DSGE Model Estimation on the Basis of Second-Order Approximation
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DOI: 10.1007/s10614-013-9363-1
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- Sergey Ivashchenko, 2011. "DSGE Model Estimation on Base of Second Order Approximation," EUSP Department of Economics Working Paper Series 2011/07, European University at St. Petersburg, Department of Economics.
References listed on IDEAS
- Tovar, Camilo Ernesto, 2009.
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Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 3, pages 1-31.
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- Adjemian, Stéphane & Bastani, Houtan & Juillard, Michel & Karamé, Fréderic & Maih, Junior & Mihoubi, Ferhat & Mutschler, Willi & Perendia, George & Pfeifer, Johannes & Ratto, Marco & Villemot, Sébasti, 2011. "Dynare: Reference Manual Version 4," Dynare Working Papers 1, CEPREMAP, revised Nov 2020.
- Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, Department of Economics and Business Economics, Aarhus University.
Citations
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Cited by:
- Robert Kollmann, 2015.
"Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning,"
Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 239-260, February.
- Robert Kollmann, 2014. "Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning," ULB Institutional Repository 2013/250061, ULB -- Universite Libre de Bruxelles.
- Sergey Ivashchenko, 2014. "Forecasting in a Non-Linear DSGE Model," EUSP Department of Economics Working Paper Series 2014/02, European University at St. Petersburg, Department of Economics.
- Benchimol, Jonathan & Ivashchenko, Sergey, 2021.
"Switching volatility in a nonlinear open economy,"
Journal of International Money and Finance, Elsevier, vol. 110(C).
- Benchimol, Jonathan & Ivashchenko, Sergey, 2020. "Switching Volatility in a Nonlinear Open Economy," Dynare Working Papers 60, CEPREMAP.
- Jonathan Benchimol & Sergey Ivashchenko, 2020. "Switching Volatility in a Nonlinear Open Economy," CFDS Discussion Paper Series 2020/8, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
- Jonathan Benchimol & Sergey Ivashchenko, 2020. "Switching Volatility in a Nonlinear Open Economy," Bank of Israel Working Papers 2020.04, Bank of Israel.
- Jonathan Benchimol & Sergey Ivashchenko, 2020. "Switching Volatility in a Nonlinear Open Economy," Globalization Institute Working Papers 386, Federal Reserve Bank of Dallas, revised 28 May 2020.
- Sergey Ivashchenko & Semih Emre Çekin & Kevin Kotzé & Rangan Gupta, 2020.
"Forecasting with Second-Order Approximations and Markov-Switching DSGE Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 747-771, December.
- Sergey Ivashchenko & Semih Emre Çekin & Kevin Kotzé & Rangan Gupta, 2018. "Forecasting with Second-Order Approximations and Markov Switching DSGE Models," Working Papers 201862, University of Pretoria, Department of Economics.
- Sergey Ivashchenko & Semih Emre Cekin & Kevin Kotze & Rangan Gupta, 2018. "Forecasting with second-order approximations and Markov-switching DSGE models," School of Economics Macroeconomic Discussion Paper Series 2018-10, School of Economics, University of Cape Town.
- Mutschler, Willi, 2015.
"Identification of DSGE models—The effect of higher-order approximation and pruning,"
Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 34-54.
- Willi Mutschler, 2014. "Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning," CQE Working Papers 3314, Center for Quantitative Economics (CQE), University of Muenster.
- Sergey Ivashchenko, 2014. "Forecasting in a Non-Linear DSGE Model," EUSP Department of Economics Working Paper Series Ec-02/14, European University at St. Petersburg, Department of Economics.
- Robert Kollmann, 2016.
"Tractable Likelihood-Based Estimation of Non-Linear DSGE Models Using Higher-Order Approximations,"
Working Papers ECARES
ECARES 2016-15, ULB -- Universite Libre de Bruxelles.
- Kollmann, Robert, 2016. "Tractable Likelihood-Based Estimation of Non-Linear DSGE Models Using Higher-Order Approximations," MPRA Paper 70350, University Library of Munich, Germany.
More about this item
Keywords
DSGE; QKF; CDKF; UKF; Quadratic approximation; Kalman filtering; C13; C32; E32;JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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