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Frank Schorfheide

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. S. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP Measurement: A Forecast Combination Perspective," NBER Working Papers 17421, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Better GDP estimates
      by Economic Logician in Economic Logic on 2011-10-12 19:28:00
  2. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.

    Mentioned in:

    1. What caused the Great Recession ?
      by Robert in Robert's Stochastic Thoughts on 2015-11-24 03:41:00
  3. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2011. "Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters," RCER Working Papers 566, University of Rochester - Center for Economic Research (RCER).

    Mentioned in:

    1. Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters
      by Christian Zimmermann in NEP-DGE blog on 2011-10-03 18:18:34
  4. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," RCER Working Papers 556, University of Rochester - Center for Economic Research (RCER).

    Mentioned in:

    1. Labor-Market Heterogeneity, Aggregation, and the Lucas Critique
      by Christian Zimmermann in NEP-DGE blog on 2010-10-08 08:16:08
  5. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Mentioned in:

    1. Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
      by Christian Zimmermann in NEP-DGE blog on 2014-11-05 21:21:13
  6. Schorfheide, Frank & An, Sungbae, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.

    Mentioned in:

    1. Buiter, good macro critic?
      by pushmedia1 in The Ambrosini Critique on 2009-03-04 10:59:20
    2. The Statistical Implications of Common Identifying Restrictions for DSGE Models
      by Christian Zimmermann in NEP-DGE blog on 2015-02-05 22:29:18
  7. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.

    Mentioned in:

    1. The Phillips Curve and Inflation
      by thebusinesscycleblog in The business cycle blog on 2016-05-21 23:08:29
  8. Cristina Fuentes-Albero & Maxym Kryshko & José-Víctor Ríos-Rull & Raul Santaeulalia-Llopis & Frank Schorfheide, 2009. "Methods versus substance: measuring the effects of technology shocks on hours," Staff Report 433, Federal Reserve Bank of Minneapolis.

    Mentioned in:

    1. Technology shocks and hours: it is the identification, stupid!
      by Economic Logician in Economic Logic on 2009-10-13 19:05:00
  9. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.

    Mentioned in:

    1. Buiter, good macro critic?
      by pushmedia1 in The Ambrosini Critique on 2009-03-04 10:59:20
    2. The Statistical Implications of Common Identifying Restrictions for DSGE Models
      by Christian Zimmermann in NEP-DGE blog on 2015-02-05 22:29:18
  10. Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016. "Improving GDP measurement: A measurement-error perspective," Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.

    Mentioned in:

    1. Is the economy growing? Depends on how you measure it : GDP vs. GDI
      by ? in FRED blog on 2022-09-01 13:00:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Consequences > Macroeconomic
  2. Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016. "Dynamic prediction pools: An investigation of financial frictions and forecasting performance," Journal of Econometrics, Elsevier, vol. 192(2), pages 391-405.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  3. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
  4. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Health > Measurement
  5. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  6. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2007. "On the Fit of New Keynesian Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 123-143, April.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
    2. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  7. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
    2. > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)
  8. Edward P. Herbst & Frank Schorfheide, 2016. "Bayesian Estimation of DSGE Models," Economics Books, Princeton University Press, edition 1, number 10612, December.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
  9. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)
  10. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
  11. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Solution Methods for DSGE models

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. S Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2018. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 87-118.

    Mentioned in:

    1. Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries (REStud 2018) in ReplicationWiki ()
  2. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.

    Mentioned in:

    1. Inflation in the Great Recession and New Keynesian Models (AEJ:MA 2015) in ReplicationWiki ()
  3. Yongsung Chang & Joao F. Gomes & Frank Schorfheide, 2002. "Learning-by-Doing as a Propagation Mechanism," American Economic Review, American Economic Association, vol. 92(5), pages 1498-1520, December.

    Mentioned in:

    1. Learning-by-Doing as a Propagation Mechanism (AER 2002) in ReplicationWiki ()
  4. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.

    Mentioned in:

    1. Loss function-based evaluation of DSGE models (Journal of Applied Econometrics 2000) in ReplicationWiki ()
  5. S. Boragan Aruoba & Frank Schorfheide, 2011. "Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(1), pages 60-90, January.

    Mentioned in:

    1. Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs (AEJ:MA 2011) in ReplicationWiki ()

Working papers

  1. Xu Cheng & Sheng Chao Ho & Frank Schorfheide, 2025. "Optimal Estimation of Two-Way Effects under Limited Mobility," Papers 2506.21987, arXiv.org.

    Cited by:

    1. Stephane Bonhomme & Elena Manresa & Thibaut Lamadon, 2026. "A Users' Guide to Uncovering Worker and Firm Effects: The ABC of AKM," Papers 2603.17034, arXiv.org, revised Apr 2026.

  2. Oriol Gonz'alez-Casas'us & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," Papers 2502.03693, arXiv.org.

    Cited by:

    1. Christiane Baumeister, 2025. "Comment on "Local Projections or VARs? A Primer for Macroeconomists"," NBER Chapters, in: NBER Macroeconomics Annual 2025, volume 40, National Bureau of Economic Research, Inc.
    2. De Graeve, Ferre & Westermark, Andreas, 2025. "Long-lag VARs," Journal of Monetary Economics, Elsevier, vol. 156(C).
    3. Aleksei Nemtyrev & Otilia Boldea, 2026. "Targeted Local Projections," Papers 2603.00248, arXiv.org.

  3. Minsu Chang & Frank Schorfheide, 2024. "On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity," NBER Working Papers 32166, National Bureau of Economic Research, Inc.

    Cited by:

    1. Klopack, Ben & Luco, Fernando, 2025. "JUE Insight: Measuring local consumption with payment cards and cell phone pings," Journal of Urban Economics, Elsevier, vol. 149(C).
    2. Florian Huber & Massimiliano Marcellino & Tommaso Tornese, 2024. "The Distributional Effects of Economic Uncertainty," Papers 2411.12655, arXiv.org.
    3. Elton Beqiraj & Stefano Di Bucchianico & Mario Di Serio & Michele Raitano, 2026. "The effects of monetary policy shocks on wage inequality: evidence from Italy," Working Papers in Public Economics 270, Department of Economics and Law, Sapienza University of Rome.

  4. Xu Cheng & Frank Schorfheide & Peng Shao, 2023. "Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation," PIER Working Paper Archive 23-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Oguzhan Akgun & Ryo Okui, 2025. "Robust Inference Methods for Latent Group Panel Models under Possible Group Non-Separation," Papers 2511.18550, arXiv.org.
    2. Han, Qingyang, 2024. "Estimating labor market monopsony power from a forward-looking perspective," Economics Letters, Elsevier, vol. 244(C).

  5. Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2022. "Optimal Decision Rules when Payoffs are Partially Identified," Papers 2204.11748, arXiv.org, revised Dec 2025.

    Cited by:

    1. Gyungbae Park, 2024. "Debiased Machine Learning when Nuisance Parameters Appear in Indicator Functions," Papers 2403.15934, arXiv.org, revised Mar 2025.
    2. Toru Kitagawa & Sokbae Lee & Chen Qiu, 2023. "Treatment choice, mean square regret and partial identification," The Japanese Economic Review, Springer, vol. 74(4), pages 573-602, October.

  6. Marko Mlikota & Frank Schorfheide, 2022. "Sequential Monte Carlo With Model Tempering," Papers 2202.07070, arXiv.org.

    Cited by:

    1. Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Jan 2026.

  7. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2021. "Forecasting with a Panel Tobit Model," Papers 2110.14117, arXiv.org, revised Jul 2022.

    Cited by:

    1. Chen, Mo & Xue, Wei-Xian & Zhao, Xin-Xin & Chang, Chun-Ping & Liu, Xiaoxia, 2024. "The impact of economic sanctions on the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 163-174.
    2. Timothy B. Armstrong & Michal Kolesár & Mikkel Plagborg-Møller, 2022. "Robust Empirical Bayes Confidence Intervals," Working Papers 2022-27, Princeton University. Economics Department..
    3. Hyeongwoo Kim & Jisoo Son, 2024. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," Auburn Economics Working Paper Series auwp2024-01, Department of Economics, Auburn University.
    4. Kim, Dohan, 2025. "The Asymmetric Bank Distress Amplifier of Recessions," Policy Research Working Paper Series 11170, The World Bank.
    5. Bykhovskaya, Anna & Duffy, James A., 2024. "The local to unity dynamic Tobit model," Journal of Econometrics, Elsevier, vol. 241(2).
    6. Anna Bykhovskaya & James A. Duffy, 2025. "Estimation of a Dynamic Tobit Model with a Unit Root," Papers 2512.12110, arXiv.org.
    7. Timmermann, Allan & Zhu, Yinchu, 2019. "Comparing Forecasting Performance with Panel Data," CEPR Discussion Papers 13746, C.E.P.R. Discussion Papers.
    8. Boyuan Zhang, 2020. "Forecasting with Bayesian Grouped Random Effects in Panel Data," Papers 2007.02435, arXiv.org, revised Oct 2020.
    9. Antonio Pacifico, 2023. "Obesity and labour market outcomes in Italy: a dynamic panel data evidence with correlated random effects," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 24(4), pages 557-574, June.
    10. Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2023. "Comparing forecasting performance in cross-sections," Journal of Econometrics, Elsevier, vol. 237(2).
    11. Anna Bykhovskaya & James A. Duffy, 2022. "The Local to Unity Dynamic Tobit Model," Papers 2210.02599, arXiv.org, revised May 2024.
    12. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
    13. Xin Sheng & Rangan Gupta & Qiang Ji, 2020. "Forecasting Charge-Off Rates with a Panel Tobit Model: The Role of Uncertainty," Working Papers 202092, University of Pretoria, Department of Economics.
    14. Zuoxiang Zhao & Hongjun Sun & Ding Han & Qiuyun Zhao, 2023. "Development strategy, technological progress, and regional environmental performance: empirical evidence from China," Economic Change and Restructuring, Springer, vol. 56(5), pages 3701-3732, October.
    15. Brezigar-Masten, Arjana & Masten, Igor & Volk, Matjaž, 2021. "Modelin-g credit risk with a Tobit model of days past due," Journal of Banking & Finance, Elsevier, vol. 122(C).
    16. Kim, Dohan & Sohn, Wook, 2024. "Loan growth and quality over the credit cycle," International Review of Economics & Finance, Elsevier, vol. 95(C).
    17. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," NBER Working Papers 26569, National Bureau of Economic Research, Inc.
    18. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Sep 2025.
    19. Antonio Pacifico, 2025. "High-Dimensional Dynamic Panel with Correlated Random Effects: A Semiparametric Hierarchical Empirical Bayes Approach," Computational Economics, Springer;Society for Computational Economics, vol. 66(1), pages 869-902, July.

  8. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.

    Cited by:

    1. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2025. "Informing DSGE Models Through Dynamic Factor Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(5), pages 487-507, August.
    2. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
    3. Duffy, James A. & Mavroeidis, Sophocles & Wycherley, Sam, 2025. "Cointegration with occasionally binding constraints," Journal of Econometrics, Elsevier, vol. 252(PA).
    4. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Tinbergen Institute Discussion Papers 24-030/III, Tinbergen Institute.
    5. Hakan Yilmazkuday, 2024. "Geopolitical Risks and Energy Uncertainty: Implications for Global and Domestic Energy Prices," Working Papers 2413, Florida International University, Department of Economics.
    6. James A. Duffy & Sophocles Mavroeidis, 2024. "Common Trends and Long-Run Identification in Nonlinear Structural VARs," Papers 2404.05349, arXiv.org, revised Sep 2024.
    7. Yoosoon Chang & Steven N. Durlauf & Bo Hu & Joon Y. Park, 2024. "Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility," Working Papers No 03/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    8. Bykhovskaya, Anna & Duffy, James A., 2024. "The local to unity dynamic Tobit model," Journal of Econometrics, Elsevier, vol. 241(2).
    9. Dubbert, Tore & Kempa, Bernd, 2024. "Nowcasting the output gap with shadow rates," Economics Letters, Elsevier, vol. 236(C).
    10. Pablo Guerron-Quintana & Alexey Khazanov & Molin Zhong, 2026. "A Nonlinear Dynamic Factor Model for Financial and Macroeconomic Data," Boston College Working Papers in Economics 1106, Boston College Department of Economics.
    11. Anna Bykhovskaya & James A. Duffy, 2025. "Estimation of a Dynamic Tobit Model with a Unit Root," Papers 2512.12110, arXiv.org.
    12. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
    13. Kirstin Hubrich & Daniel F. Waggoner, 2022. "The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime-Switching Framework," FRB Atlanta Working Paper 2022-5, Federal Reserve Bank of Atlanta.
    14. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K van Dijk, 2024. "Asymmetric Gradualism in US Monetary Policy," Tinbergen Institute Discussion Papers 24-074/III, Tinbergen Institute.
    15. Gargiulo, Valeria & Matthes, Christian & Petrova, Katerina, 2025. "Monetary policy across inflation regimes," European Economic Review, Elsevier, vol. 178(C).
    16. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    17. Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).
    18. Pooyan Amir-Ahmadi & Marko Mlikota & Dalibor Stevanovi'c, 2025. "Origins and Nature of Macroeconomic Instability in Vector Autoregressions," Papers 2512.20152, arXiv.org.
    19. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
    20. D’Amico, Stefania & King, Thomas B., 2023. "What does anticipated monetary policy do?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 123-139.
    21. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    22. James Dean & Scott Schuh, 2026. "From Conventional to Unconventional Monetary Policy: Is the Taylor Rule an Adequate Representation in Macro Models?," Empirical Economics, Springer, vol. 70(2), pages 1-48, February.
    23. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 96-120, July.

  9. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Online Appendices 20-14, Review of Economic Dynamics.

    Cited by:

    1. Hecker, Dominik & Wolters, Maik H., 2025. "Nonlinear estimation of a New Keynesian model with endogenous inflation de-anchoring," IMFS Working Paper Series 222, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    2. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
    3. Wen, Jianghui & Hong, Lijiang & Dai, Min & Xiao, Xinping & Wu, Chaozhong, 2023. "A stochastic model for stop-and-go phenomenon in traffic oscillation: On the prospective of macro and micro traffic flow," Applied Mathematics and Computation, Elsevier, vol. 440(C).
    4. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    5. Duffy, James A. & Mavroeidis, Sophocles & Wycherley, Sam, 2025. "Cointegration with occasionally binding constraints," Journal of Econometrics, Elsevier, vol. 252(PA).
    6. Dominik Hecker & Maik Wolters & Maik H. Wolters, 2025. "Nonlinear Estimation of a New Keynesian Model with Endogenous Inflation De-Anchoring," CESifo Working Paper Series 12280, CESifo.
    7. Loick Dubois & Jean-Guillaume Sahuc & Gauthier Vermandel, 2024. "A General Equilibrium Approach to Carbon Permit Banking," Working papers 971, Banque de France.
    8. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2022. "Testing the effectiveness of unconventional monetary policy in Japan and the United States," BCAM Working Papers 2205, Birkbeck Centre for Applied Macroeconomics.
    9. Kase, Hanno & Melosi, Leonardo & Rottner, Matthias, 2024. "Estimating Nonlinear Heterogeneous Agent Models with Neural Networks," The Warwick Economics Research Paper Series (TWERPS) 1499, University of Warwick, Department of Economics.
    10. Weale, Martin & Wieladek, Tomasz, 2025. "What are the macroeconomic effects of state-dependent forward guidance?," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
    11. Rottner, Matthias, 2023. "Financial crises and shadow banks: A quantitative analysis," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 74-92.
    12. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).
    13. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," CREATES Research Papers 2021-08, Department of Economics and Business Economics, Aarhus University.
    14. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
    15. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2025. "Forecasting with shadow rate VARs," Quantitative Economics, Econometric Society, vol. 16(3), pages 795-822, July.
    16. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    17. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    18. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
    19. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
    20. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.

  10. Schorfheide, Frank & Chang, Minsu & Chen, Xiaohong, 2021. "Heterogeneity and Aggregate Fluctuations," CEPR Discussion Papers 16183, C.E.P.R. Discussion Papers.

    Cited by:

    1. Hilde C. Bjornland & Yoosoon Chang & Jamie L. Cross, 2024. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAEPR Working Papers 2023-005 Classification-1, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    2. Matthew D. Cocci & Mikkel Plagborg-M{o}ller, 2021. "Standard Errors for Calibrated Parameters," Papers 2109.08109, arXiv.org, revised Jun 2024.
    3. Denis Koshelev & Alexey Ponomarenko & Sergei Seleznev, 2023. "Amortized neural networks for agent-based model forecasting," Papers 2308.05753, arXiv.org.
    4. Dong, Chaohua & Chen, Rong & Xiao, Zhijie & Liu, Weiyi, 2024. "Functional quantile autoregression," Journal of Econometrics, Elsevier, vol. 244(2).
    5. Matthew D. Cocci & Mikkel Plagborg-Møller, 2021. "Standard Errors for Calibrated Parameters," Working Papers 2021-20, Princeton University. Economics Department..
    6. Stephanie Ettmeier, 2022. "No Taxation without Reallocation: The Distributional Effects of Tax Changes," Discussion Papers of DIW Berlin 2022, DIW Berlin, German Institute for Economic Research.
    7. Pesce, Simone & Errico, Marco & Pollio, Luigi, 2025. "Nonlinearities and heterogeneity in firms response to aggregate fluctuations: what can we learn from machine learning?," Working Paper Series 3107, European Central Bank.
    8. Yoosoon Chang & Soyoung Kim & Joon Park, 2025. "How Do Macroaggregates and Income Distribution Interact Dynamically? A Novel Structural Mixed Autoregression with Aggregate and Functional Variables," CAEPR Working Papers 2025-002 Classification- , Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    9. Laura Liu & Mikkel Plagborg‐Møller, 2023. "Full‐information estimation of heterogeneous agent models using macro and micro data," Quantitative Economics, Econometric Society, vol. 14(1), pages 1-35, January.
    10. Yoosoon Chang & Ana María Herrera & Elena Pesavento, 2023. "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," Working Papers No 02/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    11. Marcella Lucchetta, 2025. "Bank Heterogeneity and Crisis Migration: A General Equilibrium Analysis of Systemic Risk," Working Papers 2025: 05, Department of Economics, University of Venice "Ca' Foscari".
    12. Zheng Gong, 2025. "When Does Household Heterogeneity Matter for Aggregate Fluctuations?," CRC TR 224 Discussion Paper Series crctr224_2025_624v2, University of Bonn and University of Mannheim, Germany, revised Sep 2025.
    13. Won-Ki Seo & Dakyung Seong, 2025. "Functional Linear Projection and Impulse Response Analysis," Papers 2503.08364, arXiv.org, revised Apr 2025.
    14. Bilbiie, F. & Primiceri, G. E. & Tambalotti, A., 2022. "Inequality and Business Cycles," Cambridge Working Papers in Economics 2275, Faculty of Economics, University of Cambridge.
    15. Laura Liu & Mikkel Plagborg-Møller, 2022. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Working Papers 2022-21, Princeton University. Economics Department..
    16. Yoosoon Chang & Yongok Choi & Chang Sik Kim & J. Isaac Miller & Joon Y. Park, 2024. "Common Trends and Country Specific Heterogeneities in Long-Run World Energy Consumption," Working Papers No 01/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    17. Sven Otto & Luis Winter, 2025. "Functional Factor Regression with an Application to Electricity Price Curve Modeling," Papers 2503.12611, arXiv.org, revised Aug 2025.
    18. Yoosoon Chang & Fabio Gomez-Rodriguez & Christian Matthes, 2023. "The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve," CAEPR Working Papers 2023-008 Classification-E, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    19. Gary Koop & Stuart McIntyre & James Mitchell & Ping Wu, 2026. "Incorporating Micro Data into Macro Models Using Pseudo VARs," Working Papers 26-04, Federal Reserve Bank of Cleveland.
    20. Yoosoon Chang & J. Isaac Miller & Joon K. Park, 2024. "Shocking Climate: Identifying Economic Damages from Anthropogenic and Natural Climate Change," CAEPR Working Papers 2024-007 Classification-E, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.

  11. Schorfheide, Frank & Song, Dongho, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.

    Cited by:

    1. Valentina Aprigliano & Alessandro Borin & Francesco Paolo Conteduca & Simone Emiliozzi & Marco Flaccadoro & Sabina Marchetti & Stefania Villa, 2021. "Forecasting Italian GDP growth with epidemiological data," Questioni di Economia e Finanza (Occasional Papers) 664, Bank of Italy, Economic Research and International Relations Area.
    2. Christiane Baumeister & Pierre Guérin, 2020. "A Comparison of Monthly Global Indicators for Forecasting Growth," CESifo Working Paper Series 8656, CESifo.
    3. Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
    4. Chen, Zhengyang & Valcarcel, Victor J., 2025. "Modeling inflation expectations in forward-looking interest rate and money growth rules," Journal of Economic Dynamics and Control, Elsevier, vol. 170(C).
    5. Arroyo Marioli,Francisco & Khadan,Jeetendra & Ohnsorge,Franziska Lieselotte & Yamazaki,Takefumi, 2023. "Forecasting Industrial Commodity Prices : Literature Review and a Model Suite," Policy Research Working Paper Series 10611, The World Bank.
    6. Marcellino, Massimiliano & Foroni, Claudia & Stevanovic, Dalibor, 2020. "Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis," CEPR Discussion Papers 15114, C.E.P.R. Discussion Papers.
    7. Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
    8. Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023. "Lessons from Nowcasting GDP across the World," International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System (U.S.).
    9. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    10. Serena Ng, 2021. "Modeling Macroeconomic Variations After COVID-19," Papers 2103.02732, arXiv.org, revised Jul 2021.
    11. Berger, Tino & Morley, James & Wong, Benjamin, 2023. "Nowcasting the output gap," Journal of Econometrics, Elsevier, vol. 232(1), pages 18-34.
      • Tino Berger & James Morley & Benjamin Wong, 2020. "Nowcasting the Output Gap," CAMA Working Papers 2020-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    12. Marcellino, Massimiliano & Clark, Todd & Carriero, Andrea & Mertens, Elmar, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," CEPR Discussion Papers 15964, C.E.P.R. Discussion Papers.
    13. Demetrescu, Matei & Kruse-Becher, Robinson, 2025. "Is U.S. real output growth non-normal? A tale of time-varying location and scale," Journal of Economic Dynamics and Control, Elsevier, vol. 171(C).
    14. Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
    15. Banco de Mexico, 2025. "Monetary policy transmission in Mexico: an overview and banking channels insights using granular data," BIS Papers chapters, in: Bank for International Settlements (ed.), How can central banks take account of differences across households and firms for monetary policy?, volume 127, pages 195-224, Bank for International Settlements.
    16. Cláudia Duarte & José R. Maria & Sharmin Sazedj, 2025. "The business cycle of the Portuguese economy in the post-pandemic period," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    17. Varga, Katalin & Szendrei, Tibor, 2025. "Non-stationary financial risk factors and macroeconomic vulnerability for the UK," International Review of Financial Analysis, Elsevier, vol. 97(C).
    18. Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2023. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
    19. Vito Polito & Yunyi Zhang, 2021. "Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression," CESifo Working Paper Series 9395, CESifo.
    20. Larson, William D. & Sinclair, Tara M., 2022. "Nowcasting unemployment insurance claims in the time of COVID-19," International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
    21. Evgenidis, Anastasios & Fasianos, Apostolos, 2023. "Modelling monetary policy’s impact on labour markets under Covid-19," Economics Letters, Elsevier, vol. 230(C).
    22. Sailesh Bhaghoe & Gavin Ooft, 2021. "Nowcasting Quarterly GDP Growth in Suriname with Factor-MIDAS and Mixed-Frequency VAR Models," Studies in Applied Economics 176, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    23. Hwee Kwan Chow & Keen Meng Choy, 2023. "Economic forecasting in a pandemic: some evidence from Singapore," Empirical Economics, Springer, vol. 64(5), pages 2105-2124, May.
    24. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?," LIDAM Discussion Papers LFIN 2021002, Université catholique de Louvain, Louvain Finance (LFIN).
    25. Marco Flaccadoro, 2024. "The recent weakness in the German manufacturing sector," Questioni di Economia e Finanza (Occasional Papers) 902, Bank of Italy, Economic Research and International Relations Area.
    26. Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
    27. Zeynep Kantur & Gülserim Özcan, 2022. "Dissecting Turkish inflation: theory, fact, and illusion," Economic Change and Restructuring, Springer, vol. 55(3), pages 1543-1553, August.
    28. Afonso S. Moura & Gergely Buda & Vasco M. Carvalho & Giancarlo Corsetti & João B. Duarte & Stephen Hansen & Álvaro Ortiz & Tomasa Rodrigo & José V. Rodríguez Mora & Guilherme Alves da Silva, 2025. "The Short Lags of Monetary Policy," Working Papers w202501, Banco de Portugal, Economics and Research Department.
    29. John O’Trakoun, 2022. "Business forecasting during the pandemic," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 57(3), pages 95-110, July.
    30. Cotter, John & Hallam, Mark & Yilmaz, Kamil, 2023. "Macro-financial spillovers," Journal of International Money and Finance, Elsevier, vol. 133(C).
    31. Ramis Khabibullin & Sergei Seleznev, 2022. "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Papers 2210.07154, arXiv.org.
    32. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
    33. Martin Ertl & Ines Fortin & Jaroslava Hlouskova & Sebastian P. Koch & Robert M. Kunst & Leopold Sögner, 2025. "Inflation forecasting in turbulent times," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 52(1), pages 5-37, February.
    34. Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
    35. Kerry Loaiza-Marín, 2022. "Nowcasting the Costa Rican Quarterly Output Growth," Documentos de Trabajo 2107, Banco Central de Costa Rica.
    36. Paul Ho, 2021. "Forecasting in the Absence of Precedent," Working Paper 21-10, Federal Reserve Bank of Richmond.
    37. Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
    38. Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
    39. Guillermo Verduzco-Bustos & Francesco Zanetti, 2026. "The Effects of Geopolitical Oil Price Shocks," CESifo Working Paper Series 12606, CESifo.
    40. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    41. Lin, Jiahe & Michailidis, George, 2024. "A multi-task encoder-dual-decoder framework for mixed frequency data prediction," International Journal of Forecasting, Elsevier, vol. 40(3), pages 942-957.
    42. Cardani, Roberta & Croitorov, Olga & Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco & Vogel, Lukas, 2022. "The euro area’s pandemic recession: A DSGE-based interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    43. Zhang, Wen, 2022. "China’s government spending and global inflation dynamics: The role of the oil price channel," Energy Economics, Elsevier, vol. 110(C).
    44. Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
    45. Júlio, Paulo & Maria, José R., 2024. "Trends and cycles during the COVID-19 pandemic period," Economic Modelling, Elsevier, vol. 139(C).
    46. Drin, Svitlana & Zhuravlova, Anastasiia, 2026. "Real-Time Nowcasting of Kyiv’s Regional GRP Using Google Trends and Mixed-Frequency Data," Working Papers 2026:1, Örebro University, School of Business.
    47. Gergely Buda & Vasco M. Carvalho & Giancarlo Corsetti & João Duarte & Stephen Hansen & Afonso Pereira da Silva & Alvaro Ortiz & Tomasa Rodrigo & Guilherme Alves da Silva & José V. Rodríguez Mora, 2025. "España | Los cortos retardos de la política monetaria [Spain | The Short Lags of Monetary Policy]," Working Papers 25/02, BBVA Bank, Economic Research Department.
    48. Durand, Luigi & Fornero, Jorge Alberto, 2024. "Estimating the output gap in times of COVID-19," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(4).
    49. Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," Working Papers 20-26, Federal Reserve Bank of Philadelphia.
    50. Boriss Siliverstovs, 2021. "Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth," Working Papers 2021/01, Latvijas Banka.
    51. Metiu, Norbert & Prieto, Esteban, 2023. "The macroeconomic effects of inflation uncertainty," Discussion Papers 32/2023, Deutsche Bundesbank.
    52. James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020. "Reconciled Estimates of Monthly GDP in the US," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
    53. Jairo Flores & Bruno Gonzaga & Walter Ruelas-Huanca & Juan Tang, 2025. "Nowcasting Peru's GDP with Machine Learning Methods," IHEID Working Papers 01-2025, Economics Section, The Graduate Institute of International Studies.
    54. Metiu, Norbert & Prieto, Esteban, 2025. "Time-varying stock return correlation, news shocks, and business cycles," European Economic Review, Elsevier, vol. 172(C).
    55. Danilo Cascaldi-Garcia, 2022. "Pandemic Priors," International Finance Discussion Papers 1352, Board of Governors of the Federal Reserve System (U.S.).
    56. Antonio Musa, 2022. "Nowcasting Bosnia and Herzegovina GDP in Real Time," IHEID Working Papers 08-2022, Economics Section, The Graduate Institute of International Studies.
    57. Diego Fresoli, 2024. "Spanish GDP short-term point and density forecasting using a mixed-frequency dynamic factor model," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 15(2), pages 145-177, June.
    58. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
    59. BBVA Research, 2025. "España | Los breves desfases de la Política Monetaria [Spain | The Short Lags of Monetary Policy]," Working Papers 25/08, BBVA Bank, Economic Research Department.
    60. Thomas B Götz & Klemens Hauzenberger, 2021. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 442-461.
    61. Fève, Patrick & Moura, Alban, 2025. "Measuring business cycles using vars," TSE Working Papers 25-1673, Toulouse School of Economics (TSE).

  12. Schorfheide, Frank & Aruoba, Boragan & Cuba-Borda, Pablo & Hilga-Flores, Kenji & Villalvazo, Sergio, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," CEPR Discussion Papers 15388, C.E.P.R. Discussion Papers.

    Cited by:

    1. Hecker, Dominik & Wolters, Maik H., 2025. "Nonlinear estimation of a New Keynesian model with endogenous inflation de-anchoring," IMFS Working Paper Series 222, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    2. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
    3. Wen, Jianghui & Hong, Lijiang & Dai, Min & Xiao, Xinping & Wu, Chaozhong, 2023. "A stochastic model for stop-and-go phenomenon in traffic oscillation: On the prospective of macro and micro traffic flow," Applied Mathematics and Computation, Elsevier, vol. 440(C).
    4. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    5. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
    6. Duffy, James A. & Mavroeidis, Sophocles & Wycherley, Sam, 2025. "Cointegration with occasionally binding constraints," Journal of Econometrics, Elsevier, vol. 252(PA).
    7. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2020. "Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States," IMES Discussion Paper Series 20-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
    8. Damioli, Giacomo & Gregori, Wildmer Daniel, 2021. "Diplomatic relations and cross-border investments in the European Union," JRC Working Papers in Economics and Finance 2021-02, Joint Research Centre, European Commission.
    9. Enrique Mendoza & Sergio Villalvazo, 2020. "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 81-102, July.
    10. Dominik Hecker & Maik Wolters & Maik H. Wolters, 2025. "Nonlinear Estimation of a New Keynesian Model with Endogenous Inflation De-Anchoring," CESifo Working Paper Series 12280, CESifo.
    11. Loick Dubois & Jean-Guillaume Sahuc & Gauthier Vermandel, 2024. "A General Equilibrium Approach to Carbon Permit Banking," Working papers 971, Banque de France.
    12. Guido Ascari & Sophocles Mavroeidis, 2020. "The unbearable lightness of equilibria in a low interest rate environment," Papers 2006.12966, arXiv.org, revised Dec 2021.
    13. Kase, Hanno & Melosi, Leonardo & Rottner, Matthias, 2024. "Estimating Nonlinear Heterogeneous Agent Models with Neural Networks," The Warwick Economics Research Paper Series (TWERPS) 1499, University of Warwick, Department of Economics.
    14. Weale, Martin & Wieladek, Tomasz, 2025. "What are the macroeconomic effects of state-dependent forward guidance?," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
    15. Rottner, Matthias, 2023. "Financial crises and shadow banks: A quantitative analysis," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 74-92.
    16. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).
    17. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," CREATES Research Papers 2021-08, Department of Economics and Business Economics, Aarhus University.
    18. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2025. "Forecasting with shadow rate VARs," Quantitative Economics, Econometric Society, vol. 16(3), pages 795-822, July.
    19. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    20. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    21. Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco, 2021. "Efficient and robust inference of models with occasionally binding constraints," JRC Working Papers in Economics and Finance 2021-03, Joint Research Centre, European Commission.
    22. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
    23. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
    24. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    25. Calo, Silvia & Gregori, Wildmer Daniel & Petracco Giudici, Marco & Rancan, Michela, 2021. "Has the Comprehensive Assessment made the European financial system more resilient?," JRC Working Papers in Economics and Finance 2021-08, Joint Research Centre, European Commission.
    26. Harding, Martín & Lindé, Jesper & Trabandt, Mathias, 2022. "Resolving the missing deflation puzzle," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 15-34.

