank of Minneapolis.
  53. Wouter J. den Haan & Andrew T. Levin, 1995. "Inferences from parametric and non-parametric covariance matrix estimation procedures," International Finance Discussion Papers 504, Board of Governors of the Federal Reserve System (U.S.).
  54. Robert S. Chirinko, 1987. "Intertemporal Constraints, Shadow Prices, and Financial Asset Values," NBER Working Papers 2247, National Bureau of Economic Research, Inc.
  55. Yu, Xiangrong, 2013. "Measurement error and policy evaluation in the frequency domain," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 307-329.
  56. Julio J. Rotemberg & Michael Woodford, 1989. "Oligopolistic Pricing and the Effects of Aggregate Demand on Economic Activity," NBER Working Papers 3206, National Bureau of Economic Research, Inc.
  57. Hyeongwoo Kim, Ippei Fujiwara, Bruce E. Hansen, Masao Ogaki, 2013. "Purchasing power parity and the Taylor rule," AJRC Working Papers 1305, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
  58. Thomas J. Sargent, 1982. "Beyond demand and supply curves in macroeconomics," Staff Report 77, Federal Reserve Bank of Minneapolis.
  59. Kenneth Kasa, 1999. "Model uncertainty, robust policies, and the value of commitment," Working Paper Series 99-14, Federal Reserve Bank of San Francisco.
  60. Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2009. "Dynamic macroeconomic effects of public capital: evidence from regional Italian data," Temi di discussione (Economic working papers) 733, Bank of Italy, Economic Research and International Relations Area.
  61. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
  62. Bidarkota, Prasad V., 1998. "The comparative forecast performance of univariate and multivariate models: an application to real interest rate forecasting," International Journal of Forecasting, Elsevier, vol. 14(4), pages 457-468, December.
  63. Lars Peter Hansen & Thomas J. Sargent, 1990. "Recursive Linear Models of Dynamic Economies," NBER Working Papers 3479, National Bureau of Economic Research, Inc.
  64. Todd B. Walker, 2006. "How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders," Caepr Working Papers 2006-011, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  65. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.
  66. Walker, Todd B. & Whiteman, Charles H., 2007. "Multiple equilibria in a simple asset pricing model," Economics Letters, Elsevier, vol. 97(3), pages 191-196, December.
  67. Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis.
  68. Kevin D. Hoover & Oscar Jorda, . "Measuring Systematic Monetary Policy," Department of Economics 00-05, California Davis - Department of Economics.
  69. Quah, Danny, 1994. "One Business Cycle and One Trend from (Many) Many Disaggregates," CEPR Discussion Papers 873, C.E.P.R. Discussion Papers.
  70. Lee, Bong-Soo, 1996. "Comovements of earnings, dividends, and stock prices," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 327-346, December.
  71. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.
  72. Morley, James & Singh, Aarti, 2009. "Inventory Mistakes and the Great Moderation," Working Papers 2009-04, University of Sydney, School of Economics.
  73. Felipe Montt, 1982. "Un Modelo de Equilibrio Dinámico para Recursos Agotables," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 19(57), pages 217-242.
  74. Kano, Takashi, 2008. "A structural VAR approach to the intertemporal model of the current account," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 757-779, September.
  75. Nerlove, Marc & Fornari, Ilaria, 1998. "Quasi-rational expectations, an alternative to fully rational expectations: An application to US beef cattle supply," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 129-161.
  76. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
  77. Thomas J. Sargent, 1979. "Estimating vector autoregressions using methods not based on explicit economic theories," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum.
  78. Richard Dennis, 2008. "Timeless perspective policymaking: When is discretion superior?," Working Paper Series 2008-21, Federal Reserve Bank of San Francisco.
  79. Broze, L. & Gouriéroux, C. & Szafarz, A., 1986. "Bulles spéculatives et transmission d’information sur le marché d’un bien stockable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 62(2), pages 166-184, juin.
  80. Taub, B., 1997. "Optimal policy in a model of endogenous fluctuations and assets," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1669-1697, August.
