Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
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DOI: 10.1016/j.econlet.2015.05.024
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Citations
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Cited by:
- Alexander Meyer-Gohde & Daniel Neuhoff, 2015.
"Generalized Exogenous Processes in DSGE: A Bayesian Approach,"
SFB 649 Discussion Papers
SFB649DP2015-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Meyer-Gohde, Alexander & Neuhoff, Daniel, 2018. "Generalized exogenous processes in DSGE: A Bayesian approach," IMFS Working Paper Series 125, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Morris, Stephen D., 2016. "VARMA representation of DSGE models," Economics Letters, Elsevier, vol. 138(C), pages 30-33.
More about this item
Keywords
DSGE models; ARMA; VAR; Likelihood function;JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
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