  13. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," Finance and Economics Discussion Series 2020-023, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ho, Paul, 2024. "Estimating the effects of demographics on interest rates: A robust Bayesian perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    2. Masashige Hamano & Munechika Katayama, 2021. "Epidemics and Macroeconomic Dynamics," Working Papers e162, Tokyo Center for Economic Research.
    3. Ettmeier, Stephanie & Kriwoluzky, Alexander, 2024. "Active or passive? Revisiting the role of fiscal policy during high inflation," European Economic Review, Elsevier, vol. 170(C).
    4. Paul Ho & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2022. "Multilateral Comovement in a New Keynesian World: A Little Trade Goes a Long Way," Working Paper 22-10, Federal Reserve Bank of Richmond.
    5. Fasolo, Angelo M. & Araujo, Eurilton & Jorge, Marcos Valli & Kornelius, Alexandre & Marinho, Leonardo Sousa Gomes, 2024. "Brazilian macroeconomic dynamics redux: Shocks, frictions, and unemployment in SAMBA model," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(2).
    6. Jabeen, Fauzia & Kaur, Puneet & Talwar, Shalini & Malodia, Suresh & Dhir, Amandeep, 2022. "I love you, but you let me down! How hate and retaliation damage customer-brand relationship," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
    7. Zhang, Xiaodi, 2025. "Integrating policy design with agricultural emissions reduction in China: A multi-sector DSGE Approach," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 2019-2048.
    8. Takashi Kano, 2026. "Distribution-Matching Posterior Inference for Incomplete Structural Models," Papers 2601.01077, arXiv.org.
    9. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    10. Jinting Guo, 2025. "On the Identification of Diagnostic Expectations: Econometric Insights from DSGE Models," Papers 2509.08472, arXiv.org, revised Sep 2025.
    11. Ho, Paul, 2023. "Global robust Bayesian analysis in large models," Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.

  14. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Panel Forecasts of Country-Level Covid-19 Infections," NBER Working Papers 27248, National Bureau of Economic Research, Inc.

    Cited by:

    1. Cem Cakmakli & Yasin Simsek, 2023. "Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model," Papers 2301.13692, arXiv.org.
    2. Christian Aleman & Christopher Busch & Alexander Ludwig & Raul Santaeulalia-Llopis, 2022. "A Stage-Based Identification of Policy Effects," PIER Working Paper Archive 22-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Li, Shaoran & Linton, Oliver, 2021. "When will the Covid-19 pandemic peak?," Journal of Econometrics, Elsevier, vol. 220(1), pages 130-157.
    4. Hwang, Eunju, 2022. "Prediction intervals of the COVID-19 cases by HAR models with growth rates and vaccination rates in top eight affected countries: Bootstrap improvement," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    5. Difang Huang & Ying Liang & Boyao Wu & Yanyi Ye, 2024. "Estimating the Impact of Social Distance Policy in Mitigating COVID-19 Spread with Factor-Based Imputation Approach," Papers 2405.12180, arXiv.org.
    6. Chaohua Dong & Jiti Gao & Oliver Linton & Bin Peng, 2020. "On the Time Trend of COVID-19: A Panel Data Study," Papers 2006.11060, arXiv.org, revised Jun 2020.
    7. Guenette,Justin Damien & Yamazaki,Takefumi, 2021. "Projecting the Economic Consequences of the COVID-19 Pandemic," Policy Research Working Paper Series 9589, The World Bank.
    8. Yanqing Yang & Xingcheng Xu & Jinfeng Ge & Yan Xu, 2024. "Machine Learning for Economic Forecasting: An Application to China's GDP Growth," Papers 2407.03595, arXiv.org.
    9. Pierluigi Vallarino, 2024. "Dynamic kernel models," Tinbergen Institute Discussion Papers 24-082/III, Tinbergen Institute.
    10. Fernández-Villaverde, Jesús & Jones, Charles I., 2022. "Estimating and simulating a SIRD Model of COVID-19 for many countries, states, and cities," Journal of Economic Dynamics and Control, Elsevier, vol. 140(C).
    11. Yothin Jinjarak & Rashad Ahmed & Sameer Nair-Desai & Weining Xin & Joshua Aizenman, 2020. "Accounting for Global COVID-19 Diffusion Patterns, January–April 2020," Economics of Disasters and Climate Change, Springer, vol. 4(3), pages 515-559, October.
    12. Sen, Anindya & Baker, John David & Zhang, Qihuang & Agarwal, Rishav Raj & Lam, Jean-Paul, 2023. "Do more stringent policies reduce daily COVID-19 case counts? Evidence from Canadian provinces," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 225-242.
    13. Otilia Boldea & Adriana Cornea-Madeira & João Madeira, 2023. "Disentangling the effect of measures, variants, and vaccines on SARS-CoV-2 infections in England: a dynamic intensity model," The Econometrics Journal, Royal Economic Society, vol. 26(3), pages 444-466.
    14. Leonardo Martins & Marcelo C. Medeiros, 2021. "The Impacts of Mobility on Covid-19 Dynamics: Using Soft and Hard Data," Papers 2110.00597, arXiv.org.
    15. Difang Huang & Ying Liang & Boyao Wu & Yanyi Ye, 2025. "Estimating the impact of social distance policy in mitigating COVID-19 spread with factor-based imputation approach," Empirical Economics, Springer, vol. 68(2), pages 585-601, February.
    16. Paul Ho, 2021. "Forecasting in the Absence of Precedent," Working Paper 21-10, Federal Reserve Bank of Richmond.
    17. Julliard, Christian & Shi, Ran & Yuan, Kathy, 2023. "The spread of COVID-19 in London: Network effects and optimal lockdowns," Journal of Econometrics, Elsevier, vol. 235(2), pages 2125-2154.
    18. Tobias Hartl, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," Papers 2102.10067, arXiv.org.
    19. Lee, Sokbae & Liao, Yuan & Seo, Myung Hwan & Shin, Youngki, 2021. "Sparse HP filter: Finding kinks in the COVID-19 contact rate," Journal of Econometrics, Elsevier, vol. 220(1), pages 158-180.
    20. Xin Jing & Jin Seo Cho, 2025. "Quantile ARDL Estimation of the Relationship between the Confirmed COVID-19 Cases and Deaths in the U.S," Working papers 2025rwp-247, Yonsei University, Yonsei Economics Research Institute.
    21. Andrei Zubarev & Maria Kirillova, 2022. "Modeling COVID-19 spread in the Russian Federation using global VAR approach," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 117-138.
    22. Ho, Paul & Lubik, Thomas A. & Matthes, Christian, 2023. "How to go viral: A COVID-19 model with endogenously time-varying parameters," Journal of Econometrics, Elsevier, vol. 232(1), pages 70-86.

  15. Schorfheide, Frank & Liu, Laura & Moon, Hyungsik Roger, 2020. "Panel Forecasts of Country-Level Covid-19 Infectionsliu," CEPR Discussion Papers 14790, C.E.P.R. Discussion Papers.

    Cited by:

    1. Guenette,Justin Damien & Yamazaki,Takefumi, 2021. "Projecting the Economic Consequences of the COVID-19 Pandemic," Policy Research Working Paper Series 9589, The World Bank.

  16. Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2018. "On the Comparison of Interval Forecasts," PIER Working Paper Archive 18-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 02 Aug 2018.

    Cited by:

    1. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    2. Makridakis, Spyros & Hyndman, Rob J. & Petropoulos, Fotios, 2020. "Forecasting in social settings: The state of the art," International Journal of Forecasting, Elsevier, vol. 36(1), pages 15-28.
    3. Hyndman, Rob J., 2020. "A brief history of forecasting competitions," International Journal of Forecasting, Elsevier, vol. 36(1), pages 7-14.
    4. James Mitchell & Martin Weale, 2023. "Censored density forecasts: Production and evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(5), pages 714-734, August.
    5. Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2020. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates," Papers 2012.11649, arXiv.org, revised Jun 2022.
    6. Francisca Corpas-Burgos & Miguel A. Martinez-Beneito, 2021. "An Autoregressive Disease Mapping Model for Spatio-Temporal Forecasting," Mathematics, MDPI, vol. 9(4), pages 1-17, February.
    7. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2021. "Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models," Working Papers 21-21, Federal Reserve Bank of Philadelphia.
    8. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    9. Hirano, Keisuke & Porter, Jack R., 2020. "Asymptotic analysis of statistical decision rules in econometrics," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 283-354, Elsevier.
    10. Andrew B. Martinez, 2025. "Real-time Hurricane Damage Nowcasts," Working Papers 2025-006, The George Washington University, The Center for Economic Research.
    11. Nico Keilman, 2020. "Evaluating Probabilistic Population Forecasts," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 520-521, pages 49-64.
    12. Spyros Makridakis & Chris Fry & Fotios Petropoulos & Evangelos Spiliotis, 2022. "The Future of Forecasting Competitions: Design Attributes and Principles," INFORMS Joural on Data Science, INFORMS, vol. 1(1), pages 96-113, April.
    13. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
    14. Sayar Karmakar & Marek Chudý & Wei Biao Wu, 2022. "Long‐term prediction intervals with many covariates," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 587-609, July.

  17. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2017. "Forecasting with Dynamic Panel Data Models," Papers 1709.10193, arXiv.org.

    Cited by:

    1. Mihaela Simionescu & Javier Cifuentes-Faura, 2022. "Forecasting National and Regional Youth Unemployment in Spain Using Google Trends," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 164(3), pages 1187-1216, December.
    2. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    3. Fabio Canova, 2024. "Should we trust cross‐sectional multiplier estimates?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 589-606, June.
    4. Laura Liu, 2018. "Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective," Papers 1805.04178, arXiv.org, revised Oct 2021.
    5. Yugang He, 2024. "E-commerce and foreign direct investment: pioneering a new era of trade strategies," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-14, December.
    6. Andrew Y. Chen & Tom Zimmermann, 2018. "Publication Bias and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2018-033, Board of Governors of the Federal Reserve System (U.S.).
    7. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2018. "Forecasting with Dynamic Panel Data Models," NBER Working Papers 25102, National Bureau of Economic Research, Inc.
    8. Chinco, Alex & Neuhierl, Andreas & Weber, Michael, 2021. "Estimating the anomaly base rate," Journal of Financial Economics, Elsevier, vol. 140(1), pages 101-126.
    9. Woloszko, Nicolas, 2024. "Nowcasting with panels and alternative data: The OECD weekly tracker," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1302-1335.
    10. Laura Liu, 2017. "Density Forecasts in Panel Models: A semiparametric Bayesian Perspective," PIER Working Paper Archive 17-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 28 Apr 2017.
    11. Wang, Siquan & Lin, Boqiang, 2024. "Performance linkage in renewable energy supply chain: A comparative analysis with coal power and the entire industry," Energy Policy, Elsevier, vol. 193(C).
    12. Oguzhan Cepni & Riza Demirer & Rangan Gupta & Ahmet Sensoy, 2022. "Interest rate uncertainty and the predictability of bank revenues," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1559-1569, December.
    13. He Li & Nurhafiza Abdul Kader Malim & Xiaojun Xie & Xuyang Du, 2025. "Interaction Effects of Green Finance and Digital Platforms on China’s Economic Growth," Sustainability, MDPI, vol. 17(18), pages 1-16, September.
    14. Moffo, Ahmadou Mustapha Fonton, 2024. "A machine learning approach in stress testing US bank holding companies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
    15. Seoyoung Yu & Donghyun Kim, 2021. "Changes in Regional Economic Resilience after the 2008 Global Economic Crisis: The Case of Korea," Sustainability, MDPI, vol. 13(20), pages 1-14, October.
    16. Timmermann, Allan & Zhu, Yinchu, 2019. "Comparing Forecasting Performance with Panel Data," CEPR Discussion Papers 13746, C.E.P.R. Discussion Papers.
    17. Andrew Y. Chen, 2022. "Do t-Statistic Hurdles Need to be Raised?," Papers 2204.10275, arXiv.org, revised Apr 2024.
    18. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
    19. Antonio Pacifico, 2023. "Obesity and labour market outcomes in Italy: a dynamic panel data evidence with correlated random effects," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 24(4), pages 557-574, June.
    20. Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2023. "Comparing forecasting performance in cross-sections," Journal of Econometrics, Elsevier, vol. 237(2).
    21. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
    22. Hyungsik Roger Moon & Frank Schorfheide & Boyuan Zhang, 2023. "Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity," Papers 2310.13785, arXiv.org, revised Feb 2024.
    23. Alan Dorfman & William Johnson & Fred Marsh & Robert Poole & Owen Shoemaker & Randal J. Verbrugge, 2015. "Determinants of Differential Rent Changes: Mean Reversion versus the Usual Suspects," Working Papers (Old Series) 1511, Federal Reserve Bank of Cleveland.
    24. Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Robust Forecasting," Papers 2011.03153, arXiv.org, revised Dec 2020.
    25. Greenaway-McGrevy, Ryan, 2022. "Forecast combination for VARs in large N and T panels," International Journal of Forecasting, Elsevier, vol. 38(1), pages 142-164.
    26. Pietro Giorgio Lovaglio, 2025. "Cross‐Learning With Panel Data Modeling for Stacking and Forecast Time Series Employment in Europe," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 753-780, March.
    27. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
    28. Pengyu Chen & Yiannis Karavias & Elias Tzavalis, 2021. "Panel Unit Root Tests with Structural Breaks," Discussion Papers 21-12, Department of Economics, University of Birmingham.
    29. Raffaella Giacomini & Sokbae Lee & Silvia Sarpietro, 2023. "A Robust Method for Microforecasting and Estimation of Random Effects," Working Paper Series WP 2023-26, Federal Reserve Bank of Chicago.
    30. Antonio Pacifico, 2025. "High-Dimensional Dynamic Panel with Correlated Random Effects: A Semiparametric Hierarchical Empirical Bayes Approach," Computational Economics, Springer;Society for Computational Economics, vol. 66(1), pages 869-902, July.
    31. Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).
    32. Lin, Jilei & Eck, Daniel J., 2021. "Minimizing post-shock forecasting error through aggregation of outside information," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1710-1727.
    33. Ullah, Atta & Nobanee, Haitham & Ullah, Saif & Iftikhar, Huma, 2024. "Renewable energy transition and regional integration: Energizing the pathway to sustainable development," Energy Policy, Elsevier, vol. 193(C).
    34. Raffaella Giacomini & Sokbae Lee & Silvia Sarpietro, 2023. "Individual Shrinkage for Random Effects," Papers 2308.01596, arXiv.org, revised Jul 2025.

  18. Eleonora Granziera & Hyungsik Roger Moon & Frank Schorfheide, 2017. "Inference for VARs Identified with Sign Restrictions," Papers 1709.10196, arXiv.org, revised Feb 2018.

    Cited by:

    1. Raffaella Giacomini & Toru Kitagawa, 2014. "Inference about Non-Identi?ed SVARs," CeMMAP working papers CWP45/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    3. Mayer, Eric & Rüth, Sebastian & Scharler, Johann, 2016. "Total factor productivity and the propagation of shocks: Empirical evidence and implications for the business cycle," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 335-346.
    4. Thorsten Drautzburg & Pooyan Amir-Ahmadi, 2017. "Identification through Heterogeneity," 2017 Meeting Papers 1087, Society for Economic Dynamics.
    5. Raffaella Giacomini & Toru Kitagawa, 2018. "Robust Bayesian inference for set-identified models," CeMMAP working papers CWP61/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Crouzet, Nicolas & Oh, Hyunseung, 2016. "What do inventories tell us about news-driven business cycles?," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 49-66.
    7. Francesca Molinari, 2020. "Microeconometrics with Partial Identification," Papers 2004.11751, arXiv.org.
    8. Isaiah Andrews & Timothy B. Armstrong, 2015. "Unbiased Instrumental Variables Estimation under Known First-Stage Sign," Cowles Foundation Discussion Papers 1984R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2015.
    9. Candelon, Bertrand & Lieb, Lenard, 2013. "Fiscal policy in good and bad times," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2679-2694.
    10. Mark W. Watson, 2019. "Comment on "On the Empirical (Ir)relevance of the Zero Lower Bound Constraint"," NBER Chapters, in: NBER Macroeconomics Annual 2019, volume 34, pages 182-193, National Bureau of Economic Research, Inc.
    11. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2020. "Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States," IMES Discussion Paper Series 20-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
    12. IWATA, Yasuharu & IIBOSHI, Hirokuni, 2023. "The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter," MPRA Paper 116355, University Library of Munich, Germany.
    13. Bicu, A.C. & Lieb, L.M., 2015. "Cross-border effects of fiscal policy in the Eurozone," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
    14. Herwartz, Helmut & Plödt, Martin, 2014. "Sign restrictions and statistical identification under volatility breaks -- Simulation based evidence and an empirical application to monetary policy analysis," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100326, Verein für Socialpolitik / German Economic Association.
    15. Rüth, Sebastian & Mayer, Eric & Scharler, Johann, 2014. "TFP and the Transmission of Shocks," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100549, Verein für Socialpolitik / German Economic Association.
    16. Lee, Adam & Mesters, Geert, 2024. "Locally robust inference for non-Gaussian linear simultaneous equations models," Journal of Econometrics, Elsevier, vol. 240(1).
    17. Jonas E. Arias & Juan F. Rubio-Ram'irez & Daniel Rudolf & Minchul Shin, 2025. "Large SVARs," Papers 2505.23542, arXiv.org, revised Apr 2026.
    18. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
    19. Matthew Read, 2022. "Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions," RBA Research Discussion Papers rdp2022-09, Reserve Bank of Australia.
    20. Pooyan Amir Ahmadi & Harald Uhlig, 2015. "Sign Restrictions in Bayesian FaVARs with an Application to Monetary Policy Shocks," NBER Working Papers 21738, National Bureau of Economic Research, Inc.
    21. Andrea Carriero & Alessio Volpicella, 2022. "Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty," School of Economics Discussion Papers 0322, School of Economics, University of Surrey.
    22. Kilian, Lutz & Murphy, Daniel, 2009. "Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models," CEPR Discussion Papers 7471, C.E.P.R. Discussion Papers.
    23. Klug, Thorsten & Mayer, Eric & Schuler, Tobias, 2019. "The Corporate Saving Glut and the Current Account in Germany," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203523, Verein für Socialpolitik / German Economic Association.
    24. Jordi Brandts & Sabrine El Baroudi & Stefanie Huber & Christina Rott, 2022. "Gender Differences in Private and Public Goal Setting," Tinbergen Institute Discussion Papers 22-008/II, Tinbergen Institute.
    25. Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    26. Atsushi Inoue & Lutz Kilian, 2013. "Inference on Impulse Response Functions in Structural VAR Models," TERG Discussion Papers 307, Graduate School of Economics and Management, Tohoku University.
    27. Matthew Read, 2022. "The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions," RBA Research Discussion Papers rdp2022-04, Reserve Bank of Australia.
    28. Sergio Ocampo & Norberto Rodríguez, 2011. "An Introductory Review of a Structural VAR-X Estimation and Applications," Borradores de Economia 686, Banco de la Republica de Colombia.
    29. Njindan Iyke, Bernard, 2016. "Are Monetary Policy Disturbances Important in Ghana? Some Evidence from Agnostic Identification," MPRA Paper 70205, University Library of Munich, Germany.
    30. Gerald A. Carlino & Thorsten Drautzburg, 2017. "The Role of Startups for Local Labor Markets," Working Papers 17-31, Federal Reserve Bank of Philadelphia.
    31. IIBOSHI, Hirokuni & IWATA, Yasuharu, 2023. "The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter," MPRA Paper 116347, University Library of Munich, Germany.
    32. Pooyan Amir‐Ahmadi & Christian Matthes & Mu‐Chun Wang, 2016. "Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century," Quantitative Economics, Econometric Society, vol. 7(2), pages 591-611, July.
    33. Sam Ouliaris & Adrian Pagan, 2022. "Three Basic Issues that Arise when Using Informational Restrictions in SVARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 1-20, February.
    34. Christiane Baumeister & James D. Hamilton, 2014. "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," NBER Working Papers 20741, National Bureau of Economic Research, Inc.
    35. Helmut Lütkepohl & Aleksei NetŠunajev, 2014. "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, April.
    36. Drautzburg, Thorsten & Wright, Jonathan H., 2023. "Refining set-identification in VARs through independence," Journal of Econometrics, Elsevier, vol. 235(2), pages 1827-1847.
    37. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2025. "A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs," Working Papers 25-19, Federal Reserve Bank of Philadelphia.
    38. Atsushi Inoue & Lutz Kilian, 2019. "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers 19-00001, Vanderbilt University Department of Economics.
    39. Keating, John W., 2013. "What do we learn from Blanchard and Quah decompositions of output if aggregate demand may not be long-run neutral?," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 203-217.
    40. Nguyen, Lam, 2025. "Bayesian inference in proxy SVARs with incomplete identification: Re-evaluating the validity of monetary policy instruments," Journal of Monetary Economics, Elsevier, vol. 155(C).
    41. Kocięcki, Andrzej, 2017. "Fully Bayesian Analysis of SVAR Models under Zero and Sign Restrictions," MPRA Paper 81094, University Library of Munich, Germany.
    42. James H. Stock, 2010. "The Other Transformation in Econometric Practice: Robust Tools for Inference," Journal of Economic Perspectives, American Economic Association, vol. 24(2), pages 83-94, Spring.
    43. Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Robust inference for non-Gaussian SVAR models," Economics Working Papers 1847, Department of Economics and Business, Universitat Pompeu Fabra.
    44. Lukas Hoesch & Adam Lee & Geert Mesters, 2024. "Locally robust inference for non‐Gaussian SVAR models," Quantitative Economics, Econometric Society, vol. 15(2), pages 523-570, May.
    45. Gan‐Ochir Doojav & Davaasukh Damdinjav, 2023. "The macroeconomic effects of unconventional monetary policies in a commodity‐exporting economy: Evidence from Mongolia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4627-4654, October.
    46. Matthew Read, 2024. "Sign Restrictions and Supply-demand Decompositions of Inflation," RBA Research Discussion Papers rdp2024-05, Reserve Bank of Australia.
    47. Matthew Read, 2021. "Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions," Papers 2109.10676, arXiv.org, revised Jan 2022.
    48. Danne, Christian, 2015. "VARsignR: Estimating VARs using sign restrictions in R," MPRA Paper 68429, University Library of Munich, Germany.
    49. Pooyan Amir-Ahmadi & Gustavo S. Cortes & Marc D. Weidenmier, 2020. "Regional Monetary Policies and the Great Depression," NBER Working Papers 26695, National Bureau of Economic Research, Inc.
    50. Andreas Tryphonides, 2023. "Identifying Preferences when Households are Financially Constrained," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 521-546, December.
    51. Liudas Giraitis & George Kapetanios & Konstantinos Theodoridis & Tony Yates, 2014. "Estimating time-varying DSGE models using minimum distance methods," Bank of England working papers 507, Bank of England.
    52. Paul Carrillo‐Maldonado, 2023. "Partial identification for growth regimes: The case of Latin American countries," Metroeconomica, Wiley Blackwell, vol. 74(3), pages 557-583, July.
    53. Pooyan Amir‐Ahmadi & Thorsten Drautzburg, 2021. "Identification and inference with ranking restrictions," Quantitative Economics, Econometric Society, vol. 12(1), pages 1-39, January.
    54. Breitenlechner, Max & Scharler, Johann, 2017. "Decomposing the U.S. Great Depression: How important were Loan Supply Shocks?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168208, Verein für Socialpolitik / German Economic Association.
    55. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2025. "Large SVARs," Working Papers 26-04, Federal Reserve Bank of Philadelphia.
    56. Juan Rubio-Ramirez & Daniel Waggoner & Jonas Arias, 2016. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," 2016 Meeting Papers 472, Society for Economic Dynamics.
    57. Breitenlechner, Max & Nuutilainen, Riikka, 2019. "China's monetary policy and the loan market: How strong is the credit channel in China?," BOFIT Discussion Papers 15/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    58. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2017. "Shock Restricted Structural Vector-Autoregressions," NBER Working Papers 23225, National Bureau of Economic Research, Inc.
    59. Christiane Baumeister & James D. Hamilton, 2018. "Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," NBER Working Papers 24597, National Bureau of Economic Research, Inc.
    60. Gregory Bauer & Eleonora Granziera, 2016. "Monetary Policy, Private Debt and Financial Stability Risks," Staff Working Papers 16-59, Bank of Canada.
    61. Diegel, Max & Nautz, Dieter, 2021. "Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
    62. Pérez-Forero, Fernando & Vega, Marco, 2014. "The Dynamic Effects of Interest Rates and Reserve Requirements," Working Papers 2014-018, Banco Central de Reserva del Perú.
    63. Emanuele Bacchiocchi & Toru Kitagawa, 2020. "Locally- but not globally-identified SVARs," CeMMAP working papers CWP40/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    64. John W. Keating, 2013. "What Do We Learn from Blanchard and Quah Decompositions If Aggregate Demand May Not be Long-Run Neutral?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201302, University of Kansas, Department of Economics.
    65. Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew, 2022. "Robust Bayesian inference in proxy SVARs," Journal of Econometrics, Elsevier, vol. 228(1), pages 107-126.
    66. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
    67. Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2017. "Uncertain identification," CeMMAP working papers CWP18/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    68. Njindan Iyke, Bernard, 2015. "Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa," MPRA Paper 69610, University Library of Munich, Germany, revised 01 Feb 2016.
    69. Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).

  19. Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2016. "Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility," NBER Working Papers 22615, National Bureau of Economic Research, Inc.

    Cited by:

    1. Poledna, Sebastian & Miess, Michael Gregor & Hommes, Cars & Rabitsch, Katrin, 2023. "Economic forecasting with an agent-based model," European Economic Review, Elsevier, vol. 151(C).
    2. David Alaminos & M. Belén Salas & Manuel A. Fernández-Gámez, 2022. "Quantum Computing and Deep Learning Methods for GDP Growth Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 803-829, February.
    3. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
    4. Ivashchenko, S., 2020. "Long-term growth sources for sectors of Russian economy," Journal of the New Economic Association, New Economic Association, vol. 48(4), pages 86-112.
    5. Cars Hommes & Mario He & Sebastian Poledna & Melissa Siqueira & Yang Zhang, 2022. "CANVAS: A Canadian Behavioral Agent-Based Model," Staff Working Papers 22-51, Bank of Canada.
    6. Jan Philipp Fritsche & Mathias Klein & Malte Rieth, 2020. "Government Spending Multipliers in (Un)certain Times," Discussion Papers of DIW Berlin 1901, DIW Berlin, German Institute for Economic Research.
    7. 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.
    8. Sergey Ivashchenko, 2022. "Dynamic Stochastic General Equilibrium Model with Multiple Trends and Structural Breaks," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 46-72, March.
    9. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    10. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021. "Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty," Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
    11. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Staff Reports 893, Federal Reserve Bank of New York.
    12. Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
    13. Juan Jos√© Rinc√≥n Brice√±o, 2025. "Colombian economic activity nowcasting: addressing nonlinearities and high dimensionality through machine-learning," Documentos CEDE 21388, Universidad de los Andes, Facultad de Economía, CEDE.
    14. Hommes, Cars & He, Mario & Poledna, Sebastian & Siqueira, Melissa & Zhang, Yang, 2025. "CANVAS: A Canadian behavioral agent-based model for monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 172(C).
    15. Alexander Eliseev & Sergei Seleznev, 2026. "Fake Date Tests: Can We Trust In-sample Accuracy of LLMs in Macroeconomic Forecasting?," Bank of Russia Working Paper Series wps167, Bank of Russia.
    16. James Morley & Irina B Panovska, 2016. "Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?," Discussion Papers 2016-12, School of Economics, The University of New South Wales.
    17. Ramis Khabibullin & Sergei Seleznev, 2022. "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Papers 2210.07154, arXiv.org.
    18. Jinshun Wu & Luyao Wu, 2024. "Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2437-2476, October.
    19. Alexander Eliseev & Sergei Seleznev, 2026. "Fake Date Tests: Can We Trust In-sample Accuracy of LLMs in Macroeconomic Forecasting?," Papers 2601.07992, arXiv.org, revised Mar 2026.
    20. Yolanda S. Stander, 2023. "The Governance and Disclosure of IFRS 9 Economic Scenarios," JRFM, MDPI, vol. 16(1), pages 1-27, January.
    21. Sergey Ivashchenko & Semih Emre Cekin & Rangan Gupta & Chien-Chiang Lee, 2022. "Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form," Working Papers 202204, University of Pretoria, Department of Economics.
    22. Dmitry Kreptsev & Sergei Seleznev, 2018. "Forecasting for the Russian Economy Using Small-Scale DSGE Models," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 51-67, June.
    23. Di Bartolomeo, Giovanni & Serpieri, Carolina, 2024. "Optimal monetary policy and the time-dependent price and wage Phillips curves: An international comparison," Journal of International Money and Finance, Elsevier, vol. 146(C).
    24. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.
    25. Koop, Gary & Korobilis, Dimitris, 2015. "Forecasting with High-Dimensional Panel VARs," MPRA Paper 84275, University Library of Munich, Germany, revised 31 Jan 2018.
    26. Angelini, Giovanni & Gorgi, Paolo, 2018. "DSGE Models with observation-driven time-varying volatility," Economics Letters, Elsevier, vol. 171(C), pages 169-171.
    27. Yantao Gao & Xilong Yao & Wenxi Wang & Xin Liu, 2019. "Dynamic effect of environmental tax on export trade: Based on DSGE mode," Energy & Environment, , vol. 30(7), pages 1275-1290, November.
    28. Bäurle Gregor & Kaufmann Daniel & Kaufmann Sylvia & Strachan Rodney, 2020. "Constrained interest rates and changing dynamics at the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-26, April.
    29. Michael P Clements & Ana Beatriz Galvao, 2017. "Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables," ICMA Centre Discussion Papers in Finance icma-dp2017-01, Henley Business School, University of Reading.
    30. Siddhartha Chib & Minchul Shin & Fei Tan, 2020. "High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗," Working Papers 20-35, Federal Reserve Bank of Philadelphia.
    31. Aruoba, S. Borağan & Bocola, Luigi & Schorfheide, Frank, 2017. "Assessing DSGE model nonlinearities," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 34-54.
    32. Pooyan Amir-Ahmadi & Marko Mlikota & Dalibor Stevanovi'c, 2025. "Origins and Nature of Macroeconomic Instability in Vector Autoregressions," Papers 2512.20152, arXiv.org.
    33. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    34. Farooq Akram & Andrew Binning & Junior Maih, 2016. "Joint prediction bands for macroeconomic risk management," Working Paper 2016/7, Norges Bank.
    35. Reifschneider, David & Tulip, Peter, 2019. "Gauging the uncertainty of the economic outlook using historical forecasting errors: The Federal Reserve’s approach," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1564-1582.
    36. Carriero, Andrea & Galvão, Ana Beatriz & Kapetanios, George, 2019. "A comprehensive evaluation of macroeconomic forecasting methods," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1226-1239.
    37. Musa Abdu & Adamu Jibir & Salihu Abdullahi & Aisha Adamu Hassan, 2021. "Drivers of manufacturing firms’ productivity: a micro-perspective to industrialization in Nigeria," SN Business & Economics, Springer, vol. 1(2), pages 1-17, February.
    38. Byrne, Joseph P. & Sakemoto, Ryuta, 2025. "Commodity correlation risk," Journal of Commodity Markets, Elsevier, vol. 38(C).
    39. David L. Reifschneider & Peter Tulip, 2017. "Gauging the Uncertainty of the Economic Outlook Using Historical Forecasting Errors : The Federal Reserve's Approach," Finance and Economics Discussion Series 2017-020, Board of Governors of the Federal Reserve System (U.S.).
    40. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
    41. James Morley, 2019. "The business cycle: periodic pandemic or rollercoaster ride?," International Journal of Economic Policy Studies, Springer, vol. 13(2), pages 425-431, August.
    42. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
    43. Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2016. "Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility," NBER Working Papers 22615, National Bureau of Economic Research, Inc.
    44. Sun Xiaojin & Tsang Kwok Ping, 2019. "What cycles? Data detrending in DSGE models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(3), pages 1-23, June.
    45. Sergey M. Ivashchenko, 2019. "DSGE Models: Problem of Trends," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 81-95, April.
    46. Xiao-Li Gong & Jin-Yan Lu & Xiong Xiong & Wei Zhang, 2022. "Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-22, December.