  81. Marco M. Sorge, 2013. "On the Fundamentalness of Nonfundamentalness in DSGE Models," CSEF Working Papers 340, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  82. John H. Kareken, 1981. "Deregulating commercial banks: the watchword should be caution," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr / Sum.
  83. Huang, Yu-Lieh & Huang, Chao-Hsi & Kuan, Chung-Ming, 2008. "Reexamining the permanent income hypothesis with uncertainty in permanent and transitory innovation states," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1816-1836, December.
  84. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  85. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January.
  86. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
  87. Lakshmi K. Raut, 2005. "Firm's R & D Behavior Under Rational Expectations," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 40(2), pages 127-144, December.
  88. Darrell Duffie & Kenneth J. Singleton, 1990. "Simulated Moments Estimation of Markov Models of Asset Prices," NBER Technical Working Papers 0087, National Bureau of Economic Research, Inc.
  89. Peter N. Ireland, 2003. "Irrational expectations and econometric practice: discussion of Orphanides and Williams, "Inflation scares and forecast-based monetary policy"," Working Paper 2003-22, Federal Reserve Bank of Atlanta.
  90. Heckman, James J. & Humphries, John Eric & Veramendi, Gregory & Urzua, Sergio, 2014. "Education, Health and Wages," IZA Discussion Papers 8027, Institute for the Study of Labor (IZA).
  91. Francis X. Diebold, 1997. "The past, present, and future of macroeconomic forecasting," Working Papers 97-20, Federal Reserve Bank of Philadelphia.
  92. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
  93. Peter Woehrmann & Willi Semmler & Martin Lettau, . "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
  94. John S. Irons & N.Ericsson, . "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics.
  95. Hyeongwoo Kim & Masao Ogaki, 2011. "Purchasing Power Parity and the Taylor Rule," Auburn Economics Working Paper Series auwp2011-02, Department of Economics, Auburn University.
  96. Thomas C. Glaessner, 1982. "The modern theory of forward foreign exchange: some new consistent estimates under rational expectations," International Finance Discussion Papers 206, Board of Governors of the Federal Reserve System (U.S.).
  97. Hamilton, James D., 2002. "On the interpretation of cointegration in the linear-quadratic inventory model," Journal of Economic Dynamics and Control, Elsevier, vol. 26(12), pages 2037-2049, October.
  98. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  99. Mark A. Hooker, 1997. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Finance and Economics Discussion Series 1997-49, Board of Governors of the Federal Reserve System (U.S.).
  100. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 397-430, February.
  101. Joseph E. Gagnon, 1988. "Adjustment costs and international trade dynamics," International Finance Discussion Papers 321, Board of Governors of the Federal Reserve System (U.S.).
  102. James J. Heckman, 2000. "Causal Parameters And Policy Analysis In Economics: A Twentieth Century Retrospective," The Quarterly Journal of Economics, MIT Press, vol. 115(1), pages 45-97, February.
  103. Olivier J. Blanchard, 1983. "Methods of Solution and Simulation for Dynamic Rational Expectations Models," NBER Technical Working Papers 0028, National Bureau of Economic Research, Inc.
  104. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, School of Economics and Management, University of Aarhus.
  105. Thomas J. Sargent & Neil Wallace, 1985. "Identification and estimation of a model of hyperinflation with a continuum of "sunspot" equilibrium," Working Papers 280, Federal Reserve Bank of Minneapolis.
  106. Richard Dennis, 2006. "The policy preferences of the US Federal Reserve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 55-77.
  107. 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.
  108. Michel Normandin, 1996. "Budget Deficit Persistence and the Twin Deficits Hypothesis," Macroeconomics 9607001, EconWPA.
  109. Leon du Toit, 2009. "Economic Crises, Stabilisation Policy and Output in Emerging Market Economies," Working Papers 20/2009, Stellenbosch University, Department of Economics.
  110. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
  111. Tucci, Marco P., 1997. "Adaptive control in the presence of time-varying parameters," Journal of Economic Dynamics and Control, Elsevier, vol. 22(1), pages 39-47, November.
