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Evaluating the information matrix in linearized DSGE models

  • Iskrev, Nikolay

In this note we show how the stochastic general equilibrium (DSGE) models can be evaluated analytically. The result is useful for the estimation and identification analysis of such models.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4PWF0GH-1/1/15c4c8589d10024e9b31f9c6b92c8ac7
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 3 (June)
Pages: 607-610

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Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:607-610
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 0722, European Central Bank.
  2. Fabio Canova & Luca Sala, 2007. "Back to square one: identification issues in DSGE models," Banco de Espa�a Working Papers 0715, Banco de Espa�a.
  3. Peter A. Zadrozny, 1988. "Analytic Derivatives for Estimation of Linear Dynamic Models," Working Papers 88-5, Center for Economic Studies, U.S. Census Bureau.
  4. Sims, Christopher A, 2002. "Solving Linear Rational Expectations Models," Computational Economics, Society for Computational Economics, vol. 20(1-2), pages 1-20, October.
  5. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
  6. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
  7. André Klein & Guy Melard & Toufik Zahaf, 2000. "Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules," ULB Institutional Repository 2013/13742, ULB -- Universite Libre de Bruxelles.
  8. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-91, May.
  9. Thomas J. Rothenberg, 1966. "Efficient Estimation with a priori Information: A Classical Approach," Cowles Foundation Discussion Papers 205, Cowles Foundation for Research in Economics, Yale University.
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