  20. Edward P. Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," Finance and Economics Discussion Series 2016-072, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Hecker, Dominik & Wolters, Maik H., 2025. "Nonlinear estimation of a New Keynesian model with endogenous inflation de-anchoring," IMFS Working Paper Series 222, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    2. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    3. Mengheng Li & Siem Jan Koopman, 2021. "Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 614-627, August.
    4. Dominik Hecker & Maik Wolters & Maik H. Wolters, 2025. "Nonlinear Estimation of a New Keynesian Model with Endogenous Inflation De-Anchoring," CESifo Working Paper Series 12280, CESifo.
    5. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
    6. Wolf, Elias, 2023. "Estimating Growth at Risk with Skewed Stochastic Volatility Models," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277696, Verein für Socialpolitik / German Economic Association.
    7. Pablo Guerron-Quintana & Alexey Khazanov & Molin Zhong, 2026. "A Nonlinear Dynamic Factor Model for Financial and Macroeconomic Data," Boston College Working Papers in Economics 1106, Boston College Department of Economics.
    8. Pablo A. Cuba-Borda & Luca Guerrieri & Matteo Iacoviello & Molin Zhong, 2019. "Likelihood Evaluation of Models with Occasionally Binding Constraints," Finance and Economics Discussion Series 2019-028, Board of Governors of the Federal Reserve System (U.S.).
    9. Umberto Picchini & Adeline Samson, 2018. "Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models," Computational Statistics, Springer, vol. 33(1), pages 179-212, March.
    10. Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2022. "Conditional density forecasting: a tempered importance sampling approach," Working Paper Series 2754, European Central Bank.
    11. Wolf, Elias, 2022. "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers 2022/2, Free University Berlin, School of Business & Economics.
    12. Edward P. Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," Finance and Economics Discussion Series 2016-072, Board of Governors of the Federal Reserve System (U.S.).
    13. Boehl, Gregor & Strobel, Felix, 2024. "The empirical performance of the financial accelerator since 2008," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
    14. Minsu Chang, 2019. "A House Without a Ring: The Role of Changing Marital Transitions for Housing Decisions," 2019 Meeting Papers 514, Society for Economic Dynamics.
    15. Sanha Noh, 2020. "Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 795-841, December.
    16. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    17. Sergei Seleznev, 2016. "Solving DSGE models with stochastic trends," Bank of Russia Working Paper Series wps15, Bank of Russia.

  21. S. Boragan Aruoba & Pablo A. Cuba-Borda & Frank Schorfheide, 2016. "Macroeconomic Dynamics Near the ZLB : A Tale of Two Countries," International Finance Discussion Papers 1163, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Campbell Leith & Ding Liu, 2014. "The inflation bias under Calvo and Rotemberg pricing," Working Papers 2014_06, Business School - Economics, University of Glasgow.
    2. Hecker, Dominik & Wolters, Maik H., 2025. "Nonlinear estimation of a New Keynesian model with endogenous inflation de-anchoring," IMFS Working Paper Series 222, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    3. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2025. "Technology spillovers from the final frontier: a long-run view of U.S. space innovation," Working Papers 202502, Cambridge Judge Business School, University of Cambridge.
    4. Ngo, Phuong V., 2021. "Fiscal Multipliers At The Zero Lower Bound: The Role Of Government Spending Persistence," Macroeconomic Dynamics, Cambridge University Press, vol. 25(4), pages 970-997, June.
    5. IIBOSHI Hirokuni, 2014. "Monetary Policy Regime Shifts Under the Zero Lower Bound: An Application of a Stochastic Rational Expectations Equilibrium to a Markov Switching DSGE Model," ESRI Discussion paper series 312, Economic and Social Research Institute (ESRI).
    6. Benhabib, Jess & Dong, Feng & Wang, Pengfei & Xu, Zhenyang, 2025. "Aggregate demand externality and self-fulfilling default cycles," Journal of Monetary Economics, Elsevier, vol. 156(C).
    7. Philip Coyle & Taisuke Nakata, 2019. "Optimal Inflation Target with Expectations-Driven Liquidity Traps," Finance and Economics Discussion Series 2019-036, Board of Governors of the Federal Reserve System (U.S.).
    8. William T. Gavin & Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The stimulative effect of forward guidance," Working Papers 2013-38, Federal Reserve Bank of St. Louis.
    9. Tyler Atkinson & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "The Zero Lower Bound and Estimation Accuracy," Working Papers 1804, Federal Reserve Bank of Dallas.
    10. Robert Kollmann, 2021. "Effects of Covid-19 on Euro area GDP and inflation: demand vs. supply disturbances," International Economics and Economic Policy, Springer, vol. 18(3), pages 475-492, July.
    11. Pablo Cuba-Borda & Sanjay R. Singh, 2022. "Understanding Persistent ZLB: Theory and Assessment," Working Papers 346, University of California, Davis, Department of Economics.
    12. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    13. Mariano Kulish & James Morley & Tim Robinson, 2014. "Estimating DSGE models with forward guidance," Discussion Papers 2014-32A, School of Economics, The University of New South Wales.
    14. Roberto Piazza, 2016. "Self-fulfilling deflations," Temi di discussione (Economic working papers) 1080, Bank of Italy, Economic Research and International Relations Area.
    15. Kaufmann, Daniel & Bäurle, Gregor, 2013. "Exchange Rate and Price Dynamics at the Zero Lower Bound," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79872, Verein für Socialpolitik / German Economic Association.
    16. Seppo Honkapohja & Kaushik Mitra & George Evans, 2017. "Expectations, Stagnation and Fiscal Policy," 2017 Meeting Papers 160, Society for Economic Dynamics.
    17. Mauro Napoletano & Andrea Roventini & Jean-Luc Gaffard, 2015. "Time-Varying Fiscal Multipliers in an Agent-Based Model with Credit Rationing," LEM Papers Series 2015/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    18. Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2022. "Monetary policy, rational confidence, and Neo‐Fisherian depressions," Metroeconomica, Wiley Blackwell, vol. 73(4), pages 1179-1199, November.
    19. Rodríguez Arosemena, Nicolás, 2018. "The Dominium Mundi Game and the Case for Artificial Intelligence in Economics and the Law," MPRA Paper 90560, University Library of Munich, Germany.
    20. Mackowiak, Bartosz & Jarocinski, Marek, 2017. "Monetary-Fiscal Interactions and the Euro Area's Malaise," CEPR Discussion Papers 12020, C.E.P.R. Discussion Papers.
    21. Böhl, Gregor & Hommes, Cars H., 2021. "Rational vs. irrational beliefs in a complex world," IMFS Working Paper Series 156, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    22. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    23. Yasuo Hirose & Atsushi Inoue, 2013. "Zero Lower Bound and Parameter Bias in an Estimated DSGE Model," TERG Discussion Papers 308, Graduate School of Economics and Management, Tohoku University.
    24. Philip Coyle & Taisuke Nakata, 2020. "Optimal Inflation Target with Expectations-Driven Liquidity Traps," CARF F-Series CARF-F-485, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    25. De Grauwe, Paul & Ji, Yuemei, 2016. "Inflation Targets And The Zero Lower Bound In A Behavioral Macroeconomic Model," CEPR Discussion Papers 11320, C.E.P.R. Discussion Papers.
    26. Robert Kollmann, 2020. "Liquidity Traps in a Monetary Union," Globalization Institute Working Papers 397, Federal Reserve Bank of Dallas.
    27. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    28. Thuy Lan Nguyen & Dmitriy Sergeyev & Wataru Miyamoto, 2016. "Government Spending Multipliers under the Zero Lower Bound: Evidence from Japan," 2016 Meeting Papers 666, Society for Economic Dynamics.
    29. Bianchi, Francesco & Melosi, Leonardo & Rottner, Matthias, 2021. "Hitting the elusive inflation target," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 107-122.
    30. Nicolas Mäder, 2024. "Financial Crises as a Phenomenon of Multiple Equilibria and How to Select among Them," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(2-3), pages 517-536, March.
    31. Taisuke Nakata & Sebastian Schmidt & Timothy Hills, 2016. "The Risky Steady State and the Interest Rate Lower Bound," 2016 Meeting Papers 39, Society for Economic Dynamics.
    32. Alessandro Dovis & Luigi Bocola, 2015. "Indeterminacy in Sovereign Debt Markets: An Empirical Investigation," 2015 Meeting Papers 694, Society for Economic Dynamics.
    33. Valerio Scalone, 2018. "Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound," Working papers 688, Banque de France.
    34. De Grauwe, Paul & Foresti, Pasquale, 2020. "Animal spirits and fiscal policy," LSE Research Online Documents on Economics 103500, London School of Economics and Political Science, LSE Library.
    35. Lindé, Jesper & Trabandt, Mathias, 2017. "Should We Use Linearized Models To Calculate Fiscal Multipliers?," Working Paper Series 350, Sveriges Riksbank (Central Bank of Sweden).
    36. Paul Grauwe & Pasquale Foresti, 2025. "Deflationary traps, agents’ beliefs and fiscal–monetary policies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 80(3), pages 941-964, November.
    37. Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017. "The Empirical Implications of the Interest-Rate Lower Bound," American Economic Review, American Economic Association, vol. 107(7), pages 1971-2006, July.
    38. Vincent Sterk & Morten Ravn, 2017. "Macroeconomic Fluctuations with HANK & SAM: an Analytical Approach," 2017 Meeting Papers 1067, Society for Economic Dynamics.
    39. Kollmann, Robert, 2021. "Liquidity Traps in a World Economy," CEPR Discussion Papers 15631, C.E.P.R. Discussion Papers.
    40. Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The Zero Lower Bound: Frequency, Duration, and Determinacy," Auburn Economics Working Paper Series auwp2013-16, Department of Economics, Auburn University.
    41. Billi, Roberto & Galí, Jordi & Nakov, Anton, 2024. "Optimal monetary policy with r∗<0," Journal of Monetary Economics, Elsevier, vol. 142(C).
    42. Belongia, Michael T. & Ireland, Peter N., 2022. "A reconsideration of money growth rules," Journal of Economic Dynamics and Control, Elsevier, vol. 135(C).
    43. Böhl, Gregor & Strobel, Felix, 2020. "US business cycle dynamics at the zero lower bound," Discussion Papers 65/2020, Deutsche Bundesbank.
    44. Ashwin, Julian & Beaudry, Paul & Ellison, Martin, 2025. "Neural network learning for nonlinear economies," Journal of Monetary Economics, Elsevier, vol. 149(C).
    45. Aloui, Rym, 2024. "Habit formation and the government spending multiplier," Economic Modelling, Elsevier, vol. 132(C).
    46. Alexander Richter & Nathaniel Throckmorton & Todd Walker, 2014. "Accuracy, Speed and Robustness of Policy Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 445-476, December.
    47. Jeffrey R. Campbell, 2014. "Quantitative Easing in Joseph's Egypt with Keynesian Producers," Working Paper Series WP-2014-15, Federal Reserve Bank of Chicago.
    48. Kollmann, Robert, 2020. "Global Liquidity Traps," MPRA Paper 102324, University Library of Munich, Germany.
    49. Zaretski, Aliaksandr, 2021. "Financial constraints, risk sharing, and optimal monetary policy," MPRA Paper 110757, University Library of Munich, Germany.
    50. Rebucci, Alessandro & Benigno, Gianluca & Foerster, Andrew & Otrok, Christopher, 2020. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach," CEPR Discussion Papers 14545, C.E.P.R. Discussion Papers.
    51. Michelis, Andrea De & Iacoviello, Matteo, 2016. "Raising an inflation target: The Japanese experience with Abenomics," European Economic Review, Elsevier, vol. 88(C), pages 67-87.
    52. Dominik Hecker & Maik Wolters & Maik H. Wolters, 2025. "Nonlinear Estimation of a New Keynesian Model with Endogenous Inflation De-Anchoring," CESifo Working Paper Series 12280, CESifo.
    53. Honkapohja, Seppo & Evans, George W. & Mitra, Kaushik, 2020. "Expectations, Stagnation and Fiscal Policy: a Nonlinear Analysis," CEPR Discussion Papers 15171, C.E.P.R. Discussion Papers.
    54. Yunjong Eo & Nigel Mcclung, 2025. "Determinacy and E‐Stability with Interest Rate Rules at the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 57(4), pages 951-979, June.
    55. Harding, Martín & Lindé, Jesper & Trabandt, Mathias, 2023. "Understanding post-COVID inflation dynamics," Journal of Monetary Economics, Elsevier, vol. 140(S), pages 101-118.
    56. Vadym Lepetyuk & Lilia Maliar & Serguei Maliar, 2017. "Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?," Staff Working Papers 17-21, Bank of Canada.
    57. Roc Armenter, 2013. "The perils of nominal targets," Working Papers 14-2, Federal Reserve Bank of Philadelphia.
    58. Paul Ho & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2022. "Multilateral Comovement in a New Keynesian World: A Little Trade Goes a Long Way," Working Paper 22-10, Federal Reserve Bank of Richmond.
    59. Andrew Binning & Junior Maih, 2015. "Sigma Point Filters For Dynamic Nonlinear Regime Switching Models," Working Papers No 4/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    60. Volker Hahn, 2017. "Policy Effects in a Simple Fully Non-Linear New Keynesian Model of the Liquidity Trap," Working Paper Series of the Department of Economics, University of Konstanz 2017-05, Department of Economics, University of Konstanz.
    61. Andrea Ajello & Isabel Cairó & Vasco Curdia & Thomas A. Lubik & Albert Queraltó, 2020. "Monetary Policy Tradeoffs and the Federal Reserve's Dual Mandate," Finance and Economics Discussion Series 2020-066, Board of Governors of the Federal Reserve System (U.S.).
    62. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
    63. Magali Marx & Benoit Mojon & Francois R. Velde, 2018. "Why Have Interest Rates Fallen Far Below the Return on Capital," Working Paper Series WP-2018-1, Federal Reserve Bank of Chicago.
    64. Bonam, Dennis & De Haan, Jakob & Soederhuizen, Beau, 2022. "The Effects Of Fiscal Policy At The Effective Lower Bound," Macroeconomic Dynamics, Cambridge University Press, vol. 26(1), pages 149-185, January.
    65. Francesco Bianchi & Giovanni Nicolo, 2019. "A Generalized Approach to Indeterminacy in Linear Rational Expectations Models," Finance and Economics Discussion Series 2019-033, Board of Governors of the Federal Reserve System (U.S.).
    66. Yasuo Hirose, 2018. "An Estimated DSGE Model with a Deflation Steady State," Keio-IES Discussion Paper Series 2018-014, Institute for Economics Studies, Keio University.
    67. Galí, Jordi & Billi, Roberto, 2020. "Gains from Wage Flexibility and the Zero Lower Bound," CEPR Discussion Papers 14888, C.E.P.R. Discussion Papers.
    68. Schmidt, Sebastian, 2015. "Lack of confidence, the zero lower bound, and the virtue of fiscal rules," Working Paper Series 1795, European Central Bank.
    69. Seppo Honkapohja, 2016. "Monetary policies to counter the zero interest rate: an overview of research," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(2), pages 235-256, May.
    70. Devereux, Michael B. & Young, Eric R. & Yu, Changhua, 2019. "Capital controls and monetary policy in sudden-stop economies," Journal of Monetary Economics, Elsevier, vol. 103(C), pages 52-74.
    71. William T. Gavin & Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "Global Dynamics at the Zero Lower Bound," Auburn Economics Working Paper Series auwp2013-17, Department of Economics, Auburn University.
    72. Guido Ascari & Sophocles Mavroeidis, 2020. "The unbearable lightness of equilibria in a low interest rate environment," Papers 2006.12966, arXiv.org, revised Dec 2021.
    73. Hills, Timothy S. & Nakata, Taisuke & Schmidt, Sebastian, 2019. "Effective lower bound risk," European Economic Review, Elsevier, vol. 120(C).
    74. Junior Maih, 2014. "Efficient Perturbation Methods for Solving Regime-Switching DSGE Models," Working Papers No 10/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    75. Alice Albonico & Guido Ascari & Alessandro Gobbi, 2026. "Fiscal Policy in a Permanent Liquidity Trap: Evidence from Japan," Working Papers 566, University of Milano-Bicocca, Department of Economics.
    76. Ryan Niladri Banerjee & Fabrizio Zampolli, 2016. "What drives the short-run costs of fiscal consolidation? Evidence from OECD countries," BIS Working Papers 553, Bank for International Settlements.
    77. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2017. "Lower Bounds on Approximation Errors to Numerical Solutions of Dynamic Economic Models," Econometrica, Econometric Society, vol. 85, pages 991-1012, May.
    78. Yoichiro Tamanyu, 2019. "Tax Rules to Prevent Expectations-driven Liquidity Trap," Keio-IES Discussion Paper Series 2019-005, Institute for Economics Studies, Keio University.
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    82. Kase, Hanno & Melosi, Leonardo & Rottner, Matthias, 2024. "Estimating Nonlinear Heterogeneous Agent Models with Neural Networks," The Warwick Economics Research Paper Series (TWERPS) 1499, University of Warwick, Department of Economics.
    83. Francois Velde & Benoït Mojon & Magali Marx, 2016. "Why are real interest rates so low?," 2016 Meeting Papers 1581, Society for Economic Dynamics.
    84. Mitsuru Katagiri, 2016. "Forward Guidance as a Monetary Policy Rule," Bank of Japan Working Paper Series 16-E-6, Bank of Japan.
    85. Jing Cynthia Wu & Ji Zhang, 2016. "A Shadow Rate New Keynesian Model," NBER Working Papers 22856, National Bureau of Economic Research, Inc.
    86. Yasuo Hirose & Takeki Sunakawa, 2019. "Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound," The Japanese Economic Review, Springer, vol. 70(1), pages 51-104, March.
    87. Dmitry Kreptsev & Sergei Seleznev, 2018. "Forecasting for the Russian Economy Using Small-Scale DSGE Models," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 51-67, June.
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    116. Mauro Napoletano & Andrea Roventini & Jean Luc Gaffard, 2015. "Toward a low carbon growth in Mexico : is a double dividend possible ? A dynamic general equilibrium assessment," Documents de Travail de l'OFCE 2015-25, Observatoire Francais des Conjonctures Economiques (OFCE).
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    119. Kevin XD Huang & Nam T Vu, 2019. "Rare but Long-lasting Liquidity Traps and Fiscal Stimulus," Vanderbilt University Department of Economics Working Papers 19-00014, Vanderbilt University Department of Economics.
    120. Albertini, Julien & Lan, Hong, 2016. "The importance of time-varying parameters in new Keynesian models with zero lower bound," SFB 649 Discussion Papers 2016-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    121. Paul Grauwe & Yuemei Ji, 2018. "Behavioural Economics is Useful Also in Macroeconomics: The Role of Animal Spirits," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(2), pages 203-216, June.
    122. Linde, Jesper & Trabandt, Mathias, 2019. "Resolving the Missing Deflation Puzzle," CEPR Discussion Papers 13690, C.E.P.R. Discussion Papers.
    123. Jonathan Swarbrick, 2019. "Lending Standards, Productivity and Credit Crunches," Staff Working Papers 19-25, Bank of Canada.
    124. Fiedler, Salomon & Gern, Klaus-Jürgen & Jannsen, Nils & Wolters, Maik H., 2019. "Growth prospects, the natural interest rate, and monetary policy," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, vol. 13, pages 1-34.
    125. Sohei Kaihatsu & Koichiro Kamada & Mitsuru Katagiri, 2016. "Theoretical Foundations for Quantitative Easing," IMES Discussion Paper Series 16-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
    126. Nakata, Taisuke & Schmidt, Sebastian, 2019. "Expectations-driven liquidity traps: implications for monetary and fiscal policy," Working Paper Series 2304, European Central Bank.
    127. Valerie A. Ramey & Sarah Zubairy, 2018. "Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data," Journal of Political Economy, University of Chicago Press, vol. 126(2), pages 850-901.
    128. Maksim Isakin & Phuong V. Ngo, 2022. "Multiplicity in New Keynesian Models," Open Economies Review, Springer, vol. 33(3), pages 505-521, July.
    129. Leland E. Farmer, 2021. "The discretization filter: A simple way to estimate nonlinear state space models," Quantitative Economics, Econometric Society, vol. 12(1), pages 41-76, January.
    130. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
    131. Barthélemy, Jean & Mengus, Eric, 2018. "The signaling effect of raising inflation," Journal of Economic Theory, Elsevier, vol. 178(C), pages 488-516.
    132. Robert Amano & Thomas J. Carter & Rhys R. Mendes, 2016. "Comparing Forward Guidance and Neo-Fisherianism as Strategies for Escaping Liquidity Traps," Staff Analytical Notes 16-16, Bank of Canada.
    133. Kenny, Geoff & Dovern, Jonas, 2017. "The long-term distribution of expected inflation in the euro area: what has changed since the great recession?," Working Paper Series 1999, European Central Bank.
    134. Strobel, Johannes & Lee, Gabriel & Dorofeenko, Victor & Salyer, Kevin, 2019. "Time-Varying Risk Shocks and the Zero Lower Bound," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203491, Verein für Socialpolitik / German Economic Association.
    135. William A. Barnett & Unal Eryilmaz, 2023. "Monetary Policy and Determinacy: An Inquiry into Open Economy New Keynesian Macrodynamics," Open Economies Review, Springer, vol. 34(2), pages 217-253, April.
    136. Burçin Kısacıkoğlu, 2020. "Real Term Structure and New Keynesian Models," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 95-139, June.
    137. Martin M. Andreasen & Anders F. Kronborg, 2022. "The extended perturbation method: With applications to the New Keynesian model and the zero lower bound," Quantitative Economics, Econometric Society, vol. 13(3), pages 1171-1202, July.
    138. Tim Hursey & Alexander Wolman & Andreas Hornstein, 2014. "Monetary Policy and Global Equilibria in an Economy with Capital," 2014 Meeting Papers 733, Society for Economic Dynamics.
    139. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
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    141. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2014. "Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate?," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
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    Cited by:

    1. Pablo Guerron-Quintana & Tomohiro Hirano & Ryo Jinnai, 2020. "Recurrent Bubbles and Economic Growth," Discussion Papers 2012, Centre for Macroeconomics (CFM).
    2. Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo, 2021. "Bargaining shocks and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    3. Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2017. "On weak identification in structural VARMA models," Economics Letters, Elsevier, vol. 156(C), pages 1-6.
    4. Tyler Atkinson & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "The Zero Lower Bound and Estimation Accuracy," Working Papers 1804, Federal Reserve Bank of Dallas.
    5. Lawrence J. Christiano & Martin S. Eichenbaum & Mathias Trabandt, 2018. "On DSGE Models," Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 113-140, Summer.
    6. Chase Coleman & Spencer Lyon & Lilia Maliar & Serguei Maliar, 2021. "Matlab, Python, Julia: What to Choose in Economics?," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1263-1288, December.
    7. Parra-Alvarez, Juan Carlos & Polattimur, Hamza & Posch, Olaf, 2021. "Risk matters: Breaking certainty equivalence in linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    8. Gabriel Chodorow-Reich & Loukas Karabarbounis & Rohan Kekre, 2019. "The Macroeconomics of the Greek Depression," Working Papers 758, Federal Reserve Bank of Minneapolis.
    9. Mahdi Ebrahimi Kahou & Jesus Fernandez-Villaverde & Sebastian Gomez-Cardona & Jesse Perla & Jan Rosa, 2024. "Spooky Boundaries at a Distance: Inductive Bias, Dynamic Models, and Behavioral Macro," PIER Working Paper Archive 24-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    10. Pierre Mabille, 2019. "Aggregate Precautionary Savings Motives," 2019 Meeting Papers 344, Society for Economic Dynamics.
    11. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
    12. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    13. Papp, Tamás K. & Reiter, Michael, 2020. "Estimating linearized heterogeneous agent models using panel data," Journal of Economic Dynamics and Control, Elsevier, vol. 115(C).
    14. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2020. "Estimating DSGE Models: Recent Advances and Future Challenges," NBER Working Papers 27715, National Bureau of Economic Research, Inc.
    15. 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.
    16. Jean-Guillaume Sahuc & Gauthier Vermandel & Frank Smets, 2024. "The New Keynesian Climate Model," Working papers 977, Banque de France.
    17. Fernández-Villaverde, Jesús & Levintal, Oren, 2016. "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers 11115, C.E.P.R. Discussion Papers.
    18. Julien Albertini & Stéphane Moyen, 2020. "A General and Efficient Method for Solving Regime-Switching DSGE Models," Working Papers 2035, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon.
    19. Filippo Ferroni & Jonas D. M. Fisher & Leonardo Melosi, 2022. "Usual Shocks in our Usual Models," Working Paper Series WP 2022-39, Federal Reserve Bank of Chicago.
    20. Goyal, Ashima & Verma, Akhilesh K, 2023. "Cross border flows, financial intermediation and interactions of policy rules in a small open economy," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 369-393.
    21. Maximilian Goedl, 2017. "The Sovereign-Bank Interaction in the Eurozone Crisis," Graz Economics Papers 2017-10, University of Graz, Department of Economics.
    22. Glötzl, Erhard & Glötzl, Florentin & Richters, Oliver, 2018. "From constrained optimization to constrained dynamics: extending analogies between economics and mechanics," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181627, Verein für Socialpolitik / German Economic Association.
    23. Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017. "Bayesian estimation of agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
    24. Colla-De-Robertis, Esteban & Da-Rocha, Jose-Maria & García-Cutrin, Javier & Gutiérrez, María-José & Prellezo, Raul, 2018. "A bayesian estimation of the economic effects of the Common Fisheries Policy on the Galician Fleet: a dynamic stochastic general equilibrium approach," MPRA Paper 89944, University Library of Munich, Germany.
    25. Gohin, Alexandre & Zheng, Yu, 2020. "Reforming the European Common Agricultural Policy: From price & income support to risk management," Journal of Policy Modeling, Elsevier, vol. 42(3), pages 712-727.
    26. Beatrice Cherrier, 2023. "The Price of Virtue: Some Hypotheses on How Tractability Has Shaped Economic Models," Post-Print halshs-04378635, HAL.
    27. Gross, Isaac & Hansen, James, 2021. "Optimal policy design in nonlinear DSGE models: An n-order accurate approximation," European Economic Review, Elsevier, vol. 140(C).
    28. Haykaz Igityan & Hasmik Kartashyan, 2021. "Housing Market Drivers and Dynamics in Armenia," Working Papers 16, Central Bank of Armenia.
    29. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," NBER Working Papers 26768, National Bureau of Economic Research, Inc.
    30. Pablo Garcia Sanchez & Olivier Pierrard, 2026. "The Rich, The Poor, and The Carbon Tax," LIDAM Discussion Papers IRES 2026006, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    31. Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch, 2020. "Risk Matters: Breaking Certainty Equivalence," CESifo Working Paper Series 8250, CESifo.
    32. Ales Marsal & Katrin Rabitsch & Lorant Kaszab, 2023. "Undesired Consequences of Calvo Pricing in a Non-linear World," Working and Discussion Papers WP 1/2023, Research Department, National Bank of Slovakia.
    33. Brand, Thomas & Isoré, Marlène & Tripier, Fabien, 2019. "Uncertainty shocks and firm creation: Search and monitoring in the credit market," Journal of Economic Dynamics and Control, Elsevier, vol. 99(C), pages 19-53.
    34. Eugenio S.A. Bobenrieth & Juan R.A. Bobenrieth & Ernesto A. Guerra & Brian D. Wright & Di Zeng, 2021. "Putting the Empirical Commodity Storage Model Back on Track: Crucial Implications of a “Negligible” Trend," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(3), pages 1034-1057, May.
    35. Pablo Garcia Sanchez & Luca Marchiori & Olivier Pierrard, 2023. "Long-term care expenditures and investment decisions under uncertainty," BCL working papers 171, Central Bank of Luxembourg.
    36. Eric Jondeau & Grégory Levieuge & Jean-Guillaume Sahuc & Gauthier Vermandel, 2023. "Environmental Subsidies to Mitigate Net-Zero Transition Costs," Working papers 910, Banque de France.
    37. Rigato, Rodolfo Dinis, 2026. "A least-squares filter for sequence-space models," Working Paper Series 3191, European Central Bank.
    38. Gaygysyz Guljanov & Willi Mutschler & Mark Trede, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," CQE Working Papers 10122, Center for Quantitative Economics (CQE), University of Muenster.
    39. Jonas E. Arias & Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Minchul Shin, 2021. "Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs," Working Papers 21-18, Federal Reserve Bank of Philadelphia.
    40. Solis-Garcia, Mario, 2017. "Yes we can! Teaching DSGE models to undergraduate students," MPRA Paper 81754, University Library of Munich, Germany.
    41. Kukacka, Jiri & Sacht, Stephen, 2021. "Estimation of Heuristic Switching in Behavioral Macroeconomic Models," Economics Working Papers 2021-01, Christian-Albrechts-University of Kiel, Department of Economics.
    42. Guido Ascari & Sophocles Mavroeidis, 2020. "The unbearable lightness of equilibria in a low interest rate environment," Papers 2006.12966, arXiv.org, revised Dec 2021.
    43. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
    44. Cakici, S. Meral, 2024. "Risk premium in a real business cycle framework," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 111-122.
    45. Jonas E. Arias & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Minchul Shin, 2021. "Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs," Working Papers 2021-09, FEDEA.
    46. Guillermo Hausmann-Guil, 2025. "Solving DSGE models with incomplete markets by perturbation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 57, July.
    47. Pablo Garcia, 2021. "Learning, expectations and monetary policy," BCL working papers 153, Central Bank of Luxembourg.
    48. Alisdair McKay & Christian K. Wolf, 2023. "What Can Time‐Series Regressions Tell Us About Policy Counterfactuals?," Econometrica, Econometric Society, vol. 91(5), pages 1695-1725, September.
    49. Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2018. "Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan," Working Papers e120, Tokyo Center for Economic Research.
    50. Farkas, Mátyás & Tatar, Balint, 2020. "Bayesian estimation of DSGE models with Hamiltonian Monte Carlo," IMFS Working Paper Series 144, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    51. Basso, Henrique S., 2022. "Asset holdings, information aggregation in secondary markets and credit cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    52. Mitsuhiro Okano, 2026. "A Unified Framework for Equilibrium Selection in DSGE Models," Papers 2601.19329, arXiv.org.
    53. Jesús Fernández-Villaverde & Galo Nuno & Jesse Perla, 2024. "Taming the Curse of Dimensionality:Quantitative Economics with Deep Learning," PIER Working Paper Archive 24-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    54. Lott, Sherwin, 2019. "Perturbations in DSGE models: An odd derivatives theorem," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
    55. Ramis Khabibullin & Sergei Seleznev, 2022. "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Papers 2210.07154, arXiv.org.
    56. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
    57. Hasumi, Ryo & Iiboshi, Hirokuni, 2019. "A Bayesian Estimation of HANK models with Continuous Time Approach:Comparison between US and Japan," MPRA Paper 92292, University Library of Munich, Germany.
    58. Alexis Derviz, 2020. "Sovereign Capital, External Balance, and the Investment-Based Balassa-Samuelson Effect in a Global Dynamic Equilibrium," Working Papers 2020/4, Czech National Bank, Research and Statistics Department.
    59. Gáti, Laura, 2022. "Monetary policy & anchored expectations: an endogenous gain learning model," Working Paper Series 2685, European Central Bank.
    60. Charles Olivier Mao Takongmo, 2021. "DSGE models, detrending, and the method of moments," Bulletin of Economic Research, Wiley Blackwell, vol. 73(1), pages 67-99, January.
    61. Torres, Nicolás & Villarraga, Juan-Pablo & Sánchez, Wendy & Upegui, Sebastián, 2023. "Política monetaria contractiva en el control de la inflación: caso de estudio de las principales ciudades de Colombia [Contractionary monetary policy in inflation control: A case study of Colombia's major cities]," MPRA Paper 121192, University Library of Munich, Germany, revised 2023.
    62. Dmitry Kreptsev & Sergei Seleznev, 2018. "Forecasting for the Russian Economy Using Small-Scale DSGE Models," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 51-67, June.
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    70. Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
    71. G. Kenny, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 500-504, October.
    72. Iseringhausen, Martin & Petrella, Ivan & Theodoridis, Konstantinos, 2021. "Aggregate Skewness and the Business Cycle," Cardiff Economics Working Papers E2021/30, Cardiff University, Cardiff Business School, Economics Section.
    73. Tony Chernis, 2023. "Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis," Staff Working Papers 23-45, Bank of Canada.
    74. Ryan Cumings-Menon & Minchul Shin, 2020. "Probability Forecast Combination via Entropy Regularized Wasserstein Distance," Working Papers 20-31/R, Federal Reserve Bank of Philadelphia.
    75. Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Papers No 01/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    76. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2018. "Does a financial accelerator improve forecasts during financial crises?: Evidence from Japan with Prediction Pool Methods," MPRA Paper 85523, University Library of Munich, Germany.
    77. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
    78. Rodríguez, Aldo, 2020. "Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario," Dynare Working Papers 52, CEPREMAP.
    79. Baran, Sándor & Lerch, Sebastian, 2018. "Combining predictive distributions for the statistical post-processing of ensemble forecasts," International Journal of Forecasting, Elsevier, vol. 34(3), pages 477-496.
    80. Kenichiro McAlinn & Kosaku Takanashi, 2019. "Mean-shift least squares model averaging," Papers 1912.01194, arXiv.org.
    81. Josef Hollmayr & Michael Kuehl, 2016. "Imperfect Information about Financial Frictions and Consequences for the Business Cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 179-207, October.
    82. Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
    83. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    84. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    85. Kapetanios, G. & Mitchell, J. & Price, S. & Fawcett, N., 2015. "Generalised density forecast combinations," Journal of Econometrics, Elsevier, vol. 188(1), pages 150-165.
    86. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Dynamic predictive density combinations for large data sets in economics and finance," Working Paper 2015/12, Norges Bank.
    87. Deák, Szabolcs & Levine, Paul & Mirza, Afrasiab & Pearlman, Joseph, 2025. "All models are wrong but all can be useful: Robust policy design using prediction pools," Journal of Economic Dynamics and Control, Elsevier, vol. 176(C).
    88. Juan C. Méndez-Vizcaíno & Alexander Guarin & César Anzola-Bravo & Anderson Grajales-Olarte, 2021. "Characterizing and Communicating the Balance of Risks of Macroeconomic Forecasts: A Predictive Density Approach for Colombia," Borradores de Economia 1178, Banco de la Republica de Colombia.
    89. Sean Langcake & Tim Robinson, 2018. "Forecasting the Australian economy with DSGE and BVAR models," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 251-267, January.
    90. Fabio Busetti, 2017. "Quantile Aggregation of Density Forecasts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(4), pages 495-512, August.
    91. Deniz Igan & Thomas Lambert & Prachi Mishra & Eden Zhang, 2024. "The Politics of the Paycheck Protection Program," Working Papers 133, Ashoka University, Department of Economics.
    92. S Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2018. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 87-118.
    93. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.
    94. Zhang, Keyi & Gençay, Ramazan & Ege Yazgan, M., 2017. "Application of wavelet decomposition in time-series forecasting," Economics Letters, Elsevier, vol. 158(C), pages 41-46.
    95. Krzysztof Drachal, 2018. "Some Novel Bayesian Model Combination Schemes: An Application to Commodities Prices," Sustainability, MDPI, vol. 10(8), pages 1-27, August.
    96. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
    97. Bernaciak, Dawid & Griffin, Jim E., 2024. "A loss discounting framework for model averaging and selection in time series models," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1721-1733.
    98. Domit, Sílvia & Monti, Francesca & Sokol, Andrej, 2019. "Forecasting the UK economy with a medium-scale Bayesian VAR," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1669-1678.
    99. Markus Heinrich & Magnus Reif, 2020. "Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters," CESifo Working Paper Series 8054, CESifo.
    100. Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic forecast accuracy in a data‐rich environment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1050-1072, November.
    101. Doriane Intungane, 2023. "The impact of macroprudential policies on the transmission of shocks across financially integrated countries," Review of International Economics, Wiley Blackwell, vol. 31(1), pages 249-273, February.
    102. Iiboshi, Hirokuni, 2016. "A multiple DSGE-VAR approach: Priors from a combination of DSGE models and evidence from Japan," Japan and the World Economy, Elsevier, vol. 40(C), pages 1-8.
    103. Sílvia Domit & Francesca Monti & Andrej Sokol, 2016. "A Bayesian VAR benchmark for COMPASS," Bank of England working papers 583, Bank of England.
    104. Rangan Gupta & Xiaojin Sun, 2022. "Time-Varying Parameter Four-Equation DSGE Model," Working Papers 202234, University of Pretoria, Department of Economics.
    105. Daniel Wochner, 2020. "Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions," KOF Working papers 20-472, KOF Swiss Economic Institute, ETH Zurich.
    106. Zheng Fan & Worapree Maneesoonthorn & Yong Song, 2025. "A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage," Papers 2507.14408, arXiv.org.
    107. K=osaku Takanashi & Kenichiro McAlinn, 2019. "Equivariant online predictions of non-stationary time series," Papers 1911.08662, arXiv.org, revised Jun 2023.
    108. Martin Harding & Rafael Wouters, 2022. "Risk and State-Dependent Financial Frictions," Staff Working Papers 22-37, Bank of Canada.
    109. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.