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  113. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008. "Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?," NBER Working Papers 14430, National Bureau of Economic Research, Inc.
  114. Tinsley, P A, 2002. "Rational Error Correction," Computational Economics, Society for Computational Economics, vol. 19(2), pages 197-225, April.
  115. Edilean Kleber da Silva & Marcelo Savino Portugal, 2010. "Central Bank Preferences And Monetary Rules Under The Inflation Targeting Regime In Brazil," Working Papers 07-2010, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
  116. West, Kenneth D., 1987. "A standard monetary model and the variability of the deutschemark-dollar exchange rate," Journal of International Economics, Elsevier, vol. 23(1-2), pages 57-76, August.
  117. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, School of Economics and Management, University of Aarhus.
  118. Hevia, Constantino & Serven, Luis, 2013. "Partial consumption insurance and financial openness across the world," Policy Research Working Paper Series 6479, The World Bank.
  119. Filippo Altissimo & Stefano Siviero & Daniele Terlizzese, 1999. "How deep are the deep parameters?," Temi di discussione (Economic working papers) 354, Bank of Italy, Economic Research and International Relations Area.
  120. Jeremy Rudd & Karl Whelan, 2001. "New tests of the New-Keynesian Phillips curve," Finance and Economics Discussion Series 2001-30, Board of Governors of the Federal Reserve System (U.S.).
  121. Patricio Arrau & Jorge Quiroz & Rómulo Chumacero, 1992. "Ahorro Fiscal y Tipo de Cambio Real," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 29(88), pages 349-386.
  122. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009. "On the dynamic implications of news shocks," Economics Letters, Elsevier, vol. 102(2), pages 96-98, February.
  123. Lars Peter Hansen & Thomas J. Sargent, 1981. "A note on Wiener-Kolmogorov prediction formulas for rational expectations models," Staff Report 69, Federal Reserve Bank of Minneapolis.
  124. Marco M. Sorge, 2010. "On the Empirical Separability of News Shocks and Sunspots," Notas Económicas, Faculdade de Economia, Universidade de Coimbra, issue 32, pages 44-55, December.
  125. Backus, David & Chernov, Mikhail & Zin, Stanley E., 2013. "Identifying Taylor rules in macro-finance models," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.
  126. Zaffaroni, Paolo, 2004. "Contemporaneous aggregation of linear dynamic models in large economies," Journal of Econometrics, Elsevier, vol. 120(1), pages 75-102, May.
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  128. Kasa, Kenneth, 1998. "Optimal policy with limited commitment," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 887-910, June.
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  130. Blanchard, Olivier J, 1983. "The Production and Inventory Behavior of the American Automobile Industry," Journal of Political Economy, University of Chicago Press, vol. 91(3), pages 365-400, June.
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  144. Matteo Barigozzi & Marco Capasso, 2008. "Nonfundamental Representations of the Relation between Technology Shocks and Hours Worked," LEM Papers Series 2008/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  145. Juselius, Mikael, 2008. "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(24), pages 1-26.
  146. Bennett T. McCallum, 1982. "Macroeconomics After a Decade of Rational Expectations: Some Critical Issues," NBER Working Papers 1050, National Bureau of Economic Research, Inc.
  147. Richard M. Todd, 1989. "Periodic linear-quadratic methods for modeling seasonality," Staff Report 127, Federal Reserve Bank of Minneapolis.
  148. Sbordone, Argia M., 2005. "Do expected future marginal costs drive inflation dynamics?," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1183-1197, September.
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  151. Strong, S.M., 1985. "Rational Expectations and Weekly Price Variations of the Queensland Mud Crab," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 53(03), December.
  152. Committee, Nobel Prize, 2011. "Thomas J. Sargent and Christopher A. Sims: Empirical Macroeconomics," Nobel Prize in Economics documents 2011-2, Nobel Prize Committee.
  153. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
  154. Franchi, Massimo & Vidotto, Anna, 2013. "A check for finite order VAR representations of DSGE models," Economics Letters, Elsevier, vol. 120(1), pages 100-103.
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