DSGE Model Estimation on the Basis of Second-Order Approximation
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References listed on IDEAS
- Tovar, Camilo Ernesto, 2009. "DSGE Models and Central Banks," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 3, pages 1-31.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Robert Kollmann, 2015.
"Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning,"
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.
- 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
KeywordsDSGE; QKF; CDKF; UKF; Quadratic approximation; Kalman filtering; C13; C32; E32;
- 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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