  24. Schorfheide, Frank & Wolpin, Kenneth I., 2014. "To Hold Out or Not to Hold Out," Working Papers 14-018, Rice University, Department of Economics.

    Cited by:

    1. Banghua Zhu & Sai Praneeth Karimireddy & Jiantao Jiao & Michael I. Jordan, 2023. "Online Learning in a Creator Economy," Papers 2305.11381, arXiv.org.
    2. Jia, Zhiyang & Vattø, Trine Engh, 2021. "Predicting the path of labor supply responses when state dependence matters," Labour Economics, Elsevier, vol. 71(C).
    3. John Rust, 2014. "The Limits of Inference with Theory: A Review of Wolpin (2013)," Journal of Economic Literature, American Economic Association, vol. 52(3), pages 820-850, September.
    4. Banghua Zhu & Stephen Bates & Zhuoran Yang & Yixin Wang & Jiantao Jiao & Michael I. Jordan, 2022. "The Sample Complexity of Online Contract Design," Papers 2211.05732, arXiv.org, revised May 2023.
    5. Paul Duetting & Michal Feldman & Tomasz Ponitka & Ermis Soumalias, 2025. "The Pseudo-Dimension of Contracts," Papers 2501.14474, arXiv.org.
    6. de Bresser, Jochem, 2021. "Evaluating the Accuracy of Counterfactuals The Role of Heterogeneous Expectations in Life Cycle Models," Discussion Paper 2021-034, Tilburg University, Center for Economic Research.
    7. Maibom, Jonas, 2021. "The Danish Labor Market Experiments: Methods and Findings," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2021(1), pages 1-21.
    8. Sebastian Galiani & Juan Pantano, 2021. "Structural Models: Inception and Frontier," NBER Working Papers 28698, National Bureau of Economic Research, Inc.
    9. de Bresser, Jochem, 2021. "Evaluating the Accuracy of Counterfactuals The Role of Heterogeneous Expectations in Life Cycle Models," Other publications TiSEM a7e2b4d8-fed0-4e86-926f-d, Tilburg University, School of Economics and Management.

  25. S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP measurement: a measurement-error perspective," Working Papers 13-16, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Jeremy J. Nalewaik, 2014. "Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression," Finance and Economics Discussion Series 2014-27, Board of Governors of the Federal Reserve System (U.S.).
    2. Reinelt, Timo & Meier, Matthias, 2020. "Monetary policy, markup dispersion, and aggregate TFP," Working Paper Series 2427, European Central Bank.
    3. Arabinda Basistha, 2023. "Estimation of short‐run predictive factor for US growth using state employment data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 34-50, January.
    4. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, Department of Economics and Business Economics, Aarhus University.
    5. John C. Williams, 2015. "Data is the new black: monetary policy by the numbers," Speech 140, Federal Reserve Bank of San Francisco.
    6. Demetrescu, Matei & Kruse-Becher, Robinson, 2025. "Is U.S. real output growth non-normal? A tale of time-varying location and scale," Journal of Economic Dynamics and Control, Elsevier, vol. 171(C).
    7. Daniel Aaronson & Scott A. Brave & Michael Fogarty & Ezra Karger & Spencer D. Krane, 2021. "Tracking U.S. Consumers in Real Time with a New Weekly Index of Retail Trade," Working Paper Series WP-2021-05, Federal Reserve Bank of Chicago, revised 18 Jun 2021.
    8. Pinkwart, Nicolas, 2018. "Short-term forecasting economic activity in Germany: A supply and demand side system of bridge equations," Discussion Papers 36/2018, Deutsche Bundesbank.
    9. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    10. Anesti, Nikoleta & Galvao, Ana Beatriz & Miranda-Agrippino, Silvia, 2018. "Uncertain kingdom: nowcasting GDP and its revisions," LSE Research Online Documents on Economics 90382, London School of Economics and Political Science, LSE Library.
    11. Nalewaik, Jeremy & Pinto, Eugénio, 2015. "The response of capital goods shipments to demand over the business cycle," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 62-80.
    12. Ben Zeev, Nadav & Pappa, Evi, 2015. "Multipliers of unexpected increases in defense spending: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 205-226.
    13. Sekine, Toshitaka, 2022. "Looking from Gross Domestic Income: Alternative view of Japan’s economy," Japan and the World Economy, Elsevier, vol. 64(C).
    14. John C. Williams, 2015. "The recovery’s final frontier?," Speech 150, Federal Reserve Bank of San Francisco.
    15. Petrella, Ivan & Venditti, Fabrizio & Delle Monache, Davide, 2016. "Adaptive state space models with applications to the business cycle and financial stress," CEPR Discussion Papers 11599, C.E.P.R. Discussion Papers.
    16. Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
    17. John C. Williams, 2015. "Looking forward: the path for monetary policy," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    18. Andrew C. Chang & Phillip Li, 2018. "Measurement Error In Macroeconomic Data And Economics Research: Data Revisions, Gross Domestic Product, And Gross Domestic Income," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1846-1869, July.
    19. Tomaz Cajner & Leland D. Crane & Ryan A. Decker & Adrian Hamins-Puertolas & Christopher Kurz, 2019. "Improving the Accuracy of Economic Measurement with Multiple Data Sources: The Case of Payroll Employment Data," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 147-170, National Bureau of Economic Research, Inc.
    20. Wankeun Oh & Jonghyun Yoo, 2020. "Long-Term Increases and Recent Slowdowns of CO 2 Emissions in Korea," Sustainability, MDPI, vol. 12(17), pages 1-13, August.
    21. Tom Stark, 2015. "First quarters in the national income and product accounts," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue May.
    22. Yannic Stucki, 2022. "Measuring Swiss employment growth: a measurement-error approach," Working Papers 2022-11, Swiss National Bank.
    23. Arabinda Basistha, 2026. "The Role of Global Inflation in Estimation of US Output Components in the post Bretton Woods Era: Evidence from Multivariate Unobserved Components Models," Working Papers 26-04, Department of Economics, West Virginia University.
    24. Peter A.G. van Bergeijk, 2017. "Making Data Measurement Errors Transparent: The Case of the IMF," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 18(3), pages 133-154, July.
    25. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
    26. Daniel Rees & David Lancaster & Richard Finlay, 2014. "A State-space Approach to Australian GDP Measurement," RBA Research Discussion Papers rdp2014-12, Reserve Bank of Australia.
    27. Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe & Glenn D. Rudebusch & Boyuan Zhang, 2020. "Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach," PIER Working Paper Archive 20-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    28. Mitchell, James & Shiroff, Taylor, 2025. "Are revisions to state-level GDP data in the US well behaved?," Economics Letters, Elsevier, vol. 254(C).
    29. Tom Stark, 2014. "Real-time performance of GDPplus and alternative model-based measures of GDP: 2005—2014," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue Nov.
    30. Buccheri, Giuseppe & Renò, Roberto & Vocalelli, Giorgio, 2025. "Taking advantage of biased proxies for forecast evaluation," Journal of Econometrics, Elsevier, vol. 251(C).
    31. Nikoleta Anesti & Ana Beatriz Galvão & Silvia Miranda‐Agrippino, 2022. "Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 42-62, January.
    32. Nikolay Gospodinov & Ivana Komunjer & Serena Ng, 2014. "Minimum Distance Estimation of Dynamic Models with Errors-In-Variables," FRB Atlanta Working Paper 2014-11, Federal Reserve Bank of Atlanta.
    33. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP Measurement: A Forecast Combination Perspective," PIER Working Paper Archive 11-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    34. Jan-Benedict E. M. Steenkamp & Alberto Maydeu-Olivares, 2023. "Unrestricted factor analysis: A powerful alternative to confirmatory factor analysis," Journal of the Academy of Marketing Science, Springer, vol. 51(1), pages 86-113, January.
    35. van Bergeijk, P.A.G., 2017. "Measurement error of global production," ISS Working Papers - General Series 632, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague.
    36. Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper 559, Tor Vergata University, CEIS, revised 15 Jun 2023.
    37. Onno Kleen, 2024. "Scaling and measurement error sensitivity of scoring rules for distribution forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 833-849, August.
    38. Matthew Read, 2024. "Sign Restrictions and Supply-demand Decompositions of Inflation," RBA Research Discussion Papers rdp2024-05, Reserve Bank of Australia.
    39. Kurt Graden Lunsford, 2023. "The Discrepancy Between Expenditure- and Income-Side Estimates of US Output," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2023(01), pages 1-7, January.
    40. Garciga, Christian & Knotek II, Edward S., 2019. "Forecasting GDP growth with NIPA aggregates: In search of core GDP," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1814-1828.
    41. Jiang, Fuwei & Kang, Jie & Meng, Lingchao, 2024. "Certainty of uncertainty for asset pricing," Journal of Empirical Finance, Elsevier, vol. 78(C).
    42. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
    43. Prydz, Espen Beer & Jolliffe, Dean & Serajuddin, Umar, 2021. "Mind the Gap," GLO Discussion Paper Series 944, Global Labor Organization (GLO).
    44. Eiji Goto & Jan P.A.M. Jacobs & Tara M. Sinclair & Simon van Norden, 2021. "Employment Reconciliation and Nowcasting," Working Papers 2021-007, The George Washington University, The Center for Economic Research.
    45. J. Wang & John Fernald, 2016. "Why Has the Cyclicality of Productivity Changed? What Does It Mean?," 2016 Meeting Papers 1220, Society for Economic Dynamics.
    46. Ammi, Mehdi & Arpin, Emmanuelle & Allin, Sara, 2021. "Interpreting forty-three-year trends of expenditures on public health in Canada: Long-run trends, temporal periods, and data differences," Health Policy, Elsevier, vol. 125(12), pages 1557-1564.
    47. Carriero, Andrea & Clements, Michael P. & Galvão, Ana Beatriz, 2015. "Forecasting with Bayesian multivariate vintage-based VARs," International Journal of Forecasting, Elsevier, vol. 31(3), pages 757-768.
    48. James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020. "Reconciled Estimates of Monthly GDP in the US," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
    49. Geng, Pei, 2022. "Estimation of functional-coefficient autoregressive models with measurement error," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    50. Gospodinov, Nikolay & Komunjer, Ivana & Ng, Serena, 2017. "Simulated minimum distance estimation of dynamic models with errors-in-variables," Journal of Econometrics, Elsevier, vol. 200(2), pages 181-193.
    51. Lee, Hangyu & Kim, Tae Bong, 2023. "The effectiveness of labor market indicators for conducting monetary policy: Evidence from the Korean economy," Economic Modelling, Elsevier, vol. 118(C).
    52. Alifatussaadah, Ardiana & Primariesty, Anindya Diva & Soleh, Agus Mohamad & Andriansyah, Andriansyah, 2019. "Nowcasting Indonesia's GDP Growth: Are Fiscal Data Useful?," MPRA Paper 105252, University Library of Munich, Germany.
    53. Hu, Yingyao & Yao, Jiaxiong, 2022. "Illuminating economic growth," Journal of Econometrics, Elsevier, vol. 228(2), pages 359-378.
    54. Jan P.A.M. Jacobs & Samad Sarferaz & Simon van Norden & Jan-Egbert Sturm, 2013. "Modeling Multivariate Data Revisions," CIRANO Working Papers 2013s-44, CIRANO.
    55. Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.
    56. Florian Eckert & Nina Mühlebach, 2023. "Global and local components of output gaps," Empirical Economics, Springer, vol. 65(5), pages 2301-2331, November.
    57. Víctor M. Guerrero & Juan A. Mendoza, 2019. "On measuring economic growth from outer space: a single country approach," Empirical Economics, Springer, vol. 57(3), pages 971-990, September.
    58. Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
    59. Gyurkovics, Éva & Takács, Tibor, 2022. "Robust energy-to-peak filter design for a class of unstable polytopic systems with a macroeconomic application," Applied Mathematics and Computation, Elsevier, vol. 420(C).
    60. John C. Williams, 2015. "Looking forward, forward looking: the path for monetary policy," Speech 138, Federal Reserve Bank of San Francisco.

  26. S. Boragan Aruoba & Frank Schorfheide, 2013. "Macroeconomic dynamics near the ZLB: a tale of two equilibria," Working Papers 13-29, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Campbell Leith & Ding Liu, 2014. "The inflation bias under Calvo and Rotemberg pricing," Working Papers 2014_06, Business School - Economics, University of Glasgow.
    2. Ngo, Phuong V., 2021. "Fiscal Multipliers At The Zero Lower Bound: The Role Of Government Spending Persistence," Macroeconomic Dynamics, Cambridge University Press, vol. 25(4), pages 970-997, June.
    3. William T. Gavin & Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The stimulative effect of forward guidance," Working Papers 2013-38, Federal Reserve Bank of St. Louis.
    4. Kaufmann, Daniel & Bäurle, Gregor, 2013. "Exchange Rate and Price Dynamics at the Zero Lower Bound," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79872, Verein für Socialpolitik / German Economic Association.
    5. Viktor Tsyrennikov & Serguei Maliar & Lilia Maliar & Cristina Arellano, 2015. "Envelope Condition Method with an Application to Default Risk Models," 2015 Meeting Papers 1239, Society for Economic Dynamics.
    6. Howard Kung & Gonzalo Morales & Francesco Bianchi, 2015. "Monetary/Fiscal Policy Mix and Asset Prices," 2015 Meeting Papers 1224, Society for Economic Dynamics.
    7. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    8. De Grauwe, Paul & Ji, Yuemei, 2016. "Inflation Targets And The Zero Lower Bound In A Behavioral Macroeconomic Model," CEPR Discussion Papers 11320, C.E.P.R. Discussion Papers.
    9. Valerio Scalone, 2018. "Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound," Working papers 688, Banque de France.
    10. Francesco Bianchi & Leonardo Melosi, 2016. "Escaping the Great Recession," Working Paper Series WP-2016-16, Federal Reserve Bank of Chicago.
    11. Gilles Dufrénot & Anwar Khayat, 2014. "Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation," AMSE Working Papers 1408, Aix-Marseille School of Economics, France, revised Jan 2014.
    12. Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The Zero Lower Bound: Frequency, Duration, and Determinacy," Auburn Economics Working Paper Series auwp2013-16, Department of Economics, Auburn University.
    13. Alexander Richter & Nathaniel Throckmorton & Todd Walker, 2014. "Accuracy, Speed and Robustness of Policy Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 445-476, December.
    14. Yasuo Hirose & Atsushi Inoue, 2016. "The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 630-651, June.
    15. Roc Armenter, 2013. "The perils of nominal targets," Working Papers 14-2, Federal Reserve Bank of Philadelphia.
    16. Andrew Binning & Junior Maih, 2015. "Sigma Point Filters For Dynamic Nonlinear Regime Switching Models," Working Papers No 4/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    17. Volker Hahn, 2017. "Policy Effects in a Simple Fully Non-Linear New Keynesian Model of the Liquidity Trap," Working Paper Series of the Department of Economics, University of Konstanz 2017-05, Department of Economics, University of Konstanz.
    18. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
    19. Magali Marx & Benoit Mojon & Francois R. Velde, 2018. "Why Have Interest Rates Fallen Far Below the Return on Capital," Working Paper Series WP-2018-1, Federal Reserve Bank of Chicago.
    20. Jean Barthélemy & Eric Mengus, 2016. "The Signaling Effect of Raising Inflation," Sciences Po Economics Discussion Papers hal-03471880, HAL.
    21. Devereux, Michael B. & Young, Eric R. & Yu, Changhua, 2019. "Capital controls and monetary policy in sudden-stop economies," Journal of Monetary Economics, Elsevier, vol. 103(C), pages 52-74.
    22. William T. Gavin & Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "Global Dynamics at the Zero Lower Bound," Auburn Economics Working Paper Series auwp2013-17, Department of Economics, Auburn University.
    23. Ryan Niladri Banerjee & Fabrizio Zampolli, 2016. "What drives the short-run costs of fiscal consolidation? Evidence from OECD countries," BIS Working Papers 553, Bank for International Settlements.
    24. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2017. "Lower Bounds on Approximation Errors to Numerical Solutions of Dynamic Economic Models," Econometrica, Econometric Society, vol. 85, pages 991-1012, May.
    25. Dumas, Bernard & Savioz, Marcel René, 2020. "A Theory of the Nominal Character of Stock Securities," CEPR Discussion Papers 15507, C.E.P.R. Discussion Papers.
    26. Piero Ferri & Fabio Tramontana, 2022. "Autonomous demand, multiple equilibria and unemployment dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 209-223, January.
    27. Mitsuru Katagiri, 2016. "Forward Guidance as a Monetary Policy Rule," Bank of Japan Working Paper Series 16-E-6, Bank of Japan.
    28. Roc Armenter, 2014. "The Perils of Nominal Targets," 2014 Meeting Papers 428, Society for Economic Dynamics.
    29. Phuong Ngo & Jianjun Miao, 2015. "Does Calvo Meet Rotemberg at the Zero Lower Bound?," 2015 Meeting Papers 602, Society for Economic Dynamics.
    30. Chen, Han, 2017. "The effects of the near-zero interest rate policy in a regime-switching dynamic stochastic general equilibrium model," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 176-192.
    31. James Morley, 2016. "Macro-Finance Linkages," Journal of Economic Surveys, Wiley Blackwell, vol. 30(4), pages 698-711, September.
    32. Eo, Yunjong & McClung, Nigel, 2021. "Determinacy and E-stability with interest rate rules at the zero lower bound," Bank of Finland Research Discussion Papers 14/2021, Bank of Finland.
    33. Mathieu Boullot, 2017. "Secular Stagnation, Liquidity Trap and Rational Asset Price Bubbles," Working Papers halshs-01295012, HAL.
    34. Paul Grauwe & Yuemei Ji, 2018. "Behavioural Economics is Useful Also in Macroeconomics: The Role of Animal Spirits," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(2), pages 203-216, June.
    35. Sohei Kaihatsu & Koichiro Kamada & Mitsuru Katagiri, 2016. "Theoretical Foundations for Quantitative Easing," IMES Discussion Paper Series 16-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
    36. Valerie A. Ramey & Sarah Zubairy, 2018. "Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data," Journal of Political Economy, University of Chicago Press, vol. 126(2), pages 850-901.
    37. Francois Velde & Benoït Mojon & Magali Marx, 2017. "Why Are Real Interest Rates So Low?," 2017 Meeting Papers 1292, Society for Economic Dynamics.
    38. Jean-Luc Gaffard & Mauro Napoletano & Andrea Roventini, 2017. "Time-varying fiscal multipliers in an agent based model with credit-rationing," Sciences Po Economics Publications (main) hal-03455367, HAL.
    39. Robert Amano & Thomas J. Carter & Rhys R. Mendes, 2016. "Comparing Forward Guidance and Neo-Fisherianism as Strategies for Escaping Liquidity Traps," Staff Analytical Notes 16-16, Bank of Canada.
    40. Tim Hursey & Alexander Wolman & Andreas Hornstein, 2014. "Monetary Policy and Global Equilibria in an Economy with Capital," 2014 Meeting Papers 733, Society for Economic Dynamics.
    41. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2014. "Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate?," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    42. Fernando M. Duarte & Anna Zabai, 2015. "An interest rate rule to uniquely implement the optimal equilibrium in a liquidity trap," Staff Reports 745, Federal Reserve Bank of New York.
    43. Roulleau-Pasdeloup, Jordan, 2020. "Optimal monetary policy and determinacy under active/passive regimes," European Economic Review, Elsevier, vol. 130(C).
    44. Luigi Bocola, 2014. "The Pass-Through of Sovereign Risk," 2014 Meeting Papers 1286, Society for Economic Dynamics.
    45. Yasuo Hirose, 2014. "An Estimated DSGE Model with a Deflation Steady State," CAMA Working Papers 2014-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    46. Alstadheim, Ragna, 2016. "The zero lower bound on the interest rate and a Neoclassical Phillips curve," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 116-130.
    47. Dufrénot, Gilles & Khayat, Guillaume A., 2017. "Monetary Policy Switching In The Euro Area And Multiple Steady States: An Empirical Investigation," Macroeconomic Dynamics, Cambridge University Press, vol. 21(5), pages 1175-1188, July.

  27. Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2013. "Shrinkage estimation of high-dimensional factor models with structural instabilities," Working Papers 14-4, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Ma, Shujie & Su, Liangjun, 2018. "Estimation of large dimensional factor models with an unknown number of breaks," Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
    2. Badi Baltagi & Qu Feng & Chihwa Kao, 2019. "Structural Changes in Heterogeneous Panels with Endogenous Regressors," Center for Policy Research Working Papers 214, Center for Policy Research, Maxwell School, Syracuse University.
    3. Barigozzi, Matteo & Massacci, Daniele, 2025. "Modelling large dimensional datasets with Markov switching factor models," Journal of Econometrics, Elsevier, vol. 247(C).
    4. Duan, Jiangtao & Bai, Jushan & Han, Xu, 2023. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 233(1), pages 209-236.
    5. Yohei Yamamoto, 2016. "Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 81-106, January.
    6. Wang, Lu & Zhou, Ruichao & Wu, Jianhong, 2021. "Determining the number of breaks in large dimensional factor models with structural changes," Economics Letters, Elsevier, vol. 199(C).
    7. Tatsushi Oka & Pierre Perron, 2016. "Testing for Common Breaks in a Multiple Equations System," Papers 1606.00092, arXiv.org, revised Jan 2018.
    8. Laurent Callot & Johannes Tang Kristensen, 2015. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," CREATES Research Papers 2015-29, Department of Economics and Business Economics, Aarhus University.
    9. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
    10. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    11. Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2020. "Macroeconomic forecasting using approximate factor models with outliers," International Journal of Forecasting, Elsevier, vol. 36(2), pages 267-291.
    12. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2020. "Estimation of large dimensional conditional factor models in finance," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 219-282, Elsevier.
    13. Hyungsik Roger Moon & Martin Weidner, 2019. "Nuclear norm regularized estimation of panel regression models," CeMMAP working papers CWP14/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    14. Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024. "The likelihood ratio test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 238(2).
    15. Jiangtao Duan & Jushan Bai & Xu Han, 2025. "Taxonomy and Estimation of Multiple Breakpoints in High-Dimensional Factor Models," Papers 2503.06645, arXiv.org, revised Apr 2026.
    16. Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
    17. Okui, Ryo & Wang, Wendun, 2021. "Heterogeneous structural breaks in panel data models," Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
    18. Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
    19. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
    20. Ma, Chenchen & Tu, Yundong, 2025. "When structural break meets threshold effect: Factor analysis under structural instabilities," Journal of Econometrics, Elsevier, vol. 249(PB).
    21. Matteo Barigozzi & Lorenzo Trapani, 2018. "Sequential testing for structural stability in approximate factor models," Discussion Papers 18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
    22. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
    23. Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations," Textos para discussão 636, Department of Economics PUC-Rio (Brazil).
    24. Bai, Jushan & Han, Xu & Shi, Yutang, 2020. "Estimation and inference of change points in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 219(1), pages 66-100.
    25. Maxime Leroux & Rachidi Kotchoni & Dalibor Stevanovic, 2017. "Forecasting economic activity in data-rich environment," EconomiX Working Papers 2017-5, University of Paris Nanterre, EconomiX.
    26. Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
    27. Chen, Liang, 2015. "Estimating the common break date in large factor models," Economics Letters, Elsevier, vol. 131(C), pages 70-74.
    28. Pablo Guerron-Quintana & Alexey Khazanov & Molin Zhong, 2026. "A Nonlinear Dynamic Factor Model for Financial and Macroeconomic Data," Boston College Working Papers in Economics 1106, Boston College Department of Economics.
    29. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
    30. Boudt, Kris & Heyndels, Ewoud, 2024. "Robust interactive fixed effects," Econometrics and Statistics, Elsevier, vol. 29(C), pages 206-223.
    31. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," LSE Research Online Documents on Economics 88110, London School of Economics and Political Science, LSE Library.
    32. Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2017. "Identification and estimation of a large factor model with structural instability," Journal of Econometrics, Elsevier, vol. 197(1), pages 87-100.
    33. Xu Han & Atsushi Inoue, 2011. "Tests for Parameter Instability in Dynamic Factor Models," TERG Discussion Papers 306, Graduate School of Economics and Management, Tohoku University, revised May 2013.
    34. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
    35. Jaeheon Jung, 2019. "Estimating a Large Covariance Matrix in Time-varying Factor Models," Papers 1910.11965, arXiv.org.
    36. Wang, Xia & Jin, Sainan & Li, Yingxing & Qian, Junhui & Su, Liangjun, 2025. "On time-varying panel data models with time-varying interactive fixed effects," Journal of Econometrics, Elsevier, vol. 249(PB).
    37. M. Chudý & S. Karmakar & W. B. Wu, 2020. "Long-term prediction intervals of economic time series," Empirical Economics, Springer, vol. 58(1), pages 191-222, January.
    38. Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2016. "Estimating and testing high dimensional factor models with multiple structural changes," MPRA Paper 98489, University Library of Munich, Germany, revised 26 Jul 2019.
    39. Zhou, Ruichao & Wu, Jianhong, 2023. "Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion," Economics Letters, Elsevier, vol. 232(C).
    40. Matthew F. Dixon & Nicholas G. Polson & Kemen Goicoechea, 2022. "Deep Partial Least Squares for Empirical Asset Pricing," Papers 2206.10014, arXiv.org.
    41. Simon Freyaldenhoven, 2020. "Identification Through Sparsity in Factor Models," Working Papers 20-25, Federal Reserve Bank of Philadelphia.
    42. Urga, Giovanni & Wang, Fa, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," MPRA Paper 117012, University Library of Munich, Germany, revised 10 Apr 2023.
    43. Han, Chirok & Kim, Dukpa, 2020. "Testing for the null of block zero restrictions in common factor models," Economics Letters, Elsevier, vol. 188(C).
    44. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
    45. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
    46. Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).
    47. Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
    48. Peng, Bin & Su, Liangjun & Yan, Yayi, 2025. "A robust residual-based test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 251(C).
    49. Wang, Lu & Wu, Jianhong, 2022. "Estimation of high-dimensional factor models with multiple structural changes," Economic Modelling, Elsevier, vol. 108(C).
    50. Urga, Giovanni & Wang, Fa, 2022. "Estimation and inference for high dimensional factor model with regime switching," MPRA Paper 113172, University Library of Munich, Germany.
    51. Markus Pelger & Ruoxuan Xiong, 2018. "State-Varying Factor Models of Large Dimensions," Papers 1807.02248, arXiv.org, revised Oct 2020.
    52. Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2023. "Comparing forecasting performance in cross-sections," Journal of Econometrics, Elsevier, vol. 237(2).
    53. Wu, Jianhong, 2021. "Estimation of high dimensional factor model with multiple threshold-type regime shifts," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    54. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    55. Cui, Junfeng & Wang, Guanghui & Zou, Changliang & Wang, Zhaojun, 2023. "Change-point testing for parallel data sets with FDR control," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
    56. Su, Liangjun & Jin, Sainan & Wang, Xia, 2025. "Sieve estimation of state-varying factor models," Journal of Econometrics, Elsevier, vol. 251(C).
    57. Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2017. "Risk evaluations with robust approximate factor models," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 244-264.
    58. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2017. "Dynamic semiparametric factor model with a common break," SFB 649 Discussion Papers 2017-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    59. Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024. "Reprint of: The likelihood ratio test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 244(2).
    60. Bai, Jushan & Li, Kunpeng & Lu, Lina, 2014. "Estimation and inference of FAVAR models," MPRA Paper 60960, University Library of Munich, Germany.
    61. Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-Switching Three-Pass Regression Filter," Staff Working Papers 17-13, Bank of Canada.
    62. Ma, Chenchen & Tu, Yundong, 2023. "Shrinkage estimation of multiple threshold factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1876-1892.
    63. Xiang, Jingjie, 2025. "How to select the number of factors in break point estimation of high-dimensional factor models?," Economics Letters, Elsevier, vol. 254(C).
    64. Chen, Sanpan & Cui, Guowei & Zhang, Jianhua, 2017. "On testing for structural break of coefficients in factor-augmented regression models," Economics Letters, Elsevier, vol. 161(C), pages 141-145.
    65. Knut Are Aastveit & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2014. "Have standard VARs remained stable since the crisis?," Working Paper 2014/13, Norges Bank.
    66. Lumsdaine, Robin L. & Okui, Ryo & Wang, Wendun, 2023. "Estimation of panel group structure models with structural breaks in group memberships and coefficients," Journal of Econometrics, Elsevier, vol. 233(1), pages 45-65.
    67. Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
    68. Ha, Jongrim & Kose, M. Ayhan & Ohnsorge, Franziska, 2023. "One-stop source: A global database of inflation," Journal of International Money and Finance, Elsevier, vol. 137(C).
    69. Urga, Giovanni & Wang, Fa, 2024. "Estimation and inference for high dimensional factor model with regime switching," Journal of Econometrics, Elsevier, vol. 241(2).
    70. Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic forecast accuracy in a data‐rich environment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1050-1072, November.
    71. Ma, Chenchen & Tu, Yundong, 2023. "Group fused Lasso for large factor models with multiple structural breaks," Journal of Econometrics, Elsevier, vol. 233(1), pages 132-154.

  28. Marco Del Negro & Marc Giannoni & Frank Schorfheide, 2013. "Inflation in the Great Recession and New Keynesian models," Staff Reports 618, Federal Reserve Bank of New York.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    2. Joshua Brault & Louis Phaneuf, 2025. "What Drives Low and Stable Inflation?," Working Papers 25-02, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
    3. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
    4. Marius Brulhart & Didier Dupertuis & Elodie Moreau, 2016. "Inheritance Flows in Switzerland, 1911-2011," Cahiers de Recherches Economiques du Département d'économie 16.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    5. Tommaso Gasparini & Vivien Lewis & Stephane Moyen & Stefania Villa, 2026. "Risky firms and fragile banks: implications for macroprudential policy," Temi di discussione (Economic working papers) 1518, Bank of Italy, Economic Research and International Relations Area.
    6. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2017. "Model uncertainty in macroeconomics: On the implications of financial frictions," IMFS Working Paper Series 114, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    7. Elfsbacka Schmöller, Michaela & Spitzer, Martin, 2022. "Lower for longer under endogenous technology growth," Working Paper Series 2714, European Central Bank.
    8. Jannsen, Nils & Wolters, Maik H., 2016. "Zu Produktionspotenzial und Produktionslücke in den Vereinigten Staaten," Kiel Insight 2016.2, Kiel Institute for the World Economy.
    9. Callum Jones & Mariano Kulish & Daniel M. Rees, 2018. "International Spillovers of Forward Guidance Shocks," IMF Working Papers 2018/114, International Monetary Fund.
    10. Jordan Roulleau-Pasdeloup, 2017. "The Government Spending Multiplier in a (Mis-)Managed Liquidity Trap," Cahiers de Recherches Economiques du Département d'économie 17.04, Université de Lausanne, Faculté des HEC, Département d’économie.
    11. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Ayşegül Şahin, 2019. "A unified approach to measuring u," Staff Reports 889, Federal Reserve Bank of New York.
    12. Valentina Michelangeli & Fabio Massimo Piersanti, 2025. "Business loan characteristics and inflation shocks transmission in the euro area," Temi di discussione (Economic working papers) 1477, Bank of Italy, Economic Research and International Relations Area.
    13. Merola, Rossana, 2015. "The role of financial frictions during the crisis: An estimated DSGE model," Economic Modelling, Elsevier, vol. 48(C), pages 70-82.
    14. Jørgensen, Peter Lihn & Lansing, Kevin J., 2025. "Anchored inflation expectations and the slope of the Phillips curve," European Economic Review, Elsevier, vol. 178(C).
    15. Mark Gertler, 2015. "Comment," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 354-365.
    16. Callum Jones, 2018. "Household Leverage and the Recession," 2018 Meeting Papers 933, Society for Economic Dynamics.
    17. Thórarinn G. Pétursson, 2019. "Long-term inflation expectations and inflation dynamics," Economics wp81, Department of Economics, Central bank of Iceland.
    18. Marco Del Negro, 2017. "EconomicDynamics Interview: Marco Del Negro about DSGE modelling in policy," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 18(1), April.
    19. Aicha Kharazi, 2022. "Macroeconomic Effects of Collateral Requirements and Financial Shocks," BEMPS - Bozen Economics & Management Paper Series BEMPS93, Faculty of Economics and Management at the Free University of Bozen.
    20. Jordan Roulleau-Pasdeloup & Anastasia Zhutova, 2015. "Labor Market Policies and the "Missing Deflation" Puzzle: Lessons from Hoover Policies during the U.S Great Depression," Cahiers de Recherches Economiques du Département d'économie 15.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    21. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    22. Johannes Ströbel & Joseph Vavra, 2015. "House Prices, Local Demand, and Retail Prices," CESifo Working Paper Series 5607, CESifo.
    23. Paccagnini, Alessia, 2019. "Did financial factors matter during the Great Recession?," Economics Letters, Elsevier, vol. 174(C), pages 26-30.
    24. Čapek, Jan & Crespo Cuaresma, Jesús & Hauzenberger, Niko & Reichel, Vlastimil, 2023. "Macroeconomic forecasting in the euro area using predictive combinations of DSGE models," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1820-1838.
    25. Kilian, Lutz & Vigfusson, Robert J., 2014. "The role of oil price shocks in causing U.S. recessions," CFS Working Paper Series 460, Center for Financial Studies (CFS).
    26. Michael T. Belongia & Peter N. Ireland, 2013. "Instability: Monetary and Real," Boston College Working Papers in Economics 830, Boston College Department of Economics.
    27. Boris Chafwehé & Rigas Oikonomou & Romanos Priftis & Lukas Vogel, 2021. "(Optimal) Monetary Policy with and without Debt," Staff Working Papers 21-5, Bank of Canada.
    28. Jean-Guillaume Sahuc & Gauthier Vermandel & Frank Smets, 2024. "The New Keynesian Climate Model," Working papers 977, Banque de France.
    29. Jiang, Meihua & Huang, Yuzhe, 2023. "Is forward guidance an effective policy: A time-varying analysis," Finance Research Letters, Elsevier, vol. 58(PB).
    30. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    31. Böhl, Gregor & Lieberknecht, Philipp, 2021. "The hockey stick Phillips curve and the effective lower bound," Discussion Papers 55/2021, Deutsche Bundesbank.
    32. Diego Anzoategui & Diego Comin & Mark Gertler & Joseba Martinez, 2016. "Endogenous Technology Adoption and R&D as Sources of Business Cycle Persistence," NBER Working Papers 22005, National Bureau of Economic Research, Inc.
    33. Li, Bing & Pei, Pei & Tan, Fei, 2021. "Financial distress and fiscal inflation," Journal of Macroeconomics, Elsevier, vol. 70(C).
    34. Enrico S. Levrero, 2019. "Estimates of the Natural Rate of Interest and the Stance of Monetary Policies: A Critical Assessment," Working Papers Series 88, Institute for New Economic Thinking.
    35. Roman Horvath & Lorant Kaszab & Ales Marsal & Katrin Rabitsch, 2019. "Determinants of Fiscal Multipliers Revisited," Department of Economics Working Papers wuwp294, Vienna University of Economics and Business, Department of Economics.
    36. François Gourio & Phuong Ngo, 2024. "Downward Nominal Rigidities and Bond Premia," Working Paper Series WP 2024-09, Federal Reserve Bank of Chicago.
    37. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    38. Orkideh Gharehgozli & Sunhyung Lee, 2022. "Money Supply and Inflation after COVID-19," Economies, MDPI, vol. 10(5), pages 1-14, April.
    39. Joshua Brault & Hashmat Khan & Louis Phaneuf & Jean Gardy Victor, 2021. "Did the Fed Remain at the ZLB Long Enough? Lessons from the 2008-2019 Period," Working Papers 21-09, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    40. Quineche, Ricardo & Zapata, Juan, 2025. "Inflationary and Deflationary Pressures: A Directional Decomposition of U.S. Inflation Dynamics," MPRA Paper 125485, University Library of Munich, Germany.
    41. Francesco Bianchi & Leonardo Melosi, 2016. "Escaping the Great Recession," Working Paper Series WP-2016-16, Federal Reserve Bank of Chicago.
    42. Jordan Roulleau-Pasdeloup, 2016. "The Government Spending Multiplier in a Deep Recession," Cahiers de Recherches Economiques du Département d'économie 16.22, Université de Lausanne, Faculté des HEC, Département d’économie.
    43. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    44. Murad, S.M. Woahid & Pathan, Shams & Durand, Robert B. & Zheng, Chen, 2025. "Understanding Bank-Level Uncertainty: New insights into banking activity and its macroeconomic impacts," International Review of Economics & Finance, Elsevier, vol. 102(C).
    45. Isabel Z. Martinez & Emmanuel Saez & Michael Siegenthaler, 2018. "Intertemporal Labor Supply Substitution? Evidence from the Swiss Income Tax Holidays," NBER Working Papers 24634, National Bureau of Economic Research, Inc.
    46. Alain Guay & Dalibor Stevanovic, 2025. "Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition," Working Papers 25-03, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Aug 2025.
    47. Joshua Brault & Hashmat Khan & Louis Phaneuf & Jean Gardy Victor, 2020. "Is Unconventional Monetary Policy Stabilizing? Evidence From the Great Recession and Recovery Years," Working Papers 20-15, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    48. Ascari, Guido & Fosso, Luca, 2024. "The international dimension of trend inflation," Journal of International Economics, Elsevier, vol. 148(C).
    49. J. David López-Salido & Francesca Loria, 2020. "Inflation at Risk," Finance and Economics Discussion Series 2020-013, Board of Governors of the Federal Reserve System (U.S.).
    50. Belongia, Michael T. & Ireland, Peter N., 2022. "A reconsideration of money growth rules," Journal of Economic Dynamics and Control, Elsevier, vol. 135(C).
    51. Böhl, Gregor & Strobel, Felix, 2020. "US business cycle dynamics at the zero lower bound," Discussion Papers 65/2020, Deutsche Bundesbank.
    52. Kollmann, Robert & Pataracchia, Beatrice & Raciborski, Rafal & Ratto, Marco & Roeger, Werner & Vogel, Lukas, 2016. "The post-crisis slump in the Euro Area and the US: Evidence from an estimated three-region DSGE model," European Economic Review, Elsevier, vol. 88(C), pages 21-41.
    53. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Staff Reports 893, Federal Reserve Bank of New York.
    54. Crump, Richard K. & Eusepi, Stefano & Giannoni, Marc & Şahin, Ayşegül, 2024. "The unemployment–inflation trade-off revisited: The Phillips curve in COVID times," Journal of Monetary Economics, Elsevier, vol. 145(S).
    55. Riccardo Masolo & Francesca Monti, 2015. "Ambiguity, monetary policy and trend inflation," Bank of England working papers 565, Bank of England.
    56. Ruopu Hu & Junior Maith & Shin-Ichi Nishiyama, 2026. "Regime Shifts in U.S. Trend Inflation: Pre-Volcker to Post-Great Moderation," Discussion Papers 2604, Graduate School of Economics, Kobe University.
    57. Hartwig, Benny & Lieberknecht, Philipp, 2020. "Monetary policy, firm exit and productivity," Discussion Papers 61/2020, Deutsche Bundesbank.
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    200. Lemoine, Matthieu & Lindé, Jesper, 2023. "Fiscal stimulus in liquidity traps: Conventional or unconventional policies?," European Economic Review, Elsevier, vol. 151(C).
    201. Dück, Alexander & Le, Anh H., 2023. "Transition risk uncertainty and robust optimal monetary policy," IMFS Working Paper Series 187, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    202. Knut Are Aastveit & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2014. "Have standard VARs remained stable since the crisis?," Working Paper 2014/13, Norges Bank.
    203. Antonio M. Conti & Concetta Gigante, 2018. "Weakness in Italy�s core inflation and the Phillips curve: the role of labour and financial indicators," Questioni di Economia e Finanza (Occasional Papers) 466, Bank of Italy, Economic Research and International Relations Area.
    204. Malovaná Simona & Tesařová Žaneta, 2022. "Banks’ Credit Losses and Provisioning over the Business Cycle: Implications for IFRS," Review of Economic Perspectives, Sciendo, vol. 22(1), pages 53-74, March.
    205. Elfsbacka Schmöller, Michaela, 2022. "Endogenous technology, scarring and fiscal policy," Bank of Finland Research Discussion Papers 13/2022, Bank of Finland.
    206. Benjamín García & Sebastián Guarda & Markus Kirchner & Rodrigo Tranamil, 2019. "XMAS: An extended model for analysis and simulations," Working Papers Central Bank of Chile 833, Central Bank of Chile.
    207. Roulleau-Pasdeloup, Jordan, 2020. "Optimal monetary policy and determinacy under active/passive regimes," European Economic Review, Elsevier, vol. 130(C).
    208. McAdam, Peter & Warne, Anders, 2019. "Euro area real-time density forecasting with financial or labor market frictions," International Journal of Forecasting, Elsevier, vol. 35(2), pages 580-600.
    209. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2023. "Interest rate gaps in an uncertain global context: why “too” low (high) for “so” long?," Empirical Economics, Springer, vol. 64(2), pages 539-565, February.
    210. Christian Friedrich, 2014. "Global Inflation Dynamics in the Post-Crisis Period: What Explains the Twin Puzzle?," Staff Working Papers 14-36, Bank of Canada.
    211. Gianluca Benigno & Luca Fornaro, 2018. "Stagnation Traps," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(3), pages 1425-1470.
    212. Michael Ehrmann, 2014. "Targeting Inflation from Below - How Do Inflation Expectations Behave?," Staff Working Papers 14-52, Bank of Canada.
    213. Harashima, Taiji, 2018. "Why Are Inflation and Real Interest Rates So Low? A Mechanism of Low and Floating Real Interest and Inflation Rates," MPRA Paper 84311, University Library of Munich, Germany.
    214. Yui Kishaba & Tatsushi Okuda, 2023. "The Slope of the Phillips Curve for Service Prices in Japan: Regional Panel Data Approach," Bank of Japan Working Paper Series 23-E-8, Bank of Japan.
    215. Gasteiger, Emanuel & Grimaud, Alex, 2023. "Price setting frequency and the Phillips curve," European Economic Review, Elsevier, vol. 158(C).
    216. Stephen McKnight & Alexander Mihailov & Kerry Patterson & Fabio Rumler, 2014. "The Predictive Performance of Fundamental Inflation Concepts: An Application to the Euro Area and the United States," Economics Discussion Papers em-dp2014-03, Department of Economics, University of Reading.
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    218. Wolfgang Lechthaler & Mewael F. Tesfaselassie, 2023. "Endogenous Growth, Skill Obsolescence, and Output Hysteresis in a New Keynesian Model with Unemployment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2187-2213, December.
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    220. Garcés Díaz Daniel, 2020. "On the Drivers of Inflation in Different Monetary Regimes," Working Papers 2020-16, Banco de México.
    221. Meggiorini, Greta, 2023. "Behavioral New Keynesian Models: An empirical assessment," Journal of Macroeconomics, Elsevier, vol. 77(C).
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    223. Luminita Stevens, 2015. "Coarse Pricing Policies," Staff Report 520, Federal Reserve Bank of Minneapolis.
    224. Kshama Dwarakanath & Tucker Balch & Svitlana Vyetrenko, 2024. "ABIDES-Economist: Agent-Based Simulator of Economic Systems with Learning Agents," Papers 2402.09563, arXiv.org, revised Aug 2025.
    225. Martin Harding & Rafael Wouters, 2022. "Risk and State-Dependent Financial Frictions," Staff Working Papers 22-37, Bank of Canada.
    226. He, Yongda & Lin, Boqiang, 2019. "Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI," Energy, Elsevier, vol. 176(C), pages 900-916.
    227. Canova, Fabio, 2020. "FAQ: How do I extract the output gap?," Working Paper Series 386, Sveriges Riksbank (Central Bank of Sweden).
    228. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.

  29. Frank Schorfheide & Dongho Song & Amir Yaron, 2013. "Identifying long-run risks: a bayesian mixed-frequency approach," Working Papers 13-39, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Christian Gouri roux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
    2. Coimbra, Nuno & Kim, Daisoon & Rey, Hélène, 2022. "Central Bank Policy and the concentration of risk: Empirical estimates," Journal of Monetary Economics, Elsevier, vol. 125(C), pages 182-198.
    3. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2017. "Model uncertainty in macroeconomics: On the implications of financial frictions," IMFS Working Paper Series 114, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    4. Horvath, Jaroslav, 2020. "Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    5. G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
    6. Davide Pettenuzzo & Rossen Valkanov & Allan Timmermann, 2014. "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," Working Papers 76, Brandeis University, Department of Economics and International Business School.
    7. Jaroslav Borovička & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," NBER Working Papers 24162, National Bureau of Economic Research, Inc.
    8. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
    9. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
    10. Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
    11. Ma, Qingyin & Stachurski, John & Toda, Alexis Akira, 2020. "The income fluctuation problem and the evolution of wealth," Journal of Economic Theory, Elsevier, vol. 187(C).
    12. John Stachurski & Junnan Zhang, 2019. "Dynamic Programming with State-Dependent Discounting," Papers 1908.08800, arXiv.org, revised Oct 2020.
    13. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
    14. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
    15. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    16. Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022. "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers 2209.01910, arXiv.org.
    17. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    18. Flint O'Neil, 2020. "Existence and Uniqueness of Recursive Utility Models in $L_p$," Papers 2005.07067, arXiv.org.
    19. Borovička, Jaroslav & Stachurski, John, 2021. "Stability of equilibrium asset pricing models: A necessary and sufficient condition," Journal of Economic Theory, Elsevier, vol. 193(C).
    20. Segal, Gill & Shaliastovich, Ivan, 2023. "Uncertainty, risk, and capital growth," SAFE Working Paper Series 388, Leibniz Institute for Financial Research SAFE.
    21. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    22. Anmol Bhandari & David Evans & Mikhail Golosov & Thomas Sargent, 2019. "The Optimal Maturity of Government Debt," 2019 Meeting Papers 1011, Society for Economic Dynamics.
    23. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.
    24. Nam Gang Lee, 2019. "Trend Growth Shocks and Asset Prices," Working Papers 2019-4, Economic Research Institute, Bank of Korea.
    25. Dejian Tian & Weidong Tian & Jianjun Zhou & Zimu Zhu, 2025. "Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint," Papers 2509.21929, arXiv.org, revised Oct 2025.
    26. Patrick J. Kehoe & Pierlauro Lopez & Virgiliu Midrigan & Elena Pastorino, 2019. "Asset Prices and Unemployment Fluctuations," NBER Working Papers 26580, National Bureau of Economic Research, Inc.
    27. Pooyan Amir‐Ahmadi & Christian Matthes & Mu‐Chun Wang, 2016. "Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century," Quantitative Economics, Econometric Society, vol. 7(2), pages 591-611, July.
    28. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
    29. Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.
    30. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2022. "Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Around It," Working Papers 22-14, Federal Reserve Bank of Cleveland.
    31. Jing Cynthia Wu & Ji Zhang, 2016. "A Shadow Rate New Keynesian Model," NBER Working Papers 22856, National Bureau of Economic Research, Inc.
    32. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
    33. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
    34. Elmar Mertens & James M Nason, 2015. "Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility," CAMA Working Papers 2015-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    35. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    36. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
    37. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
    38. Guanlong Ren & John Stachurski, 2018. "Dynamic Programming with Recursive Preferences: Optimality and Applications," Papers 1812.05748, arXiv.org, revised Jun 2020.
    39. Ascari, Guido & Magnusson, Leandro M. & Mavroeidis, Sophocles, 2021. "Empirical evidence on the Euler equation for consumption in the US," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 129-152.
    40. Schreindorfer, David & Sichert, Tobias, 2025. "Conditional risk and the pricing kernel," Journal of Financial Economics, Elsevier, vol. 171(C).
    41. Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (U.S.).
    42. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," Boston College Working Papers in Economics 1029, Boston College Department of Economics, revised 17 Sep 2024.
    43. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    44. David Feldman & Xin Xu, 2018. "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, vol. 262(2), pages 493-518, March.
    45. Lars Ljungqvist & Thomas Sargent, 2021. "The fundamental surplus strikes again," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 38-51, July.
    46. Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
    47. Guy P. Nason & Ben Powell & Duncan Elliott & Paul A. Smith, 2017. "Should we sample a time series more frequently?: decision support via multirate spectrum estimation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 353-407, February.
    48. Jing Guo & Xue Dong He, 2021. "Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence," Papers 2107.05163, arXiv.org.
    49. Stachurski, John & Wilms, Ole & Zhang, Junnan, 2025. "Unique solutions to power-transformed affine systems," Other publications TiSEM f756342e-c216-4939-a728-8, Tilburg University, School of Economics and Management.
    50. Dongho Song & Jenny Tang, 2018. "News-driven uncertainty fluctuations," Working Papers 18-3, Federal Reserve Bank of Boston.
    51. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    52. Liu, Yang, 2023. "Government debt and risk premia," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 18-34.
    53. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
    54. Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
    55. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
    56. Stachurski, John & Wilms, Ole & Zhang, Junnan, 2024. "Asset pricing with time preference shocks: Existence and uniqueness," Journal of Economic Theory, Elsevier, vol. 216(C).
    57. Gregory, Richard P., 2021. "Climate disasters, carbon dioxide, and financial fundamentals," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 45-58.
    58. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
    59. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Valuation Risk Revalued," Working Papers 1808, Federal Reserve Bank of Dallas.
    60. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
    61. S. Boragan Aruoba, 2016. "Term structures of inflation expectations and real interest rates," Working Papers 16-9, Federal Reserve Bank of Philadelphia.
    62. Bretscher, Lorenzo & Malkhozov, Aytek & Tamoni, Andrea, 2021. "Expectations and aggregate risk," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 91-108.
    63. Chibane, Messaoud & Poncet, Patrice, 2025. "Housing rare disaster events and asset prices," Economic Modelling, Elsevier, vol. 147(C).
    64. Andreas Tryphonides, 2018. "Tilting Approximate Models," Papers 1805.10869, arXiv.org, revised Mar 2024.
    65. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    66. Pablo Guerrón-Quintana & Molin Zhong, 2017. "Macroeconomic Forecasting in Times of Crises," Finance and Economics Discussion Series 2017-018, Board of Governors of the Federal Reserve System (U.S.).
    67. Schmidt, Lawrence D.W., 2025. "Climbing and falling off the ladder: Asset pricing implications of labor market event risk," Journal of Financial Economics, Elsevier, vol. 172(C).
    68. Sun, Yulong, 2024. "Prices and returns: Role of inflation," Journal of International Money and Finance, Elsevier, vol. 147(C).
    69. Drew D. Creal & Jing Cynthia Wu, 2016. "Bond Risk Premia in Consumption-based Models," NBER Working Papers 22183, National Bureau of Economic Research, Inc.
    70. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
    71. Taeyoung Doh & Shu Wu, 2015. "Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences," Research Working Paper RWP 15-12, Federal Reserve Bank of Kansas City.
    72. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    73. Liu, Han & Wang, Lijun & Zhuo, Xingxuan, 2025. "Unveiling the shadows: The effects of financial conditions on the tail risks of China's macroeconomic activities," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 1-14.
    74. Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
    75. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    76. Ankargren, Sebastian & Jonéus, Paulina, 2021. "Simulation smoothing for nowcasting with large mixed-frequency VARs," Econometrics and Statistics, Elsevier, vol. 19(C), pages 97-113.
    77. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
    78. Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
    79. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    80. GUERRON-QUINTANA, Pablo A. & JINNAI, Ryo & 陣内, 了, 2015. "Financial Frictions, Trends, and the Great Recession," Discussion paper series HIAS-E-14, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    81. Fabio Franceschini, 2025. "The Innovation Long-Run Risk Component," Working Papers wp1215, Dipartimento Scienze Economiche, Universita' di Bologna.
    82. Myroslav Pidkuyko & Raffaele Rossi & Klaus Reiner Schenk-Hoppé, 2019. "The Resolution of Long-Run Risk," Economics Discussion Paper Series 1908, Economics, The University of Manchester.
    83. Gouel, Christophe & Ma, Qingyin & Stachurski, John, 2024. "Interest rate dynamics and commodity prices," Journal of Economic Theory, Elsevier, vol. 222(C).
    84. Ole Wilms & Karl Schmedders & Walt Pohl, 2016. "Higher-Order Effects in Asset-Pricing Models with Long-Run Risks," 2016 Meeting Papers 306, Society for Economic Dynamics.
    85. Timothy M. Christensen, 2020. "Existence and uniqueness of recursive utilities without boundedness," Papers 2008.00963, arXiv.org, revised Aug 2021.
    86. Leippold, Markus & Yang, Hanlin, 2019. "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, vol. 12(C), pages 25-41.
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  30. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2023. "Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States," Working Papers 202331, University of Pretoria, Department of Economics.
    2. Sanjay R. Singh & Pablo Cuba-Borda, 2019. "Understanding Persistent Stagnation," Working Papers 329, University of California, Davis, Department of Economics.
    3. Pablo Cuba-Borda & Sanjay R. Singh, 2022. "Understanding Persistent ZLB: Theory and Assessment," Working Papers 346, University of California, Davis, Department of Economics.
    4. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
    5. Boyarchenko, Nina & Adrian, Tobias & Giannone, Domenico, 2020. "Multimodality in Macro-Financial Dynamics," CEPR Discussion Papers 15088, C.E.P.R. Discussion Papers.
    6. Edward P. Herbst & Benjamin K. Johannsen, 2025. "Discussion of "Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly''," Finance and Economics Discussion Series 2025-058, Board of Governors of the Federal Reserve System (U.S.).
    7. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    8. Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    9. Arčabić, Vladimir & Panovska, Irina & Tica, Josip, 2024. "Business cycle synchronization and asymmetry in the European Union," Economic Modelling, Elsevier, vol. 139(C).
    10. Nadav Ben Zeev, 2019. "Asymmetric Business Cycles In Emerging Market Economies," Working Papers 1909, Ben-Gurion University of the Negev, Department of Economics.
    11. Lindé, Jesper & Trabandt, Mathias, 2017. "Should We Use Linearized Models To Calculate Fiscal Multipliers?," Working Paper Series 350, Sveriges Riksbank (Central Bank of Sweden).
    12. Philippe Goulet Coulombe, 2020. "The Macroeconomy as a Random Forest," Papers 2006.12724, arXiv.org, revised Mar 2021.
    13. Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," "Marco Fanno" Working Papers 0275, Dipartimento di Scienze Economiche "Marco Fanno".
    14. Andreasen, Martin M. & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2024. "Does risk matter more in recessions than in expansions? Implications for monetary policy," Journal of Monetary Economics, Elsevier, vol. 143(C).
    15. Luigi Bocola, 2015. "The Pass-Through of Sovereign Risk," Working Papers 722, Federal Reserve Bank of Minneapolis.
    16. Yugang He & Zhuoqi Teng, 2024. "Navigating Uncharted Waters: The Transformation of the Bank of Korea’s Monetary Policy in Response to Global Economic Uncertainty," Mathematics, MDPI, vol. 12(11), pages 1-24, May.
    17. Mineyama, Tomohide, 2022. "Revisiting the optimal inflation rate with downward nominal wage rigidity: The role of heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    18. James Morley & Irina B Panovska, 2016. "Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?," Discussion Papers 2016-12, School of Economics, The University of New South Wales.
    19. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
    20. Yasuo Hirose & Takeki Sunakawa, 2019. "Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound," The Japanese Economic Review, Springer, vol. 70(1), pages 51-104, March.
    21. Stefano Fasani, 2021. "On the Long-run Unemployment, Inflation, and Volatility," Working Papers 924, Queen Mary University of London, School of Economics and Finance.
    22. Loretta J. Mester, 2016. "Recent Inflation Developments and Challenges for Research and Monetary Policymaking : The 47th Konstanz Seminar on Monetary Theory and Monetary Policy, Insel Reichenau, Germany 5-12-2016," Speech 71, Federal Reserve Bank of Cleveland.
    23. Pablo Guerron-Quintana & Alexey Khazanov & Molin Zhong, 2026. "A Nonlinear Dynamic Factor Model for Financial and Macroeconomic Data," Boston College Working Papers in Economics 1106, Boston College Department of Economics.
    24. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the Zero Lower Bound," European Economic Review, Elsevier, vol. 100(C), pages 257-272.
    25. Nadav Ben Zeev, 2019. "Identification of Sign-Dependency of Impulse Responses," Working Papers 1907, Ben-Gurion University of the Negev, Department of Economics.
    26. Jean-François Rouillard, 2017. "Credit Crunch and Downward Nominal Wage Rigidities," Cahiers de recherche 17-05, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, revised Apr 2019.
    27. Chen, Peng & Miao, Xinru, 2024. "Understanding the role of China's factors in international commodity price fluctuations: A perspective of monetary-fiscal policy interaction," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1464-1483.
    28. Iwasaki, Yuto & Muto, Ichiro & Shintani, Mototsugu, 2021. "Missing wage inflation? Estimating the natural rate of unemployment in a nonlinear DSGE model," European Economic Review, Elsevier, vol. 132(C).
    29. Pooyan Amir-Ahmadi & Marko Mlikota & Dalibor Stevanovi'c, 2025. "Origins and Nature of Macroeconomic Instability in Vector Autoregressions," Papers 2512.20152, arXiv.org.
    30. S. Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2013. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," NBER Working Papers 19248, National Bureau of Economic Research, Inc.
    31. Yuto Iwasaki & Ichiro Muto & Mototsugu Shintani, 2018. "Missing Wage Inflation? Downward Wage Rigidity and the Natural Rate of Unemployment," Bank of Japan Research Laboratory Series 18-E-3, Bank of Japan.
    32. Leland E. Farmer, 2021. "The discretization filter: A simple way to estimate nonlinear state space models," Quantitative Economics, Econometric Society, vol. 12(1), pages 41-76, January.
    33. Filippo Ippolito & Alessandro Villa, 2022. "Levered Returns and Capital Structure Imbalances," Working Paper Series WP 2022-42, Federal Reserve Bank of Chicago.
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    35. Dongya Koh & Raül Santaeulàlia-Llopis, 2017. "Countercyclical Elasticity of Substitution," Working Papers 946, Barcelona School of Economics.
    36. James Morley, 2019. "The business cycle: periodic pandemic or rollercoaster ride?," International Journal of Economic Policy Studies, Springer, vol. 13(2), pages 425-431, August.
    37. Gasteiger, Emanuel & Grimaud, Alex, 2023. "Price setting frequency and the Phillips curve," European Economic Review, Elsevier, vol. 158(C).
    38. Harding, Martín & Lindé, Jesper & Trabandt, Mathias, 2022. "Resolving the missing deflation puzzle," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 15-34.
    39. Jinill, Kim & Ruge-Murcia, Francisco, 2018. "Extreme events and optimal monetary policy," Bank of Finland Research Discussion Papers 4/2018, Bank of Finland.
    40. Martin Harding & Rafael Wouters, 2022. "Risk and State-Dependent Financial Frictions," Staff Working Papers 22-37, Bank of Canada.

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    Cited by:

    1. Joshua Brault & Louis Phaneuf, 2025. "What Drives Low and Stable Inflation?," Working Papers 25-02, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
    2. Lunardelli, Andre, 2025. "Fairness, ambiguity, wage markups and disinflation costs," MPRA Paper 126505, University Library of Munich, Germany.
    3. Isabelle Salle & Murat Yıldızoğlu, 2014. "Efficient Sampling and Meta-Modeling for Computational Economic Models," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 507-536, December.
    4. Zhang, Jinyu & Zhang, Qiaosen & Li, Yong & Wang, Qianchao, 2023. "Sequential Bayesian inference for agent-based models with application to the Chinese business cycle," Economic Modelling, Elsevier, vol. 126(C).
    5. Arnaud Dufays, 2014. "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research 263, National Bank of Belgium.
    6. Tyler Atkinson & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "The Zero Lower Bound and Estimation Accuracy," Working Papers 1804, Federal Reserve Bank of Dallas.
    7. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers CWP43/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Qazi Haque & Nicolas Groshenny & Mark Weder, 2020. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Working Papers 2020-10, Department of Economics and Business Economics, Aarhus University.
    9. Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015. "Autoregressive moving average infinite hidden markov-switching models," LIDAM Discussion Papers CORE 2015007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. Thorsten Drautzburg, 2016. "A narrative approach to a fiscal DSGE model," Working Papers 16-11, Federal Reserve Bank of Philadelphia.
    11. EO, Yunjong & LIE, Denny, 2017. "The Role of Inflation Target Adjustment in Stabilization Policy," Discussion paper series HIAS-E-58, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    12. Kiley, Michael T. & Sim, Jae, 2017. "Optimal monetary and macroprudential policies: Gains and pitfalls in a model of financial intermediation," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 232-259.
    13. Wang, Nianling & Wang, Qianchao & Li, Yong, 2025. "Estimation and forecast of carbon emission market volatility based on model averaging method," Economic Modelling, Elsevier, vol. 143(C).
    14. Maheu, John M & Song, Yong, 2017. "An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series," MPRA Paper 79211, University Library of Munich, Germany.
    15. Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers REM 2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    16. Edward Herbst & Frank Schorfheide, 2017. "Tempered Particle Filtering," NBER Working Papers 23448, National Bureau of Economic Research, Inc.
    17. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    18. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
    19. Ettmeier, Stephanie & Kriwoluzky, Alexander, 2024. "Active or passive? Revisiting the role of fiscal policy during high inflation," European Economic Review, Elsevier, vol. 170(C).
    20. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Staff Reports 893, Federal Reserve Bank of New York.
    21. Yasuo Hirose & Takushi Kurozumi & Wille Van Zandweghe, 2023. "Inflation Gap Persistence, Indeterminacy, and Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 867-887, December.
    22. Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1518, CIRPEE.
    23. Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
    24. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
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    27. Paul Ho & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2022. "Multilateral Comovement in a New Keynesian World: A Little Trade Goes a Long Way," Working Paper 22-10, Federal Reserve Bank of Richmond.
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    33. Eric M. Leeper & Nora Traum & Todd B. Walker, 2015. "Clearing Up the Fiscal Multiplier Morass: Prior and Posterior Analysis," NBER Working Papers 21433, National Bureau of Economic Research, Inc.
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    35. Markku Lanne & Jani Luoto, 2015. "Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints," CREATES Research Papers 2015-37, Department of Economics and Business Economics, Aarhus University.
    36. Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2018. "Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan," Working Papers e120, Tokyo Center for Economic Research.
    37. Zhang, Bo & Dai, Wei, 2020. "Trend inflation and macroeconomic stability in a small open economy," Economic Modelling, Elsevier, vol. 91(C), pages 769-778.
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    39. 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.
    40. Markku Lanne & Jani Luoto, 2018. "Data†Driven Identification Constraints for DSGE Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(2), pages 236-258, April.
    41. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    42. Böhl, Gregor & Goy, Gavin & Strobel, Felix, 2021. "A structural investigation of quantitative easing," Discussion Papers 01/2021, Deutsche Bundesbank.
    43. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.
    44. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
    45. Eric M. Leeper & Nora Traum & Todd B. Walker, 2015. "Clearing Up the Fiscal Multiplier Morass," CAEPR Working Papers 2015-013, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    46. Ettmeier, Stephanie & Kriwoluzky, Alexander, 2019. "Active, or passive? Revisiting the role of fiscal policy in the Great Inflation," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203609, Verein für Socialpolitik / German Economic Association.
    47. Christopher D. Walker, 2024. "Semiparametric Bayesian Inference for a Conditional Moment Equality Model," Papers 2410.16017, arXiv.org, revised Mar 2026.
    48. Daniele Siena, 2021. "The Euro Area Periphery and Imbalances: Is it an Anticipation Story?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 278-308, April.
    49. Zhongjun Qu & Denis Tkachenko, 2023. "Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 644-667, June.
    50. Kirstin Hubrich & Daniel F. Waggoner, 2022. "The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime-Switching Framework," FRB Atlanta Working Paper 2022-5, Federal Reserve Bank of Atlanta.
    51. Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2025. "Adaptive Importance Sampling Estimation of an Open Economy Model with Fiscal Policy," BEMPS - Bozen Economics & Management Paper Series BEMPS111, Faculty of Economics and Management at the Free University of Bozen.
    52. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2014. "Inflation in the Great Recession and New Keynesian Models," NBER Working Papers 20055, National Bureau of Economic Research, Inc.
    53. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2025. "A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs," Working Papers 25-19, Federal Reserve Bank of Philadelphia.
    54. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    55. Michal Andrle & Miroslav Plašil, 2016. "System Priors for Econometric Time Series," IMF Working Papers 2016/231, International Monetary Fund.
    56. Foroni, Claudia & Gelain, Paolo & Marcellino, Massimiliano, 2022. "The financial accelerator mechanism: does frequency matter?," Working Paper Series 2637, European Central Bank.
    57. Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2022. "Conditional density forecasting: a tempered importance sampling approach," Working Paper Series 2754, European Central Bank.
    58. Edward Herbst, 2015. "Using the “Chandrasekhar Recursions” for Likelihood Evaluation of DSGE Models," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 693-705, April.
    59. Hess Chung & Edward Herbst & Michael T. Kiley, 2014. "Effective Monetary Policy Strategies in New Keynesian Models: A Re-examination," NBER Working Papers 20611, National Bureau of Economic Research, Inc.
    60. Canova, Fabio & Pérez Forero, Fernando J., 2014. "Estimating overidentified, non-recursive, time varying coefficients structural VARs," CEPR Discussion Papers 10022, C.E.P.R. Discussion Papers.
    61. Paul Ho, 2020. "Estimating the Effects of Demographics on Interest Rates: A Robust Bayesian Perspective," Working Paper 20-14, Federal Reserve Bank of Richmond.
    62. Garland Durham & John Geweke, 2013. "Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments," Working Paper Series 9, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    63. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," CREATES Research Papers 2021-08, Department of Economics and Business Economics, Aarhus University.
    64. Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2020. "Monetary Policy and Macroeconomic Stability Revisited," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 255-274, July.
    65. Joshua Brault, 2024. "Parallel Tempering for DSGE Estimation," Staff Working Papers 24-13, Bank of Canada.
    66. Jørgensen, Peter L. & Ravn, Søren H., 2022. "The inflation response to government spending shocks: A fiscal price puzzle?," European Economic Review, Elsevier, vol. 141(C).
    67. Jang, Tae-Seok & Sacht, Stephen, 2025. "Moment matching for Bayesian inference in the baseline New-Keynesian model," HWWI Working Paper Series 4/2025, Hamburg Institute of International Economics (HWWI).
    68. Fabian Goessling, 2018. "Randomized Quasi Sequential Markov Chain Monte Carlo²," CQE Working Papers 7018, Center for Quantitative Economics (CQE), University of Muenster.
    69. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
    70. Mark Bognanni & Edward P. Herbst, 2014. "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Working Papers (Old Series) 1427, Federal Reserve Bank of Cleveland.
    71. Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
    72. Zhongjun Qu, 2015. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," Boston University - Department of Economics - Working Papers Series wp2015-002, Boston University - Department of Economics.
    73. Martin Burda & Remi Daviet, 2018. "Hamiltonian Sequential Monte Carlo with Application to Consumer Choice Behavior," Working Papers tecipa-618, University of Toronto, Department of Economics.
    74. Böhl, Gregor, 2022. "Ensemble MCMC sampling for robust Bayesian inference," IMFS Working Paper Series 177, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    75. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    76. Paul Ho, 2019. "Global Robust Bayesian Analysis in Large Models," 2019 Meeting Papers 390, Society for Economic Dynamics.
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    78. Yin, Ming, 2015. "Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation," MPRA Paper 88111, University Library of Munich, Germany, revised 2018.
    79. Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2021. "Adaptive Importance Sampling for DSGE Models," BEMPS - Bozen Economics & Management Paper Series BEMPS84, Faculty of Economics and Management at the Free University of Bozen.
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    81. Thuy Lan Nguyen & Wataru Miyamoto, 2014. "News shocks and Business cycles: Evidence from forecast data," 2014 Meeting Papers 259, Society for Economic Dynamics.
    82. Fabio Franco, 2019. "Likelihood Induced by Moment Functions Using Particle Filter: a Comparison of Particle GMM and Standard MCMC Methods," CEIS Research Paper 477, Tor Vergata University, CEIS, revised 04 Dec 2019.
    83. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
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    85. Joshua Brault & Louis Phaneuf, 2021. "Higher Order Interest-Smoothing, Time-Varying Inflation Target and the Prospect of Indeterminacy," Working Papers 21-10, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    86. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers 14200, C.E.P.R. Discussion Papers.
    87. Takefumi Yamazaki, 2018. "Financial friction sources in emerging economies: Structural estimation of sovereign default models," Discussion papers ron303, Policy Research Institute, Ministry of Finance Japan.
    88. Geweke, John & Durham, Garland, 2019. "Sequentially adaptive Bayesian learning algorithms for inference and optimization," Journal of Econometrics, Elsevier, vol. 210(1), pages 4-25.
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    95. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022. "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-013/III, Tinbergen Institute.
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  32. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," Working Papers 12-09, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018. "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 295-321, February.
    2. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
    3. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2022. "Approximate maximum likelihood for complex structural models," Journal of Econometrics, Elsevier, vol. 231(2), pages 432-456.
    4. Herrera, Rodrigo & Rodriguez, Alejandro & Pino, Gabriel, 2017. "Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model," Energy Economics, Elsevier, vol. 63(C), pages 129-143.
    5. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in Transaction-Level Asset Price Models," Working Papers hal-00756372, HAL.
    6. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
    7. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy.
    8. Kuosmanen, Petri & Nabulsi, Nasib & Vataja, Juuso, 2015. "Financial variables and economic activity in the Nordic countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 368-379.
    9. Peter Akioyamen & Yi Zhou Tang & Hussien Hussien, 2021. "A Hybrid Learning Approach to Detecting Regime Switches in Financial Markets," Papers 2108.05801, arXiv.org.
    10. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    11. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
    12. Aknouche, Abdelhakim & Francq, Christian, 2020. "Stationarity and ergodicity of Markov switching positive conditional mean models," MPRA Paper 102503, University Library of Munich, Germany.
    13. Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
    14. Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
    15. Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023. "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers 10523, Center for Quantitative Economics (CQE), University of Muenster.
    16. Augustyniak, Maciej & Dufays, Arnaud, 2018. "Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space," Economics Letters, Elsevier, vol. 170(C), pages 122-126.
    17. de Bruijn, L.P. & Franses, Ph.H.B.F., 2015. "Stochastic levels and duration dependence in US unemployment," Econometric Institute Research Papers EI2015-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    18. Marcin Wątorek & Jarosław Kwapień & Stanisław Drożdż, 2022. "Multifractal Cross-Correlations of Bitcoin and Ether Trading Characteristics in the Post-COVID-19 Time," Future Internet, MDPI, vol. 14(7), pages 1-15, July.
    19. Xin-Lan Fu & Xing-Lu Gao & Zheng Shan & Zhi-Qiang Jiang & Wei-Xing Zhou, 2018. "Multifractal characteristics and return predictability in the Chinese stock markets," Papers 1806.07604, arXiv.org.
    20. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2025. "Tail risk dynamics of banks with score-driven extreme value models," Journal of Empirical Finance, Elsevier, vol. 81(C).
    21. Veronika Czellar & David T. Frazier & Eric Renault, 2020. "Approximate Maximum Likelihood for Complex Structural Models," Papers 2006.10245, arXiv.org.
    22. Lux, Thomas, 2013. "Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model," Kiel Working Papers 1871, Kiel Institute for the World Economy.
    23. Jeffrey R. Black & Pankaj K. Jain & Wei Sun, 2023. "Trade-time clustering," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1209-1242, April.
    24. Kyungsub Lee, 2026. "Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process," Papers 2604.00346, arXiv.org.
    25. Suh, Jong Hwan, 2015. "Forecasting the daily outbreak of topic-level political risk from social media using hidden Markov model-based techniques," Technological Forecasting and Social Change, Elsevier, vol. 94(C), pages 115-132.
    26. Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    27. Brownlees Christian T. & Vannucci Marina, 2013. "A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 21-46, February.
    28. Farzad Alavi Fard, 2014. "Optimal Bid-Ask Spread in Limit-Order Books under Regime Switching Framework," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 33-48, November.
    29. Zhicheng Li & Haipeng Xing, 2022. "High-Frequency Quote Volatility Measurement Using a Change-Point Intensity Model," Mathematics, MDPI, vol. 10(4), pages 1-24, February.
    30. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2021. "Approximate Maximum Likelihood for Complex Structural Models," The Warwick Economics Research Paper Series (TWERPS) 1337, University of Warwick, Department of Economics.
    31. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
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    6. Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021. "Heterogeneity and Aggregate Fluctuations," Cowles Foundation Discussion Papers 2289, Cowles Foundation for Research in Economics, Yale University.
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    8. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using hierarchical aggregation constraints to nowcast regional economic aggregates," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-04, Economic Statistics Centre of Excellence (ESCoE).
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    Cited by:

    1. Oxana Babecka Kucharcukova & Jan Bruha, 2016. "Nowcasting the Czech Trade Balance," Working Papers 2016/11, Czech National Bank, Research and Statistics Department.
    2. Craig S. Hakkio & Jun Nie, 2014. "Implications of recent U.S. energy trends for trade forecasts," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 29-51.
    3. Poledna, Sebastian & Miess, Michael Gregor & Hommes, Cars & Rabitsch, Katrin, 2023. "Economic forecasting with an agent-based model," European Economic Review, Elsevier, vol. 151(C).
    4. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    5. Mihaela Simionescu, 2025. "Machine Learning vs. Econometric Models to Forecast Inflation Rate in Romania? The Role of Sentiment Analysis," Mathematics, MDPI, vol. 13(1), pages 1-18, January.
    6. Wieland, Volker & Wolters, Maik, 2013. "Forecasting and Policy Making," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 239-325, Elsevier.
    7. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2017. "Model uncertainty in macroeconomics: On the implications of financial frictions," IMFS Working Paper Series 114, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    8. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2018. "Using low frequency information for predicting high frequency variables," International Journal of Forecasting, Elsevier, vol. 34(4), pages 774-787.
    9. Anders Warne & Günter Coenen & Kai Christoffel, 2017. "Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
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    36. Gulan, Adam, 2018. "Paradise lost? A brief history of DSGE macroeconomics," Bank of Finland Research Discussion Papers 22/2018, Bank of Finland.
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    38. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
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    44. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    45. Maik Wolters, 2017. "How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates," Jena Economics Research Papers 2017-008, Friedrich-Schiller-University Jena.
    46. Warne, Anders, 2023. "DSGE model forecasting: rational expectations vs. adaptive learning," Working Paper Series 2768, European Central Bank.
    47. Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
    48. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
    49. Smets, Frank & Warne, Anders & Wouters, Rafael, 2014. "Professional forecasters and real-time forecasting with a DSGE model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 981-995.
    50. José R. Maria & Paulo Júlio, 2018. "An integrated financial amplifier: the role of defaulted loans and occasionally binding constraints in output fluctuations," Working Papers w201813, Banco de Portugal, Economics and Research Department.
    51. Paolo Gelain & Pierlauro Lopez, 2023. "A DSGE Model Including Trend Information and Regime Switching at the ZLB," Working Papers 23-35, Federal Reserve Bank of Cleveland.
    52. Gelfer, Sacha & Gibbs, Christopher, 2021. "Comparing Monetary Policy Tools in an Estimated DSGE model with International Financial Markets," Working Papers 2021-13, University of Sydney, School of Economics.
    53. Solis-Garcia, Mario, 2017. "Yes we can! Teaching DSGE models to undergraduate students," MPRA Paper 81754, University Library of Munich, Germany.
    54. Nalban, Valeriu, 2018. "Forecasting with DSGE models: What frictions are important?," Economic Modelling, Elsevier, vol. 68(C), pages 190-204.
    55. Júlio, Paulo & Maria, José R., 2024. "The magnifying role of the banking sector during depressions," Journal of Macroeconomics, Elsevier, vol. 79(C).
    56. Sokol, Andrej, 2021. "Fan charts 2.0: flexible forecast distributions with expert judgement," Working Paper Series 2624, European Central Bank.
    57. Hommes, Cars & He, Mario & Poledna, Sebastian & Siqueira, Melissa & Zhang, Yang, 2025. "CANVAS: A Canadian behavioral agent-based model for monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 172(C).
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    63. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
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    65. Anastasios Evgenidis & Anastasios G. Malliaris, 2022. "Monetary policy, financial shocks and economic activity," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 429-456, August.
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    67. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
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    140. Böhl, Gregor, 2022. "Endogenous Money, Excess Reserves and Unconventional Monetary Policy," VfS Annual Conference 2022 (Basel): Big Data in Economics 264141, Verein für Socialpolitik / German Economic Association.
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    142. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
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    153. Joshua C. C. Chan & Todd E. Clark & Gary Koop, 2015. "A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations," Working Papers (Old Series) 1520, Federal Reserve Bank of Cleveland.
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    155. McAdam, Peter & Warne, Anders, 2019. "Euro area real-time density forecasting with financial or labor market frictions," International Journal of Forecasting, Elsevier, vol. 35(2), pages 580-600.
    156. Andreas Tryphonides, 2019. "Qualitative Surveys And Margins Of Adjustment In Heterogeneous Agent Economies," 2019 Meeting Papers 1415, Society for Economic Dynamics.
    157. Carlos Benavides & Luis Gonzales & Manuel Diaz & Rodrigo Fuentes & Gonzalo García & Rodrigo Palma-Behnke & Catalina Ravizza, 2015. "The Impact of a Carbon Tax on the Chilean Electricity Generation Sector," Energies, MDPI, vol. 8(4), pages 1-27, April.
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    175. María del Carmen Ramos-Herrera & Simón Sosvilla-Rivero, 2017. "Inflation, real economic growth and unemployment expectations: An empirical analysis based on the ECB Survey of Professional Forecasters," Working Papers 17-02, Asociación Española de Economía y Finanzas Internacionales.

  35. Edward P. Herbst & Frank Schorfheide, 2012. "Evaluating DSGE model forecasts of comovements," Finance and Economics Discussion Series 2012-11, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
    2. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    3. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
    4. Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," MPRA Paper 36147, University Library of Munich, Germany.
    5. Michal Andrle & Jan Bruha & Serhat Solmaz, 2016. "On the Sources of Business Cycles: Implications for DSGE Models," Working Papers 2016/03, Czech National Bank, Research and Statistics Department.
    6. Michael P. Clements & Ana Beatriz Galvão, 2014. "Measuring Macroeconomic Uncertainty: US Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-04, Henley Business School, University of Reading.
    7. Berg, Tim Oliver, 2015. "Multivariate Forecasting with BVARs and DSGE Models," MPRA Paper 62405, University Library of Munich, Germany.
    8. Krystian Jaworski, 2019. "Sentiment-induced regime switching in density forecasts of emerging markets’ exchange rates. Calibrated simulation trumps estimated autoregression," Bank i Kredyt, Narodowy Bank Polski, vol. 50(1), pages 83-106.
    9. Söderström, Ulf & Iversen, Jens & LASEEN, PER & Lundvall, Henrik, 2016. "Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank," CEPR Discussion Papers 11203, C.E.P.R. Discussion Papers.
    10. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2016. "Forecasting US GNP Growth: The Role of Uncertainty," Working Papers 201667, University of Pretoria, Department of Economics.
    11. Casares, Miguel & Vázquez, Jesús, 2016. "Data Revisions In The Estimation Of Dsge Models," Macroeconomic Dynamics, Cambridge University Press, vol. 20(7), pages 1683-1716, October.
    12. Marcin Kolasa & Michał Rubaszek, 2018. "Does the foreign sector help forecast domestic variables in DSGE models?," NBP Working Papers 282, Narodowy Bank Polski.
    13. Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
    14. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
    15. Nalban, Valeriu, 2018. "Forecasting with DSGE models: What frictions are important?," Economic Modelling, Elsevier, vol. 68(C), pages 190-204.
    16. Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2020. "Proxy SVAR identification of monetary policy shocks: MonteCarlo evidence and insights for the US," University of Göttingen Working Papers in Economics 404, University of Goettingen, Department of Economics.
    17. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.
    18. Clements, Michael P. & Galvão, Ana Beatriz, 2017. "Model and survey estimates of the term structure of US macroeconomic uncertainty," International Journal of Forecasting, Elsevier, vol. 33(3), pages 591-604.
    19. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
    20. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
    21. Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers 701, Federal Reserve Bank of Minneapolis.
    22. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    23. Tomáš Jeřábek & Radka Šperková, 2015. "A Predictive Likelihood Approach to Bayesian Averaging," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(4), pages 1269-1276.
    24. Rubaszek, Michał, 2021. "Forecasting crude oil prices with DSGE models," International Journal of Forecasting, Elsevier, vol. 37(2), pages 531-546.
    25. Angelini, Elena & Lalik, Magdalena & Lenza, Michele & Paredes, Joan, 2019. "Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1658-1668.
    26. Giovanni Nicolo, 2020. "Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle," Finance and Economics Discussion Series 2020-035, Board of Governors of the Federal Reserve System (U.S.).
    27. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2019. "Forecasting with instabilities: an application to DSGE models with financial frictions," Temi di discussione (Economic working papers) 1234, Bank of Italy, Economic Research and International Relations Area.
    28. Zhang, Xiaodi, 2025. "Integrating policy design with agricultural emissions reduction in China: A multi-sector DSGE Approach," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 2019-2048.
    29. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2019. "Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods," Journal of Asian Economics, Elsevier, vol. 60(C), pages 45-68.
    30. Bekiros, Stelios D. & Paccagnini, Alessia, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 298-323.
    31. Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," CFS Working Paper Series 577, Center for Financial Studies (CFS).
    32. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2018. "Does a financial accelerator improve forecasts during financial crises?: Evidence from Japan with Prediction Pool Methods," MPRA Paper 85523, University Library of Munich, Germany.
    33. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
    34. Carriero, Andrea & Galvão, Ana Beatriz & Kapetanios, George, 2019. "A comprehensive evaluation of macroeconomic forecasting methods," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1226-1239.
    35. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    36. Caraiani, Petre, 2016. "The role of money in DSGE models: a forecasting perspective," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 315-330.
    37. Fanelli, Luca & Sorge, Marco M., 2017. "Indeterminate forecast accuracy under indeterminacy," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 57-70.
    38. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.

  36. Frank Schorfheide, 2011. "Estimation and evaluation of DSGE models: progress and challenges," Working Papers 11-7, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Barnichon, Regis & Mesters, Geert, 2021. "The Phillips multiplier," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 689-705.
    2. Marta Boczon, 2018. "Balanced Growth Approach to Forecasting Recessions," Working Paper 6487, Department of Economics, University of Pittsburgh.
    3. Eyal Argov & Emanuel Barnea & Alon Binyamini & Eliezer Borenstein & David Elkayam & Irit Rozenshtrom, 2012. "MOISE: A DSGE Model for the Israeli Economy," Bank of Israel Working Papers 2012.06, Bank of Israel.
    4. Eyal Argov & Alon Binyamini & Eliezer Borenstein & Irit Rozenshtrom, 2012. "Ex-Post Evaluation of Monetary Policy," Bank of Israel Working Papers 2012.07, Bank of Israel.
    5. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
    6. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Lance Kent, 2015. "Relaxing Rational Expectations," Working Papers 159, Economics Department, William & Mary.
    8. Mavroeidis, Sophocles & Plagborg-Moller, Mikkel & Stock, James H., 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Scholarly Articles 22795845, Harvard University Department of Economics.
    9. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    10. Massimiliano Marcellino & Yuliya Rychalovska, 2014. "Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(5), pages 315-338, August.
    11. Lucy Minford & David Meenagh, 2020. "Supply-Side Policy and Economic Growth: A Case Study of the UK," Open Economies Review, Springer, vol. 31(1), pages 159-193, February.
    12. Felix Reichling & Charles Whalen, 2012. "Review of Estimates of the Frisch Elasticity of Labor Supply: Working Paper 2012-13," Working Papers 43676, Congressional Budget Office.
    13. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Working Papers hal-04141079, HAL.
    14. Chen, Xiaoshan & Kirsanova, Tatiana & Leith, Campbell, 2013. "How Optimal is US Monetary Policy?," Stirling Economics Discussion Papers 2013-05, University of Stirling, Division of Economics.
    15. Schmidt, Sebastian & Wieland, Volker, 2012. "The new keynesian approach to dynamic general equilibrium modeling: Models, methods, and macroeconomic policy evaluation," IMFS Working Paper Series 52, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    16. Damodaran, Nikhil, "undated". "Export Subsidies and Interdependence in Euro Union: Beggar Thy Neighbor?," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235701, Agricultural and Applied Economics Association.
    17. Charles Whalen & Felix Reichling, 2017. "Estimates of the Frisch Elasticity of Labor Supply: A Review," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 37-42, January.
    18. Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2013. "A Monte Carlo procedure for checking identification in DSGE models," Cardiff Economics Working Papers E2013/4, Cardiff University, Cardiff Business School, Economics Section.
    19. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
    20. Lorenzo Burlon & Paolo D'Imperio, 2019. "The euro-area output gap through the lens of a DSGE model," Questioni di Economia e Finanza (Occasional Papers) 477, Bank of Italy, Economic Research and International Relations Area.
    21. Hashem M. Pesaran & Ron P. Smith, 2011. "Beyond the DSGE Straitjacket," CESifo Working Paper Series 3447, CESifo.
    22. Burlon, Lorenzo & D’Imperio, Paolo, 2020. "Reliable real-time estimates of the euro-area output gap," Journal of Macroeconomics, Elsevier, vol. 64(C).
    23. Nikhil Patel, 2016. "International Trade Finance and the Cost Channel of Monetary Policy in Open Economies," BIS Working Papers 539, Bank for International Settlements.
    24. Francesco Sergi, 2015. "L'histoire (faussement) naïve des modèles DSGE," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01222798, HAL.
    25. Zhongjun Qu & Denis Tkachenko, 2011. "Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)," Boston University - Department of Economics - Working Papers Series WP2011-060, Boston University - Department of Economics.
    26. Matthieu Lemoine & Harri Turunen & Mohammed Chahad & Antoine Lepetit & Anastasia Zhutova & Pierre Aldama & Pierrick Clerc & Jean-Pierre Laffargue, 2019. "The FR-BDF Model and an Assessment of Monetary Policy Transmission in France, Working Paper Series no. 736, Banque de France," Working Papers hal-02400611, HAL.
    27. Waldyr Dutra Areosa & Christiano Arrigoni Coelho, 2013. "Utilizando um Modelo DSGE para Avaliar os Efeitos Macroeconômicos dos Recolhimentos Compulsórios no Brasil," Working Papers Series 303, Central Bank of Brazil, Research Department.
    28. Michael Wickens, 2014. "How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics," Discussion Papers 14/17, Department of Economics, University of York.
    29. Gourieroux, C. & Jasiak, J. & Monfort, A., 2020. "Stationary bubble equilibria in rational expectation models," Journal of Econometrics, Elsevier, vol. 218(2), pages 714-735.
    30. Marta Boczoń & Jean-François Richard, 2020. "Balanced Growth Approach to Tracking Recessions," Econometrics, MDPI, vol. 8(2), pages 1-35, April.
    31. Luca Barone, 2013. "An ABM for Economics: Micro Explains Macro," Working papers 016, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    32. Bernd Hayo & Britta Niehof, 2013. "Studying International Spillovers in a New Keynesian Continuous Time Framework with Financial Markets," MAGKS Papers on Economics 201342, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    33. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
    34. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University, revised Jan 2013.
    35. Dario Caldara & Richard Harrison & Anna Lipińska, 2014. "Practical Tools For Policy Analysis In Dsge Models With Missing Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1145-1163, November.
    36. Michael Wickens, 2015. "How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics," Manchester School, University of Manchester, vol. 83, pages 60-82, December.
    37. Giesen, Sebastian & Scheufele, Rolf, 2013. "Effects of Incorrect Specification on the Finite Sample Properties of Full and Limited Information Estimators in DSGE Models," IWH Discussion Papers 8/2013, Halle Institute for Economic Research (IWH).
    38. Francesco Sergi, 2015. "L'histoire (faussement) naïve des modèles DSGE," Documents de travail du Centre d'Economie de la Sorbonne 15066, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    39. Matthieu Lemoine & Harri Turunen & Mohammed Chahad & Antoine Lepetit & Anastasia Zhutova & Pierre Aldama & Pierrick Clerc & Jean-Pierre Laffargue, 2019. "The FR-BDF Model and an Assessment of Monetary Policy Transmission in France," Working papers 736, Banque de France.
    40. Daniel O. Beltran & David Draper, 2016. "Estimating Dynamic Macroeconomic Models : How Informative Are the Data?," International Finance Discussion Papers 1175, Board of Governors of the Federal Reserve System (U.S.).
    41. Wong, Chin-Yoong & Eng, Yoke-Kee, 2013. "International business cycle co-movement and vertical specialization reconsidered in multistage Bayesian DSGE model," International Review of Economics & Finance, Elsevier, vol. 26(C), pages 109-124.
    42. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics 2014-615, Australian National University, College of Business and Economics, School of Economics.
    43. Dario Caldara & Richard Harrison & Anna Lipinska, 2012. "Practical tools for policy analysis in DSGE models with missing channels," Finance and Economics Discussion Series 2012-72, Board of Governors of the Federal Reserve System (U.S.).
    44. Stracca Livio, 2017. "The Euler equation around the world," The B.E. Journal of Macroeconomics, De Gruyter, vol. 17(2), pages 1-9, June.

  37. S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP measurement: a forecast combination perspective," Working Papers 11-41, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Jeremy J. Nalewaik, 2014. "Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression," Finance and Economics Discussion Series 2014-27, Board of Governors of the Federal Reserve System (U.S.).
    2. Cobb, Marcus P A, 2018. "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper 88593, University Library of Munich, Germany.
    3. James Bishop & Troy Gill & David Lancaster, 2013. "GDP Revisions: Measurement and Implications," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 11-22, March.
    4. Tomaz Cajner & Leland D. Crane & Ryan A. Decker & Adrian Hamins-Puertolas & Christopher Kurz, 2019. "Improving the Accuracy of Economic Measurement with Multiple Data Sources: The Case of Payroll Employment Data," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 147-170, National Bureau of Economic Research, Inc.
    5. Mary C. Daly & John G. Fernald & Òscar Jordà & Fernanda Nechio, 2013. "Shocks and Adjustments," Working Paper Series 2013-32, Federal Reserve Bank of San Francisco.
    6. S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP measurement: a measurement-error perspective," Working Papers 13-16, Federal Reserve Bank of Philadelphia.
    7. Tom Stark, 2014. "Real-time performance of GDPplus and alternative model-based measures of GDP: 2005—2014," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue Nov.
    8. Marius Cristian Acatrinei, 2020. "Financial stability indicator for non-banking markets," Journal of Financial Studies, Institute of Financial Studies, vol. 9(5), pages 3-9, November.
    9. Francis X. Diebold & Minchul Shin, 2018. "Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives," PIER Working Paper Archive 18-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 17 Aug 2018.
    10. Francis X. Diebold & Minchul Shin, 2017. "Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts," PIER Working Paper Archive 17-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 20 Aug 2017.
    11. Jan P.A.M. Jacobs & Samad Sarferaz & Simon van Norden & Jan-Egbert Sturm, 2013. "Modeling Multivariate Data Revisions," CIRANO Working Papers 2013s-44, CIRANO.

  38. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2011. "Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters," RCER Working Papers 566, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Barrios Cobos, Salvador & Dolls, Mathias & Maftei, Anamaria & Peichl, Andreas & Riscado, Sara & Varga, Janos & Wittneben, Christian, 2017. "Dynamic scoring of tax reforms in the European Union," ZEW Discussion Papers 17-017, ZEW - Leibniz Centre for European Economic Research.
    2. Hurtado, Samuel, 2014. "DSGE models and the Lucas critique," Economic Modelling, Elsevier, vol. 44(S1), pages 12-19.
    3. Jang-Ok Cho & Thomas Cooley & Hyung Seok Kim, 2015. "Business Cycle Uncertainty and Economic Welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(2), pages 185-200, April.
    4. Dolls, Mathias & Wittneben, Christian, 2017. "Dynamic Scoring of Tax Reforms in the EU," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168261, Verein für Socialpolitik / German Economic Association.
    5. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    6. Canova, Fabio & Ferroni, Filippo & Matthes, Christian, 2015. "Approximating time varying structural models with time invariant structures," CEPR Discussion Papers 10803, C.E.P.R. Discussion Papers.
    7. Moore, Rachel & Pecoraro, Brandon, 2020. "Macroeconomic implications of modeling the Internal Revenue Code in a heterogeneous-agent framework," Economic Modelling, Elsevier, vol. 87(C), pages 72-91.
    8. Marcin Bielecki & Michał Brzoza-Brzezina & Marcin Kolasa & Krzysztof Makarski, 2017. "Could the boom-bust in the eurozone periphery have been prevented?," GRAPE Working Papers 17, GRAPE Group for Research in Applied Economics.
    9. Saito, Yuta, 2014. "Are Deep Parameters Policy-Invariant?," MPRA Paper 66236, University Library of Munich, Germany.
    10. Dmitry I. Malakhov & Nikolay P. Pilnik & Igor G. Pospelov, 2015. "Stability of Distribution of Relative Sizes of Banks as an Argument for the Use of the Representative Agent Concept," HSE Working papers WP BRP 116/EC/2015, National Research University Higher School of Economics.
    11. Axelle Ferriere & Gaston Navarro, 2025. "Fiscal Management of Aggregate Demand: The Effectiveness of Labor Tax Credits," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 73(3), pages 733-778, September.
    12. Nils M. Gornemann & Keith Kuester & Makoto Nakajima, 2012. "Monetary policy with heterogeneous agents," Working Papers 12-21, Federal Reserve Bank of Philadelphia.
    13. Yagihashi, Takeshi, 2018. "How costly is a misspecified credit channel DSGE model in monetary policymaking?," Economic Modelling, Elsevier, vol. 68(C), pages 484-505.
    14. Macnamara Patrick, 2016. "Understanding entry and exit: a business cycle accounting approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 47-91, January.

  39. Chang, Yongsung & Schorfheide, Frank, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," CEPR Discussion Papers 8039, C.E.P.R. Discussion Papers.

    Cited by:

    1. Francesco Sergi, 2018. "DSGE Models and the Lucas Critique. A Historical Appraisal," Working Papers 20181806, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    2. Hashem M. Pesaran & Ron P. Smith, 2011. "Beyond the DSGE Straitjacket," CESifo Working Paper Series 3447, CESifo.
    3. Fernando J. Pérez Forero, 2017. "Measuring the Stance of Monetary Policy in a Time-Varying," Working Papers 102, Peruvian Economic Association.
    4. Christian Bayer & Volker Tjaden, 2016. "Large Open Economies and Fixed Costs of Capital Adjustment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 125-146, July.
    5. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," Journal of Monetary Economics, Elsevier, vol. 58(4), pages 345-361.
    6. Francisco J. Buera & Benjamin Moll, 2012. "Aggregate Implications of a Credit Crunch," NBER Working Papers 17775, National Bureau of Economic Research, Inc.

  40. Sun-Bin Kim & Frank Schorfheide & Yongsung Chang, 2010. "Financial Frictions, Aggregation, and the Lucas Critique," 2010 Meeting Papers 31, Society for Economic Dynamics.

    Cited by:

    1. Chang, Chia-ling & Chen, Shu-heng, 2011. "Interactions in DSGE models: The Boltzmann-Gibbs machine and social networks approach," Economics Discussion Papers 2011-25, Kiel Institute for the World Economy.
    2. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," CEPR Discussion Papers 8364, C.E.P.R. Discussion Papers.
    3. Chen, Shu-heng & Chang, Chia-ling, 2012. "Interactions in the New Keynesian DSGE models: The Boltzmann-Gibbs machine and social networks approach," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, vol. 6, pages 1-32.

  41. S. Boragan Aruoba & Frank Schorfheide, 2009. "Sticky prices versus monetary frictions: an estimation of policy trade-offs," Working Papers 09-8, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
    2. Joshua Brault & Louis Phaneuf, 2025. "What Drives Low and Stable Inflation?," Working Papers 25-02, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
    3. Olivier Coibion & Yuriy Gorodnichenko & Johannes F. Wieland, 2010. "The Optimal Inflation Rate in New Keynesian Models," NBER Working Papers 16093, National Bureau of Economic Research, Inc.
    4. Raffaella Giacomini & Toru Kitagawa, 2014. "Inference about Non-Identi?ed SVARs," CeMMAP working papers CWP45/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Manuel González-Astudillo & Jean-Philippe Laforte, 2025. "Estimates of the Natural Rate of Interest Consistent with a Supply-Side Structure and a Monetary Policy Rule for the U.S. Economy," International Journal of Central Banking, International Journal of Central Banking, vol. 21(1), pages 137-199, January.
    6. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    7. Raffaella Giacomini & Toru Kitagawa, 2018. "Robust Bayesian inference for set-identified models," CeMMAP working papers CWP61/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Weber, Henning, 2011. "Optimal inflation and firms' productivity dynamics," Kiel Working Papers 1685, Kiel Institute for the World Economy.
    9. Ibrahim Ayoade Adekunle & Sheriffdeen Adewale Tella & Oluwaseyi Adedayo Adelowokan, 2021. "Macroeconomic policy volatility and household consumption in Africa," SN Business & Economics, Springer, vol. 1(3), pages 1-22, March.
    10. Waqas Ahmed & Farooq Pasha & Sajawal Khan & Muhammad Rehman, 2012. "Pakistan Economy DSGE Model with Informality," SBP Working Paper Series 47, State Bank of Pakistan, Research Department.
    11. Yuriy Gorodnichenko & Johannes Wieland & Olivier Coibion, 2012. "The Optimal Inflation Rate in New Keynesian Models: Should Central Banks Raise Their Inflation Targets in Light of the Zero Lower Bound?," 2012 Meeting Papers 70, Society for Economic Dynamics.
    12. Ahrens, Steffen & Snower, Dennis J., 2012. "Envy, guilt, and the Phillips curve," Kiel Working Papers 1754, Kiel Institute for the World Economy.
    13. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    14. Nicoletta Batini & Paul Levine & Emanuela Lotti & Bo Yang, 2011. "Informality, Frictions and Monetary Policy," School of Economics Discussion Papers 0711, School of Economics, University of Surrey.
    15. Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
    16. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    17. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    18. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    19. Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2017. "Uncertain identification," CeMMAP working papers 18/17, Institute for Fiscal Studies.
    20. Chou, Jenyu & Easaw, Joshy & Minford, Patrick, 2021. "Does Inattentiveness Matter for DSGE Modelling? An Empirical Investigation," Cardiff Economics Working Papers E2021/35, Cardiff University, Cardiff Business School, Economics Section.
    21. Schorfheide, Frank & Moon, Hyungsik Roger & Granziera, Eleonora & Lee, Mihye, 2011. "Inference for VARs Identified with Sign Restrictions," CEPR Discussion Papers 8432, C.E.P.R. Discussion Papers.
    22. Saima Liaqat & Khalid Khan & Po Bunnika, 2018. "China9apos9s Consumption Function: An Empirical Test of Absolute and Permanent Income Hypothesis," Global Economics Review, Humanity Only, vol. 3(1), pages 90-97, June.
    23. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    24. Gabrovski, Miroslav & Geromichalos, Athanasios & Herrenbrueck, Lucas & Kospentaris, Ioannis & Lee, Sukjoon, 2025. "The real effects of financial disruptions in a monetary economy," Journal of Monetary Economics, Elsevier, vol. 151(C).
    25. Effah Nyamekye, Gabriel & Adusei Poku, Eugene, 2017. "What is the effect of inflation on consumer spending behaviour in Ghana?," MPRA Paper 81081, University Library of Munich, Germany.
    26. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    27. Vasco J. Gabriel & Paul Levine & Bo Yang, 2023. "Partial dollarization and financial frictions in emerging economies," Review of International Economics, Wiley Blackwell, vol. 31(2), pages 609-651, May.
    28. Manuel Gonzalez-Astudillo & Jean-Philippe Laforte, 2020. "Estimates of r* Consistent with a Supply-Side Structure and a Monetary Policy Rule for the U.S. Economy," Finance and Economics Discussion Series 2020-085, Board of Governors of the Federal Reserve System (U.S.).
    29. Silva, Mario, 2017. "New monetarism with endogenous product variety and monopolistic competition," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 158-181.
    30. Diegel, Max, 2022. "Time-varying credibility, anchoring and the Fed's inflation target," Discussion Papers 2022/9, Free University Berlin, School of Business & Economics.
    31. Marieh Azizirad, 2022. "Fisher vs Keynes: Does an Interest Rate Hike Cause Inflation to Increase or Decrease?," Discussion Papers dp22-08, Department of Economics, Simon Fraser University.
    32. Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2025. "Estimating the natural rate of interest in a macro-finance yield curve model," Working Paper Series 3160, European Central Bank.
    33. Benjamin Hemingway, 2024. "The role of central bank digital currency in an increasingly digital economy," Bank of England working papers 1101, Bank of England.
    34. Yashar Blouri & Maximilian v. Ehrlich, 2017. "On the optimal design of place-based policies: A structural evaluation of EU regional transfers," Diskussionsschriften dp1702, Universitaet Bern, Departement Volkswirtschaft.
    35. Franz Seitz & Markus A. Schmidt, 2014. "Money In Modern Macro Models: A Review of the Arguments," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 156-174.
    36. Fabio Milani, 2012. "The Modeling of Expectations in Empirical DSGE Models: a Survey," Working Papers 121301, University of California-Irvine, Department of Economics.
    37. Fleissig, Adrian R. & Jones, Barry E., 2015. "The impact of commercial sweeping on the demand for monetary assets during the Great Recession," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 412-422.
    38. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.
    39. Michele Loberto & Chiara Perricone, 2015. "Does trend inflation make a difference?," Temi di discussione (Economic working papers) 1033, Bank of Italy, Economic Research and International Relations Area.
    40. Giovanni Di Bartolomeo & Patrizio Tirelli & Nicola Acocella, 2013. "The comeback of inflation as an optimal public finance tool," Working Papers 263, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
    41. De Graeve, Ferre & Mazzolini, Giulio, 2023. "The maturity composition of government debt: A comprehensive database," European Economic Review, Elsevier, vol. 154(C).
    42. Klaus Adam & Henning Weber, 2024. "The Optimal Inflation Target," CRC TR 224 Discussion Paper Series crctr224_2024_572, University of Bonn and University of Mannheim, Germany.
    43. Liang Wang, 2014. "Endogenous Search, Price Dispersion, and Welfare," Working Papers 201429, University of Hawaii at Manoa, Department of Economics.
    44. Anna Kormilitsina & Denis Nekipelov, 2015. "Consistent Variance of the Laplace Type Estimators: Application to DSGE Models," Departmental Working Papers 1510, Southern Methodist University, Department of Economics.
    45. Rüdiger Bachmann & Tim O. Berg & Eric R. Sims, 2012. "Inflation Expectations and Readiness to Spend: Cross-Sectional Evidence," NBER Working Papers 17958, National Bureau of Economic Research, Inc.
    46. Weber, Henning, 2013. "Learning By Doing in New Firms and the Optimal Rate of Inflation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79761, Verein für Socialpolitik / German Economic Association.
    47. S. Boragan Aruoba & Frank Schorfheide, 2013. "Macroeconomic dynamics near the ZLB: a tale of two equilibria," Working Papers 13-29, Federal Reserve Bank of Philadelphia.
    48. Schabert, Andreas & Christoffel, Kai, 2015. "Interest rates, money, and banks in an estimated euro area model," Working Paper Series 1791, European Central Bank.
    49. Assenmacher, Katrin & Bitter, Lea & Ristiniemi, Annukka, 2023. "CBDC and business cycle dynamics in a New Monetarist New Keynesian model," Working Paper Series 2811, European Central Bank.
    50. Concetta Rondinelli & Roberta Zizza, 2020. "Spend today or spend tomorrow? The role of inflation expectations in consumer behaviour," Temi di discussione (Economic working papers) 1276, Bank of Italy, Economic Research and International Relations Area.
    51. Cecion, Martina & Coenen, Günter & Gerke, Rafael & Le Bihan, Hervé & Motto, Roberto & Aguilar, Pablo & Ajevskis, Viktors & Giesen, Sebastian & Albertazzi, Ugo & Gilbert, Niels & Al-Haschimi, Alexander, 2021. "The ECB’s price stability framework: past experience, and current and future challenges," Occasional Paper Series 269, European Central Bank.
    52. Anna Kormilitsina & Denis Nekipelov, 2016. "Consistent Variance Of The Laplace‐Type Estimators: Application To Dsge Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 603-622, May.
    53. Raffaella Giacomini & Toru Kitagawa, 2014. "Inference about Non-Identified SVARs," CeMMAP working papers 45/14, Institute for Fiscal Studies.
    54. Jagjit S. Chadha & Luisa Corrado & Sean Holly, 2013. "A Note on Money and the Conduct of Monetary Policy," Cambridge Working Papers in Economics 1329, Faculty of Economics, University of Cambridge.
    55. Fabio Milani, 2014. "Sentiment and the US Business Cycle," Working Papers 141504, University of California-Irvine, Department of Economics.
    56. Weber, Henning, 2012. "The optimal inflation rate and firm-level productivity growth," Kiel Working Papers 1773, Kiel Institute for the World Economy.
    57. Daniel R. Sanches, 2012. "The optimum quantity of money," Business Review, Federal Reserve Bank of Philadelphia, issue Q4, pages 8-15.
    58. Weber, Henning, 2015. "Innovation and the Optimal Rate of Inflation," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113087, Verein für Socialpolitik / German Economic Association.
    59. Del Negro, Marco & Eusepi, Stefano, 2011. "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.
    60. John Duffy & Daniela Puzzello, 2022. "The Friedman Rule: Experimental Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(2), pages 671-698, May.
    61. Michael Weber & Daniel Hoang & Francesco D'Acunto, 2015. "Inflation Expectations and Consumption Expenditure," 2015 Meeting Papers 1266, Society for Economic Dynamics.
    62. Stephen D. Williamson & Randall Wright, 2010. "New monetarist economics: methods," Review, Federal Reserve Bank of St. Louis, vol. 92(May), pages 265-302.
    63. Emanuele Bacchiocchi & Toru Kitagawa, 2022. "Locally- but not Globally-identified SVARs," Working Papers wp1171, Dipartimento Scienze Economiche, Universita' di Bologna.
    64. BOUAKEZ, Hafedh & KANO, Takashi, 2024. "Deciphering the Neo-Fisherian Effect," Discussion paper series HIAS-E-140, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    65. Joshua Brault & Louis Phaneuf, 2021. "Higher Order Interest-Smoothing, Time-Varying Inflation Target and the Prospect of Indeterminacy," Working Papers 21-10, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    66. Olivier Coibion & Yuriy Gorodnichenko, 2011. "Monetary Policy, Trend Inflation, and the Great Moderation: An Alternative Interpretation," American Economic Review, American Economic Association, vol. 101(1), pages 341-370, February.
    67. Adam, Klaus & Weber, Henning, 2024. "The optimal inflation target: Bridging the gap between theory and policy," Discussion Papers 44/2024, Deutsche Bundesbank.
    68. Joshua Brault & Qazi Haque & Louis Phaneuf, 2025. "Time-Varying Inflation Target and Unbiased Taylor Rule Estimation," Working Papers 25-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Jan 2025.
    69. Lafuente Juan Ángel & Monfort Mercedes & Pérez Rafaela & Ruiz Jesús, 2021. "Disentangling Permanent and Transitory Monetary Shocks with a Nonlinear Taylor Rule," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 15(1), pages 150-162, January.
    70. Giovanni Nicolò, 2025. "US Monetary Policy and Indeterminacy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(2), pages 195-213, March.
    71. Di Bartolomeo Giovanni & Tirelli Patrizio, 2016. "Public finance and the optimal inflation rate," wp.comunite 00128, Department of Communication, University of Teramo.

  42. Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulà lia-Llopis, Raül, 2009. "Methods versus Substance: Measuring the Effects of Technology Shocks on Hours," CEPR Discussion Papers 7474, C.E.P.R. Discussion Papers.

    Cited by:

    1. Frank Schorfheide, 2011. "Estimation and evaluation of DSGE models: progress and challenges," Working Papers 11-7, Federal Reserve Bank of Philadelphia.
    2. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    3. Jiang, Kai & Xin, Baogui & Santibanez Gonzalez, Ernesto D.R., 2025. "Can industrial intelligence promote net-zero development? An analysis of resource dependence," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
    4. Cantore, C. & Ferroni, F. & Le n-Ledesma, M A., 2011. "Interpreting the Hours-Technology time-varying relationship," Working papers 351, Banque de France.
    5. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    6. Yao, Fang, 2009. "Real and nominal rigidities in price setting: A bayesian analysis using aggregate data," SFB 649 Discussion Papers 2009-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Alejandro Justiniano & Claudio Michelacci, 2011. "The Cyclical Behavior of Equilibrium Unemployment and Vacancies in the US and Europe," NBER Working Papers 17429, National Bureau of Economic Research, Inc.
    8. Cruz Echevarría, 2015. "Income tax progressivity, growth, income inequality and welfare," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(1), pages 43-72, March.
    9. Enrique Martínez García & Diego Vilán & Mark A. Wynne, 2012. "Bayesian estimation of NOEM models: identification and inference in small samples," Globalization Institute Working Papers 105, Federal Reserve Bank of Dallas.
    10. Ikeda, Daisuke, 2015. "Optimal inflation rates with the trending relative price of investment," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 20-33.
    11. Jesús Rodríguez López, 2010. "Growth, fluctuations and technology in the U.S. post-war economy," Working Papers 10.01, Universidad Pablo de Olavide, Department of Economics.
    12. Alejandro Justiniano & Claudio Michelacci, 2011. "The Cyclical Behavior of Equilibrium Unemployment and Vacancies in the United States and Europe," NBER Chapters, in: NBER International Seminar on Macroeconomics 2011, pages 169-235, National Bureau of Economic Research, Inc.
    13. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," NBER Working Papers 16401, National Bureau of Economic Research, Inc.
    14. Alejandro Justiniano & Bruce Preston, 2008. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," NBER Working Papers 14547, National Bureau of Economic Research, Inc.
    15. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.
    16. Furlanetto, Francesco & Natvik, Gisle J. & Seneca, Martin, 2013. "Investment shocks and macroeconomic co-movement," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 208-216.

  43. Hyungsik Roger Moon & Frank Schorfheide, 2009. "Bayesian and Frequentist Inference in Partially Identified Models," NBER Working Papers 14882, National Bureau of Economic Research, Inc.

    Cited by:

    1. Xiaohong Chen & Timothy Christensen & Keith O’Hara & Elie Tamer, 2016. "MCMC Confidence sets for Identified Sets," Cowles Foundation Discussion Papers 2037R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2016.
    2. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    3. Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    4. Norets, Andriy & Shimizu, Kenichi, 2024. "Semiparametric Bayesian estimation of dynamic discrete choice models," Journal of Econometrics, Elsevier, vol. 238(2).
    5. Thorsten Drautzburg & Pooyan Amir-Ahmadi, 2017. "Identification through Heterogeneity," 2017 Meeting Papers 1087, Society for Economic Dynamics.
    6. Francesca Molinari, 2020. "Microeconometrics with Partial Identification," Papers 2004.11751, arXiv.org.
    7. Ahfock, Daniel & Pyne, Saumyadipta & McLachlan, Geoffrey J., 2022. "Statistical file-matching of non-Gaussian data: A game theoretic approach," Computational Statistics & Data Analysis, Elsevier, vol. 168(C).
    8. Epstein, Larry G. & Seo, Kyoungwon, 2014. "De Finetti meets Ellsberg," Research in Economics, Elsevier, vol. 68(1), pages 11-26.
    9. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers CWP43/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. Cheaheon Lim, 2026. "Partially Identified Ambiguity," Papers 2602.07634, arXiv.org.
    11. Thorsten Drautzburg, 2016. "A narrative approach to a fiscal DSGE model," Working Papers 16-11, Federal Reserve Bank of Philadelphia.
    12. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    13. Yuan Liao & Anna Simoni, 2012. "Semi-parametric Bayesian Partially Identified Models based on Support Function," Papers 1212.3267, arXiv.org, revised Nov 2013.
    14. Victor Chernozhukov & Christian B. Hansen & Lingwei Kong & Weining Wang, 2025. "Plausible GMM: A Quasi-Bayesian Approach," Bristol Economics Discussion Papers 25/817, School of Economics, University of Bristol, UK.
    15. Armstrong, Timothy B., 2014. "Weighted KS statistics for inference on conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 181(2), pages 92-116.
    16. Pudney, Stephen & Diaz, Yadira, 2013. "Measuring poverty persistence with missing data with an application to Peruvian panel data," ISER Working Paper Series 2013-22, Institute for Social and Economic Research.
    17. Matthew Masten & Alexandre Poirier, 2017. "Inference on breakdown frontiers," CeMMAP working papers 20/17, Institute for Fiscal Studies.
    18. Liu, Xiaobin & Li, Yong & Yu, Jun & Zeng, Tao, 2022. "Posterior-based Wald-type statistics for hypothesis testing," Journal of Econometrics, Elsevier, vol. 230(1), pages 83-113.
    19. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    20. Brendan Kline & Elie Tamer, 2024. "Counterfactual Analysis in Empirical Games," Papers 2410.12731, arXiv.org.
    21. Matthew Read, 2022. "Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions," RBA Research Discussion Papers rdp2022-09, Reserve Bank of Australia.
    22. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers 43/17, Institute for Fiscal Studies.
    23. Kilian, Lutz & Murphy, Daniel, 2009. "Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models," CEPR Discussion Papers 7471, C.E.P.R. Discussion Papers.
    24. Kaplan, David M. & Zhuo, Longhao, 2021. "Frequentist properties of Bayesian inequality tests," Journal of Econometrics, Elsevier, vol. 221(1), pages 312-336.
    25. Watanabe, Hajime & Maruyama, Takuya, 2024. "A Bayesian sample selection model with a binary outcome for handling residential self-selection in individual car ownership," Journal of choice modelling, Elsevier, vol. 51(C).
    26. Ivan A. Canay & Azeem M. Shaikh, 2016. "Practical and theoretical advances in inference for partially identified models," CeMMAP working papers CWP05/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    27. Bollinger, Christopher R. & van Hasselt, Martijn, 2017. "Bayesian moment-based inference in a regression model with misclassification error," Journal of Econometrics, Elsevier, vol. 200(2), pages 282-294.
    28. Zabavnik, Darja & Verbič, Miroslav, 2024. "Unravelling the credit market shocks and investment dynamics: A theoretical and empirical perspective," International Review of Financial Analysis, Elsevier, vol. 94(C).
    29. Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2022. "Uncertain identification," Quantitative Economics, Econometric Society, vol. 13(1), pages 95-123, January.
    30. David M. Kaplan & Longhao Zhuo, 2017. "Frequentist size of Bayesian inequality tests," Working Papers 1709, Department of Economics, University of Missouri, revised 14 Jul 2019.
    31. Ashesh Rambachan & Jon Kleinberg & Sendhil Mullainathan & Jens Ludwig, 2020. "An Economic Approach to Regulating Algorithms," NBER Working Papers 27111, National Bureau of Economic Research, Inc.
    32. Flynn, Zach, 2018. "Identifying productivity when it is a factor of production," SocArXiv bwxfz, Center for Open Science.
    33. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    34. Francis DiTraglia & Camilo Garcia-Jimeno, 2015. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models, Third Version," PIER Working Paper Archive 15-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Sep 2015.
    35. Hyungsik Roger Moon & Frank Schorfheide & Eleonora Granziera & Mihye Lee, 2011. "Inference for VARs Identified with Sign Restrictions," NBER Working Papers 17140, National Bureau of Economic Research, Inc.
    36. Armstrong, Timothy B., 2015. "Asymptotically exact inference in conditional moment inequality models," Journal of Econometrics, Elsevier, vol. 186(1), pages 51-65.
    37. Francis J. DiTraglia & Camilo Garcia-Jimeno, 2020. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models," Papers 2011.07276, arXiv.org.
    38. Montiel Olea, José Luis & Nesbit, James, 2021. "(Machine) learning parameter regions," Journal of Econometrics, Elsevier, vol. 222(1), pages 716-744.
    39. Georgiadis, Georgios & Müller, Gernot J. & Schumann, Ben, 2021. "Global risk and the dollar," Working Paper Series 2628, European Central Bank.
    40. Raffaella Giacomini & Toru Kitagawa, 2021. "Robust Bayesian Inference for Set‐Identified Models," Econometrica, Econometric Society, vol. 89(4), pages 1519-1556, July.
    41. Timothy B. Armstrong & Hock Peng Chan, 2013. "Multiscale Adaptive Inference on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1885R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
    42. Sasaki, Yuya & Takahashi, Yuya & Xin, Yi & Hu, Yingyao, 2023. "Dynamic discrete choice models with incomplete data: Sharp identification," Journal of Econometrics, Elsevier, vol. 236(1).
    43. Bollinger, Christopher R. & van Hasselt, Martijn, 2017. "A Bayesian analysis of binary misclassification," Economics Letters, Elsevier, vol. 156(C), pages 68-73.
    44. Alessandra Mattei & Fabrizia Mealli & Barbara Pacini, 2014. "Identification of causal effects in the presence of nonignorable missing outcome values," Biometrics, The International Biometric Society, vol. 70(2), pages 278-288, June.
    45. Martijn van Hasselt & Christopher R. Bollinger & Jeremy W. Bray, 2022. "A Bayesian approach to account for misclassification in prevalence and trend estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 351-367, March.
    46. Bollinger, Christopher R. & van Hasselt, Martijn, 2020. "Estimating the cumulative rate of SARS-CoV-2 infection," Economics Letters, Elsevier, vol. 197(C).
    47. Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2022. "Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    48. Christiane Baumeister & James D. Hamilton, 2014. "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," NBER Working Papers 20741, National Bureau of Economic Research, Inc.
    49. Helmut Lütkepohl & Aleksei NetŠunajev, 2014. "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, April.
    50. Drautzburg, Thorsten & Wright, Jonathan H., 2023. "Refining set-identification in VARs through independence," Journal of Econometrics, Elsevier, vol. 235(2), pages 1827-1847.
    51. Atsushi Inoue & Mototsugu Shintania, 2014. "Quasi-Bayesian Model Selection," Departmental Working Papers 1402, Southern Methodist University, Department of Economics.
    52. Jiang, Wenxin, 2017. "On limiting distribution of quasi-posteriors under partial identification," Econometrics and Statistics, Elsevier, vol. 3(C), pages 60-72.
    53. Shinya Sugawara & Yasuhiro Omori, 2017. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 473-502, October.
    54. Kaido, Hiroaki, 2016. "A dual approach to inference for partially identified econometric models," Journal of Econometrics, Elsevier, vol. 192(1), pages 269-290.
    55. Nguyen, Lam, 2025. "Bayesian inference in proxy SVARs with incomplete identification: Re-evaluating the validity of monetary policy instruments," Journal of Monetary Economics, Elsevier, vol. 155(C).
    56. Alvarez, Luis Antonio, 2023. "Approximate Bayesian Computation for Partially Identified Models," MPRA Paper 117339, University Library of Munich, Germany.
    57. Xiaohong Chen & Timothy M. Christensen & Keith O'Hara & Elie Tamer, 2016. "MCMC confidence sets for identified sets," CeMMAP working papers 28/16, Institute for Fiscal Studies.
    58. Zhongjun Qu & Fan Zhuo, 2015. "Likelihood Ratio Based Tests for Markov Regime Switching," Boston University - Department of Economics - Working Papers Series wp2015-003, Boston University - Department of Economics.
    59. Yuan Liao & Anna Simoni, 2019. "Bayesian inference for partially identified smooth convex models," Post-Print hal-03089881, HAL.
    60. Stéphane Bonhomme & Martin Weidner, 2020. "Posterior average effects," CeMMAP working papers CWP49/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    61. Fabio Canova & Matthias Paustian, 2007. "Business cycle measurement with some theory," Economics Working Papers 1203, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2011.
    62. Ahfock, Daniel & Pyne, Saumyadipta & Lee, Sharon X. & McLachlan, Geoffrey J., 2016. "Partial identification in the statistical matching problem," Computational Statistics & Data Analysis, Elsevier, vol. 104(C), pages 79-90.
    63. Matthew Read, 2024. "Sign Restrictions and Supply-demand Decompositions of Inflation," RBA Research Discussion Papers rdp2024-05, Reserve Bank of Australia.
    64. Gustafson Paul, 2010. "Bayesian Inference for Partially Identified Models," The International Journal of Biostatistics, De Gruyter, vol. 6(2), pages 1-20, March.
    65. Shinya Sugawara, 2013. "An Interval Regression Analysis for Tenures of Japanese Elder Care Workers Using Matched Employer-Employee Data," CIRJE F-Series CIRJE-F-887, CIRJE, Faculty of Economics, University of Tokyo.
    66. Max Breitenlechner & Riikka Nuutilainen, 2023. "China’s Monetary Policy and the Loan Market: How Strong is the Credit Channel in China?," Open Economies Review, Springer, vol. 34(3), pages 555-577, July.
    67. Matthew Read, 2026. "Shock-percentile Restrictions for SVARs," RBA Research Discussion Papers rdp2026-01, Reserve Bank of Australia.
    68. Danne, Christian, 2015. "VARsignR: Estimating VARs using sign restrictions in R," MPRA Paper 68429, University Library of Munich, Germany.
    69. Stéphane Bonhomme & Martin Weidner, 2019. "Posterior average effects," CeMMAP working papers CWP43/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    70. Paul Carrillo‐Maldonado, 2023. "Partial identification for growth regimes: The case of Latin American countries," Metroeconomica, Wiley Blackwell, vol. 74(3), pages 557-583, July.
    71. Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Robust Forecasting," Papers 2011.03153, arXiv.org, revised Dec 2020.
    72. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2021. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(4), pages 369-410, October.
    73. Kyungchul Song, 2009. "Point Decisions for Interval-Identified Parameters," PIER Working Paper Archive 09-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    74. Juan Rubio-Ramirez & Daniel Waggoner & Jonas Arias, 2016. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," 2016 Meeting Papers 472, Society for Economic Dynamics.
    75. Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2021. "Identification and Inference Under Narrative Restrictions," Papers 2102.06456, arXiv.org.
    76. Breitenlechner, Max & Nuutilainen, Riikka, 2019. "China's monetary policy and the loan market: How strong is the credit channel in China?," BOFIT Discussion Papers 15/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    77. Emanuele Bacchiocchi & Toru Kitagawa, 2022. "Locally- but not Globally-identified SVARs," Working Papers wp1171, Dipartimento Scienze Economiche, Universita' di Bologna.
    78. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2017. "Shock Restricted Structural Vector-Autoregressions," NBER Working Papers 23225, National Bureau of Economic Research, Inc.
    79. Raffaella Giacomini & Toru Kitagawa & Harald Uhlig, 2019. "Estimation Under Ambiguity," CeMMAP working papers CWP24/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    80. Gregory Bauer & Eleonora Granziera, 2016. "Monetary Policy, Private Debt and Financial Stability Risks," Staff Working Papers 16-59, Bank of Canada.
    81. Áureo de Paula, 2012. "Econometric analysis of games with multiple equilibria," CeMMAP working papers 29/12, Institute for Fiscal Studies.
    82. Kline, Brendan, 2024. "Classical p-values and the Bayesian posterior probability that the hypothesis is approximately true," Journal of Econometrics, Elsevier, vol. 240(1).
    83. Francis DiTraglia & Camilo Garcia-Jimeno, 2015. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models, Second Version," PIER Working Paper Archive 15-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 31 Aug 2015.
    84. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    85. Pérez-Forero, Fernando & Vega, Marco, 2014. "The Dynamic Effects of Interest Rates and Reserve Requirements," Working Papers 2014-018, Banco Central de Reserva del Perú.
    86. Baumeister, Christiane & Hamilton, James D., 2018. "Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 48-65.
    87. Shinya Sugawara & Yasuhiro Omori, 2013. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection," CIRJE F-Series CIRJE-F-882, CIRJE, Faculty of Economics, University of Tokyo.
    88. Hyeon-seung Huh & David Kim, 2025. "An empirical assessment of the influence of informative rotation prior in the sign-identified SVAR model," Working papers 2025rwp-246, Yonsei University, Yonsei Economics Research Institute.
    89. Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew, 2022. "Robust Bayesian inference in proxy SVARs," Journal of Econometrics, Elsevier, vol. 228(1), pages 107-126.
    90. Yuan Liao & Anna Simoni, 2016. "Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?," Departmental Working Papers 201607, Rutgers University, Department of Economics.
    91. Breitenlechner, Max & Mathy, Gabriel P. & Scharler, Johann, 2021. "Decomposing the U.S. Great Depression: How important were loan supply shocks?," Explorations in Economic History, Elsevier, vol. 79(C).
    92. Tamer, Elie & Kline, Brendan, 2016. "Bayesian inference in a class of partially identified models," Scholarly Articles 30780157, Harvard University Department of Economics.
    93. Arthur Lewbel, 2019. "The Identification Zoo: Meanings of Identification in Econometrics," Journal of Economic Literature, American Economic Association, vol. 57(4), pages 835-903, December.
    94. Isaiah Andrews & Anna Mikusheva, 2022. "Optimal Decision Rules for Weak GMM," Econometrica, Econometric Society, vol. 90(2), pages 715-748, March.
    95. Gafarov, Bulat & Meier, Matthias & Montiel Olea, José Luis, 2018. "Delta-method inference for a class of set-identified SVARs," Journal of Econometrics, Elsevier, vol. 203(2), pages 316-327.
    96. Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    97. Doh, Taeyoung & Smith, A. Lee, 2022. "A new approach to integrating expectations into VAR models," Journal of Monetary Economics, Elsevier, vol. 132(C), pages 24-43.

  44. Marco del Negro & Frank Schorfheide, 2008. "Inflation Dynamics in a Small Open Economy Model Under Inflation Targeting: Some Evidence From Chile," Working Papers Central Bank of Chile 486, Central Bank of Chile.

    Cited by:

    1. Mr. Selim A Elekdag & Mr. Harun Alp, 2011. "The Role of Monetary Policy in Turkey During the Global Financial Crisis," IMF Working Papers 2011/150, International Monetary Fund.
    2. William Ginn & Marc Pourroy, 2022. "The Contribution of Food Subsidy Policy to Monetary Policy in India," Post-Print hal-02944209, HAL.
    3. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
    4. Martin Fukac & Adrian Pagan, 2009. "Structural macro-wconometric modelling in a policy environment," Reserve Bank of New Zealand Discussion Paper Series DP2009/16, Reserve Bank of New Zealand.
    5. Luis Catão & Adrian Pagan, 2010. "The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach," NCER Working Paper Series 53, National Centre for Econometric Research.
    6. Stefan Leist & Klaus Neusser, 2010. "Measuring the Natural Output Level by DSGE Models: An Empirical Investigation for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 275-300, March.
    7. Xiaoshan Chen & Ronald Macdonald, 2012. "Realized and Optimal Monetary Policy Rules in an Estimated Markov‐Switching DSGE Model of the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1091-1116, September.
    8. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011. "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 512-528.
    9. Alstadheim, Ragna & Bjørnland, Hilde C. & Maih, Junior, 2021. "Do central banks respond to exchange rate movements? A Markov-switching structural investigation of commodity exporters and importers," Energy Economics, Elsevier, vol. 96(C).
    10. Carvalho, Carlos Viana de & Vilela, André D., 2015. "What lf Brazil Hadn't Floated the Real in 1999?," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(2), March.
    11. Zhang, Bo & Dai, Wei, 2020. "Trend inflation and macroeconomic stability in a small open economy," Economic Modelling, Elsevier, vol. 91(C), pages 769-778.
    12. Stefan Leist, 2013. "Driving Forces of the Swiss Output Gap," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(IV), pages 493-531, December.
    13. Madeira, Carlos & Salazar, Leonardo, 2023. "The impact of monetary policy on a labor market with heterogeneous workers: The case of Chile," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(2).
    14. Choi, Jinho & Hur, Joonyoung, 2015. "An examination of macroeconomic fluctuations in Korea exploiting a Markov-switching DSGE approach," Economic Modelling, Elsevier, vol. 51(C), pages 183-199.
    15. Mr. Marco Airaudo & Mr. Edward F Buffie & Luis-Felipe Zanna, 2016. "Inflation Targeting and Exchange Rate Management In Less Developed Countries," IMF Working Papers 2016/055, International Monetary Fund.
    16. Shayan Zakipour-Saber, 2019. "Monetary policy regimes and inflation persistence in the United Kingdom," Working Papers 895, Queen Mary University of London, School of Economics and Finance.
    17. Ragna Alstadheim & Hilde C. Bjørnland & Junior Maih, 2013. "Do Central Banks Respond to Exchange Rate Movements? A Markow-Switching Structural Investigation," Working Papers No 9/2013, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    18. Buffie, Edward F. & Zanna, Luis-Felipe, 2018. "Limited Asset Market Participation And Determinacy In The Open Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 1937-1977, December.
    19. Ginn, William & Pourroy, Marc, 2020. "Should a central bank react to food inflation? Evidence from an estimated model for Chile," Economic Modelling, Elsevier, vol. 90(C), pages 221-234.
    20. Fernando de Menezes Linardi, 2016. "Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy," Working Papers Series 424, Central Bank of Brazil, Research Department.
    21. Marco Airaudo, 2012. "Endogenous Dollarization, Sovereign Risk Premia and the Taylor Principle," School of Economics Working Paper Series 2012-11, LeBow College of Business, Drexel University.
    22. Buffie, Edward F. & Airaudo, M. & Zanna, Felipe, 2018. "Inflation targeting and exchange rate management in less developed countries," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 159-184.
    23. Waqas Ahmed & Muhammad Jahanzeb Malik & Muhammad Rehman, 2014. "Quarterly Bayesian DSGE Model of Pakistan Economy with Informality," SBP Working Paper Series 68, State Bank of Pakistan, Research Department.

  45. Maxym Kryshko & Frank Schorfheide & Keith Sill, 2008. "DSGE model-based forecasting of non-modelled variables," Working Papers 08-17, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Wieland, Volker & Wolters, Maik, 2013. "Forecasting and Policy Making," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 239-325, Elsevier.
    2. Christopher McDonald & Craig Thamotheram & Shaun P. Vahey & Elizabeth C. Wakerly, 2016. "Assessing the Economic Value of Probabilistic Forecasts in the Presence of an Inflation Target," CAMA Working Papers 2016-40, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Andr�s Gonz�lez G�mez & Lavan Mahadeva & Diego Rodr�guez & Luis Eduardo Rojas, 2009. "Monetary Policy Forecasting In A Dsge Model With Data That Is Uncertain, Unbalanced And About The Future," Borradores de Economia 5480, Banco de la Republica.
    4. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    5. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2017. "Measurement errors and monetary policy: Then and now," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 66-78.
    6. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    7. Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini, 2015. "DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa," Applied Economics, Taylor & Francis Journals, vol. 47(3), pages 207-221, January.
    8. Kamber, Gunes & McDonald, Chris & Sander, Nick & Theodoridis, Konstantinos, 2016. "Modelling the business cycle of a small open economy: The Reserve Bank of New Zealand's DSGE model," Economic Modelling, Elsevier, vol. 59(C), pages 546-569.
    9. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    10. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
    11. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
    12. Barbara Rudolf & Mathias Zurlinden, 2014. "A compact open economy DSGE model for Switzerland," Economic Studies 2014-08, Swiss National Bank.
    13. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
    14. Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Namba, Ryoichi & Nishiyama, Shin-Ichi, 2015. "Estimating a DSGE model for Japan in a data-rich environment," Journal of the Japanese and International Economies, Elsevier, vol. 36(C), pages 25-55.
    15. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
    16. Alejandro Steven Fonseca-Zendejas & Carmen Borrego-Salcido & Francisco Venegas-Martínez, 2025. "An Estimated DSGE Model Under the New Keynesian Framework for Mexico," Computational Economics, Springer;Society for Computational Economics, vol. 66(2), pages 1297-1320, August.
    17. Zhang, Xiaodi, 2025. "Integrating policy design with agricultural emissions reduction in China: A multi-sector DSGE Approach," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 2019-2048.
    18. Edward P. Herbst & Frank Schorfheide, 2012. "Evaluating DSGE model forecasts of comovements," Finance and Economics Discussion Series 2012-11, Board of Governors of the Federal Reserve System (U.S.).
    19. Shaun de Jager & Michael Johnston & Rudi Steinbach, 2015. "A Revised Quarterly Projection Model for South Africa," Working Papers 6839, South African Reserve Bank.
    20. Güneş Kamber & Chris McDonald & Nicholas Sander & Konstantinos Theodoridis, 2015. "A structural model for policy analysis and forecasting: NZSIM," Reserve Bank of New Zealand Discussion Paper Series DP2015/05, Reserve Bank of New Zealand.
    21. Nana Kwame Akosah & Imhotep Paul Alagidede & Eric Schaling, 2024. "General Equilibrium Model for Monetary Policy Responses to Macroeconomic Instabilities in Developing Economy: A Ghanaian Perspective," South Asian Journal of Macroeconomics and Public Finance, , vol. 13(2), pages 213-272, December.
    22. Dean Croushore & Keith Sill, 2014. "Analyzing data revisions with a dynamic stochastic general equilibrium model," Working Papers 14-29, Federal Reserve Bank of Philadelphia.
    23. Rangan Gupta & Rudi Steinbach, 2010. "Forecasting Key Macroeconomic Variables of the South African Economy: A Small Open Economy New Keynesian DSGE-VAR Model," Working Papers 201019, University of Pretoria, Department of Economics.
    24. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    25. Markus Kirchner & Rodrigo Tranamil, 2016. "Calvo Wages Vs. Search Frictions: a Horse Race in a DSGE Model of a Small Open Economy," Working Papers Central Bank of Chile 778, Central Bank of Chile.
    26. Dario Caldara & Richard Harrison & Anna Lipińska, 2014. "Practical Tools For Policy Analysis In Dsge Models With Missing Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1145-1163, November.
    27. Martin Fukac & Vladimir Havlena, 2011. "Note on the role of natural condition of control in the estimation of DSGE models," Research Working Paper RWP 11-03, Federal Reserve Bank of Kansas City.
    28. Ruey Yau & C. James Hueng, 2019. "Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 177-198, June.
    29. Juan Guerra-Salas & Markus Kirchner & Rodrigo Tranamil, 2021. "Search Frictions and the Business Cycle in a Small Open Economy DSGE Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 258-279, January.
    30. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting with Instabilities: an Application to DSGE Models with Financial Frictions," Working Papers 201523, School of Economics, University College Dublin.

  46. Frank Schorfheide & S. Boragan Aruoba, 2008. "Insights from an Estimated Search-Based Monetary Model with Nominal Rigidities," 2008 Meeting Papers 371, Society for Economic Dynamics.

    Cited by:

    1. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    2. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2017. "Safety, liquidity, and the natural rate of interest," Staff Reports 812, Federal Reserve Bank of New York.
    3. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2014. "Inflation in the Great Recession and New Keynesian Models," NBER Working Papers 20055, National Bureau of Economic Research, Inc.
    4. Stephen D. Williamson, 2008. "New Keynesian economics : a monetary perspective," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Sum), pages 197-218.

  47. Frank Schorfheide & Francis X. Diebold & Marco Del Negro, 2008. "Priors from Frequency-Domain Dummy Observations," 2008 Meeting Papers 310, Society for Economic Dynamics.

    Cited by:

    1. Zhongjun Qu, 2015. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," Boston University - Department of Economics - Working Papers Series wp2015-002, Boston University - Department of Economics.
    2. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.

  48. Del Negro, Marco & Schorfheide, Frank, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," CEPR Discussion Papers 6119, C.E.P.R. Discussion Papers.

    Cited by:

    1. Pelin Ilbas & Øistein Røisland & Tommy Sveen, 2013. "The Influence of the Taylor rule on US monetary policy," Working Paper Research 241, National Bank of Belgium.
    2. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.
    3. Kai Liu, 2014. "Public Finances, Business Cycles and Structural Fiscal Balances," Cambridge Working Papers in Economics 1411, Faculty of Economics, University of Cambridge.
    4. Arturo Ormeño, 2011. "Using Survey Data on Inflation Expectations in the Estimation of Learning and Rational Expectations Models," CESifo Working Paper Series 3552, CESifo.
    5. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    6. Shah, Sayar Ahmad & Garg, Bhavesh, 2023. "Identifying efficient policy mix under different targeting regimes: A tale of two crises," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 975-994.
    7. Andrew Binning, 2024. "Calculating Government Consumption Multipliers in New Zealand Using an Estimated DSGE Model," Treasury Working Paper Series 24/01, New Zealand Treasury.
    8. Justiniano, Alejandro & Primiceri, Giorgio E. & Tambalotti, Andrea, 2010. "Investment shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 132-145, March.
    9. Funke, Michael & Paetz, Michael & Pytlarczyk, Ernest, 2009. "Stock market wealth effects in an estimated DSGE model for Hong Kong," BOFIT Discussion Papers 14/2009, Bank of Finland Institute for Emerging Economies (BOFIT).
    10. Jordan Roulleau-Pasdeloup & Anastasia Zhutova, 2015. "Labor Market Policies and the "Missing Deflation" Puzzle: Lessons from Hoover Policies during the U.S Great Depression," Cahiers de Recherches Economiques du Département d'économie 15.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    11. Maxym Kryshko & Frank Schorfheide & Keith Sill, 2008. "DSGE model-based forecasting of non-modelled variables," Working Papers 08-17, Federal Reserve Bank of Philadelphia.
    12. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    13. Alexander Kriwoluzky & Christian A. Stoltenberg, 2009. "Nested models and model uncertainty," Economics Working Papers ECO2009/37, European University Institute.
    14. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022. "The financial accelerator mechanism: does frequency matter?," Working Papers 22-29, Federal Reserve Bank of Cleveland.
    16. Fuentes H., Fernando & García, Carlos J., 2016. "The business cycle and copper mining in Chile," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    17. Van Nguyen, Phuong, 2020. "The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model," Dynare Working Papers 56, CEPREMAP.
    18. Jarkko P. Jääskelä & Kristoffer P. Nimark, 2015. "A Medium-Scale New Keynesian Open Economy Model of Australia," Working Papers 588, Barcelona School of Economics.
    19. Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo Sampling for DSGE Models," NBER Working Papers 19152, National Bureau of Economic Research, Inc.
    20. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    21. Guerini, Mattia & Moneta, Alessio, 2017. "A method for agent-based models validation," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 125-141.
    22. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    23. Gary Koop & M. Hashem Pesaran & Ron P. Smith, 2011. "On Identification of Bayesian DSGE Models," CESifo Working Paper Series 3423, CESifo.
    24. Gary Koop, 2012. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(3), pages 143-167, September.
    25. Born, Benjamin & Peter, Alexandra & Pfeifer, Johannes, 2013. "Fiscal news and macroeconomic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2582-2601.
    26. Jon Faust & Abhishek Gupta, 2012. "Posterior Predictive Analysis for Evaluating DSGE Models," NBER Working Papers 17906, National Bureau of Economic Research, Inc.
    27. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in an DSGE model for the US," Bank of Finland Research Discussion Papers 11/2010, Bank of Finland.
    28. Kamber, Gunes & McDonald, Chris & Sander, Nick & Theodoridis, Konstantinos, 2016. "Modelling the business cycle of a small open economy: The Reserve Bank of New Zealand's DSGE model," Economic Modelling, Elsevier, vol. 59(C), pages 546-569.
    29. NANA DAVIES, Charles, 2018. "Sources of Macroeconomic Fluctuations in a Franc Zone Country: A Bayesian estimation," MPRA Paper 99998, University Library of Munich, Germany.
    30. Axelle Ferriere & Gaston Navarro, 2025. "The Heterogeneous Effects of Government Spending: It’s All About Taxes," PSE-Ecole d'économie de Paris (Postprint) hal-04849051, HAL.
    31. Borek Vasicek, 2009. "Inflation dynamics and the New Keynesian Phillips curve in EU-4," William Davidson Institute Working Papers Series wp971, William Davidson Institute at the University of Michigan.
    32. Leonardo Melosi, 2014. "Signaling Effects of Monteray Policy," 2014 Meeting Papers 830, Society for Economic Dynamics.
    33. Jordan Roulleau‐Pasdeloup & Anastasia Zhutova, 2022. "Labor Market Policies in a Deep Recession: Lessons from Hoover's Policies during the U.S. Great Depression," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 247-283, February.
    34. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Staff Reports 893, Federal Reserve Bank of New York.
    35. Sergey Slobodyan & Raf Wouters, 2009. "Learning in an Estimated Medium-Scale DSGE Model," CERGE-EI Working Papers wp396, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    36. Rebucci, Alessandro & Benigno, Gianluca & Foerster, Andrew & Otrok, Christopher, 2020. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach," CEPR Discussion Papers 14545, C.E.P.R. Discussion Papers.
    37. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data," Koç University-TUSIAD Economic Research Forum Working Papers 1321, Koc University-TUSIAD Economic Research Forum.
    38. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    39. Thore Kockerols & Erling Motzfeldt Kravik & Yasin Mimir, 2021. "Leaning against persistent financial cycles with occasional crises," Working Paper 2021/11, Norges Bank.
    40. Ormeño, Arturo, 2012. "Using Survey Data on Inflation Expectations in the Estimation of Learning and Rational Expectations Models," Working Papers 2012-007, Banco Central de Reserva del Perú.
    41. Matteo Iacoviello & Fabio Schiantarelli & Scott Schuh, 2010. "Input and output inventories in general equilibrium," International Finance Discussion Papers 1004, Board of Governors of the Federal Reserve System (U.S.).
    42. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
    43. Afrin, Sadia, 2020. "Does oligopolistic banking friction amplify small open economy's business cycles? Evidence from Australia," Economic Modelling, Elsevier, vol. 85(C), pages 119-138.
    44. Jang, Tae-Seok & Sacht, Stephen, 2014. "Animal spirits and the business cycle: Empirical evidence from moment matching," Economics Working Papers 2014-06, Christian-Albrechts-University of Kiel, Department of Economics.
    45. Jarkko Jääskelä & Kristoffer Nimark, 2008. "A Medium-scale Open Economy Model of Australia," RBA Research Discussion Papers rdp2008-07, Reserve Bank of Australia.
    46. Bianchi, Francesco & Faccini, Renato & Melosi, Leonardo, 2020. "Monetary and Fiscal Policies in Times of Large Debt: Unity is Strength," CEPR Discussion Papers 14720, C.E.P.R. Discussion Papers.
    47. Corbo, Vesna & Strid, Ingvar, 2020. "MAJA: A two-region DSGE model for Sweden and its main trading partners," Working Paper Series 391, Sveriges Riksbank (Central Bank of Sweden).
    48. Ron Gallant & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Generalized method of moments with latent variables," CeMMAP working papers CWP50/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    49. S. Boragan Aruoba & Frank Schorfheide, 2009. "Sticky prices versus monetary frictions: an estimation of policy trade-offs," Working Papers 09-8, Federal Reserve Bank of Philadelphia.
    50. Lhuissier, Stéphane & Zabelina, Margarita, 2015. "On the stability of Calvo-style price-setting behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 77-95.
    51. Alejandro Justiniano & Claudio Michelacci, 2011. "The Cyclical Behavior of Equilibrium Unemployment and Vacancies in the US and Europe," NBER Working Papers 17429, National Bureau of Economic Research, Inc.
    52. Del Negro, Marco & Schorfheide, Frank, 2008. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1191-1208, October.
    53. James M. Nason & John H. Rogers, 2008. "Exchange rates and fundamentals: a generalization," International Finance Discussion Papers 948, Board of Governors of the Federal Reserve System (U.S.).
    54. Frank Schorfheide, 2008. "DSGE model-based estimation of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 397-433.
    55. Konstantinos Theodoridis & Haroon Mumtaz, 2017. "Fiscal policy shocks and stock prices in the United States," Working Papers 178117307, Lancaster University Management School, Economics Department.
    56. Shovon Sengupta & Sunny Kumar Singh & Tanujit Chakraborty, 2025. "Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks," Papers 2510.23347, arXiv.org.
    57. Xu Zhang, 2018. "Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases," 2018 Meeting Papers 894, Society for Economic Dynamics.
    58. Eric M. Leeper & Nora Traum & Todd B. Walker, 2015. "Clearing Up the Fiscal Multiplier Morass: Prior and Posterior Analysis," NBER Working Papers 21433, National Bureau of Economic Research, Inc.
    59. Vasco Curdia & Andrea Ferrero & Han Chen, 2012. "The Macroeconomic Effects of Large-Scale Asset Purchase Programs," 2012 Meeting Papers 372, Society for Economic Dynamics.
    60. Zheng Liu, 2009. "Sources of the Great Moderation: Shocks, Frictions, or Monetary Policy?," 2009 Meeting Papers 379, Society for Economic Dynamics.
    61. Yasin Mimir & Enes Sunel, 2021. "Asset purchases as a remedy for the original sin redux," Working Paper 2021/8, Norges Bank.
    62. Fabio Canova & Christian Matthes, 2021. "Dealing with misspecification in structural macroeconometric models," Quantitative Economics, Econometric Society, vol. 12(2), pages 313-350, May.
    63. Arturo Ormeño & Krisztina Molnár, 2015. "Using Survey Data of Inflation Expectations in the Estimation of Learning and Rational Expectations Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 673-699, June.
    64. Olivier Coibion & Yuriy Gorodnichenko, 2010. "Strategic Interaction among Heterogeneous Price-Setters in an Estimated DSGE Model," Working Papers 93, Economics Department, William & Mary.
    65. Nikolay Iskrev, 2010. "Evaluating the strength of identification in DSGE models. An a priori approach," Working Papers w201032, Banco de Portugal, Economics and Research Department.
    66. Renato Faccini & Leonardo Melosi, 2018. "The Role of News about TFP in U.S. Recessions and Booms," Working Paper Series WP-2018-6, Federal Reserve Bank of Chicago.
    67. Fasolo, Angelo M. & Araujo, Eurilton & Jorge, Marcos Valli & Kornelius, Alexandre & Marinho, Leonardo Sousa Gomes, 2024. "Brazilian macroeconomic dynamics redux: Shocks, frictions, and unemployment in SAMBA model," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(2).
    68. Marco Del Negro & Frank Schorfheide, 2008. "Inflation dynamics in a small open-economy model under inflation targeting: some evidence from Chile," Staff Reports 329, Federal Reserve Bank of New York.
    69. Zheng Liu & Pengfei Wang & Tao Zha, 2009. "Do credit constraints amplify macroeconomic fluctuations?," Working Paper Series 2009-28, Federal Reserve Bank of San Francisco.
    70. Alessandro Barattieri & Susanto Basu & Peter Gottschalk, 2010. "Some Evidence on the Importance of Sticky Wages," Boston College Working Papers in Economics 740, Boston College Department of Economics.
    71. Coenen, Günter & Karadi, Peter & Schmidt, Sebastian & Warne, Anders, 2018. "The New Area-Wide Model II: an extended version of the ECB’s micro-founded model for forecasting and policy analysis with a financial sector," Working Paper Series 2200, European Central Bank.
    72. Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf, 2010. "A First Look on the New Halle Economic Projection Model," IWH Discussion Papers 6/2010, Halle Institute for Economic Research (IWH).
    73. Waggoner, Daniel F. & Zha, Tao, 2012. "Confronting model misspecification in macroeconomics," Journal of Econometrics, Elsevier, vol. 171(2), pages 167-184.
    74. Christiano, Lawrence J. & Trabandt, Mathias & Walentin, Karl, 2011. "Introducing financial frictions and unemployment into a small open economy model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 1999-2041.
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    78. Lombardi, Marco J. & Nicoletti, Giulio, 2012. "Bayesian prior elicitation in DSGE models: Macro- vs micropriors," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 294-313.
    79. Hyeongwoo Kim & Masao Ogaki, 2011. "Purchasing Power Parity and the Taylor Rule," Auburn Economics Working Paper Series auwp2011-02, Department of Economics, Auburn University.
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    85. Argentiero, Amedeo & Cerqueti, Roy & Sabatini, Fabio, 2021. "Does social capital explain the Solow residual? A DSGE approach," Structural Change and Economic Dynamics, Elsevier, vol. 58(C), pages 35-53.
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    93. Kliem, Martin & Kriwoluzky, Alexander & Sarferaz, Samad, 2015. "Monetary-fiscal policy interaction and fiscal inflation: A tale of three countries," Discussion Papers 42/2015, Deutsche Bundesbank.
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    96. Michael Chin & Thomai Filippeli & Konstantinos Theodoridis, 2015. "Cross-country co-movement in long-term interest rates: a DSGE approach," Bank of England working papers 530, Bank of England.
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    103. Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf, 2012. "The Halle Economic Projection Model," Economic Modelling, Elsevier, vol. 29(4), pages 1461-1472.
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    140. Zhongjun Qu, 2015. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," Boston University - Department of Economics - Working Papers Series wp2015-002, Boston University - Department of Economics.
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    142. Adrian Pagan & Michael Wickens, 2019. "Checking If the Straitjacket Fits," CAMA Working Papers 2019-81, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    143. Paulina Etxeberria-Garaigorta & Amaia Iza, 2015. "The Role of Productivity and Financial Frictions in the Business Cycles of a Small Open Economy: Hong Kong 1984–2011," Review of Development Economics, Wiley Blackwell, vol. 19(2), pages 400-414, May.
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    146. Marco Lorusso & Francesco Ravazzolo & Claudia Udroiu, 2024. "Fiscal stimuli: Monetary versus Fiscal Financing," BEMPS - Bozen Economics & Management Paper Series BEMPS105, Faculty of Economics and Management at the Free University of Bozen.
    147. Nana Kwame Akosah & Imhotep Paul Alagidede & Eric Schaling, 2024. "General Equilibrium Model for Monetary Policy Responses to Macroeconomic Instabilities in Developing Economy: A Ghanaian Perspective," South Asian Journal of Macroeconomics and Public Finance, , vol. 13(2), pages 213-272, December.
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    149. Pablo Guerron-Quintana & James M. Nason, 2025. "Bayesian estimation of DSGE models: An update," Boston College Working Papers in Economics 1097, Boston College Department of Economics.
    150. Hoffmann, Mathias & Kliem, Martin & Krause, Michael & Moyen, Stéphane & Šauer, Radek, 2021. "Rebalancing the euro area: Is wage adjustment in Germany the answer?," Journal of International Money and Finance, Elsevier, vol. 119(C).
    151. Katayama, Munechika & Kim, Kwang Hwan, 2013. "The delayed effects of monetary shocks in a two-sector New Keynesian model," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 243-259.
    152. Rabanal, Pau & Tuesta, Vicente, 2010. "Euro-dollar real exchange rate dynamics in an estimated two-country model: An assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 780-797, April.
    153. Dean Croushore & Keith Sill, 2014. "Analyzing data revisions with a dynamic stochastic general equilibrium model," Working Papers 14-29, Federal Reserve Bank of Philadelphia.
    154. Pau Rabanal & Juan Rubio-Ramírez, 2008. "Comparing new Keynesian models in the Euro area: a Bayesian approach," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(1), pages 23-40, March.
    155. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," NBER Working Papers 16401, National Bureau of Economic Research, Inc.
    156. Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2021. "Adaptive Importance Sampling for DSGE Models," BEMPS - Bozen Economics & Management Paper Series BEMPS84, Faculty of Economics and Management at the Free University of Bozen.
    157. Del Negro, Marco & Eusepi, Stefano, 2011. "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.
    158. Phuong V. Nguyen, 2020. "The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 48(5), pages 1035-1063, October.
    159. NANA DAVIES, Charles, 2020. "Land Collateral and Rule-of-Thumb Households in a Franc Zone Country: A Bayesian Appraisal," MPRA Paper 100000, University Library of Munich, Germany.
    160. Jinting Guo, 2025. "On the Identification of Diagnostic Expectations: Econometric Insights from DSGE Models," Papers 2509.08472, arXiv.org, revised Sep 2025.
    161. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
    162. Pengfei Wang & Yi Wen & Zhiwei Xu, 2017. "Online Appendix to ""Financial Development and Long-Run Volatility Trends"," Online Appendices 15-174, Review of Economic Dynamics.
    163. Tae Bong Kim, 2013. "Monetary Policy in Korea through the lense of Taylor Rule in DSGE model," 2013 Meeting Papers 746, Society for Economic Dynamics.
    164. Richard Harrison & Özlem Oomen, 2010. "Evaluating and estimating a DSGE model for the United Kingdom," Bank of England working papers 380, Bank of England.
    165. Han Chen, 2014. "Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model," Finance and Economics Discussion Series 2014-38, Board of Governors of the Federal Reserve System (U.S.).
    166. Jean Pierre Allegret & Mohamed Tahar Benkhodja, 2011. "External Shocks and Monetary Policy in a Small Open Oil Exporting Economy," EconomiX Working Papers 2011-39, University of Paris Nanterre, EconomiX.
    167. Paolo Gelain & Simone Manganelli, 2020. "Monetary Policy with Judgment," Working Papers 20-14, Federal Reserve Bank of Cleveland.
    168. Sorge, Marco M., 2021. "Stabilizing Taylor rules and determinacy under unit root supply shocks: A re-examination," Journal of Macroeconomics, Elsevier, vol. 68(C).
    169. Jean Barthélemy & Magali Marx & Aurélien Poissonnier, 2009. "Trends and Cycles: An Historical Review of the Euro Area," Working Papers hal-03460047, HAL.
    170. Kindy R. Sjahrir, 2018. "Dynamic Stochastic General Equilibrium With Financial Accelerator: The Case Of Indonesia," Working Papers in Economics and Development Studies (WoPEDS) 201806, Department of Economics, Padjadjaran University, revised Dec 2018.
    171. Nikolay Iskrev, 2009. "Local Identification in DSGE Models," Working Papers w200907, Banco de Portugal, Economics and Research Department.
    172. Michael Wickens, 2015. "How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics," Manchester School, University of Manchester, vol. 83, pages 60-82, December.
    173. Nikolaos Kokonas & Paulo Santos Monteiro, 2020. "The Ins and Outs of Unemployment in General Equilibrium," Discussion Papers 2014, Centre for Macroeconomics (CFM).
    174. Sacht, Stephen, 2014. "Identification of prior information via moment-matching," Economics Working Papers 2014-04, Christian-Albrechts-University of Kiel, Department of Economics.
    175. Raf Wouters & Sergey Slobodyan, 2009. "Estimating a medium–scale DSGE model with expectations based on small forecasting models," 2009 Meeting Papers 654, Society for Economic Dynamics.
    176. Ma, Yong, 2016. "Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China," Economic Systems, Elsevier, vol. 40(3), pages 461-480.
    177. Amisano, Gianni & Tristani, Oreste, 2010. "Euro area inflation persistence in an estimated nonlinear DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 1837-1858, October.
    178. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data," Tinbergen Institute Discussion Papers 13-090/III, Tinbergen Institute.
    179. Jean-Pierre Allegret & Mohamed Tahar Benkhodja, 2014. "The Dutch disease effect in a high versus low oil dependent countries," Post-Print hal-01385965, HAL.
    180. Pelin Ilbas, 2007. "Revealing the preferences of the US Federal Reserve," Working Paper 2008/21, Norges Bank, revised 12 Dec 2008.
    181. H. E. Cha & Raymond Jay Lim, 2024. "Model‐based estimation in monetary policy inertia and it's another possibility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2077-2094, April.
    182. Samya Beidas-Strom & Marco Lorusso, 2019. "Macroeconomic Effects of Reforms on Three Diverse Oil Exporters: Russia, Saudi Arabia, and the UK," IMF Working Papers 2019/214, International Monetary Fund.
    183. Christian Matthes, 2015. "Figuring Out the Fed—Beliefs about Policymakers and Gains from Transparency," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 1-29, February.
    184. Fabio Canova, 2010. "EconomicDynamics Interviews Fabio Canova on the Estimation of Business Cycle Models," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
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    189. Cai, Michael & Del Negro, Marco & Giannoni, Marc P. & Gupta, Abhi & Li, Pearl & Moszkowski, Erica, 2019. "DSGE forecasts of the lost recovery," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1770-1789.
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    193. Fan, Wenrui & Wang, Zanxin, 2022. "Whether to abandon or continue the petroleum product price regulation in China？," Energy Policy, Elsevier, vol. 165(C).

  49. Schorfheide, Frank & Moon, Hyungsik Roger, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," CEPR Discussion Papers 5605, C.E.P.R. Discussion Papers.

    Cited by:

    1. Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2010. "An improved bootstrap test of stochastic dominance," Journal of Econometrics, Elsevier, vol. 154(2), pages 186-202, February.
    2. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R2, Cowles Foundation for Research in Economics, Yale University, revised May 2012.
    3. Andrew Chesher, 2008. "Instrumental variable models for discrete outcomes," CeMMAP working papers CWP30/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Adam Rosen, 2006. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," CeMMAP working papers CWP25/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
    6. Donald W.K. Andrews & Panle Jia, 2008. "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Cowles Foundation Discussion Papers 1676, Cowles Foundation for Research in Economics, Yale University.
    7. Lu, Zhentong, 2022. "Estimating multinomial choice models with unobserved choice sets," Journal of Econometrics, Elsevier, vol. 226(2), pages 368-398.

  50. Smets, Frank & Del Negro, Marco & Wouters, Rafael & Schorfheide, Frank, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers.

    Cited by:

    1. Haider, Adnan & Khan, Safdar Ullah, 2008. "A Small Open Economy DSGE Model for Pakistan," MPRA Paper 12977, University Library of Munich, Germany, revised 17 Jan 2009.
    2. Iiboshi, Hirokuni & Nishiyama, Shin-Ichi & Watanabe, Toshiaki, 2006. "An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis," MPRA Paper 85702, University Library of Munich, Germany.
    3. Viktors Ajevskis & Kristine Vitola, 2009. "Advantages of Fixed Exchange Rate Regime from a General Equilibrium Perspective," Working Papers 2009/04, Latvijas Banka.
    4. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    5. Anne Epaulard & Jean-Pierre Laffargue & Pierre Malgrange, 2008. "La nouvelle modélisation macroéconomique appliquée à l'analyse de la conjoncture et à l'évaluation des politiques : les modèles dynamiques stochastiques d'équilibre général (DSGE)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00270900, HAL.
    6. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," Working Paper Series 203, Sveriges Riksbank (Central Bank of Sweden).
    7. Valentina Michelangeli & Fabio Massimo Piersanti, 2025. "Business loan characteristics and inflation shocks transmission in the euro area," Temi di discussione (Economic working papers) 1477, Bank of Italy, Economic Research and International Relations Area.
    8. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2007. "Asymmetric expectation effects of regime shifts and the Great Moderation," Working Papers 653, Federal Reserve Bank of Minneapolis.
    9. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Working Paper Series WP-08-12, Federal Reserve Bank of Chicago.
    10. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    11. Eric Mayer & Oliver Grimm, 2008. "Countercyclical Taxation and Price Dispersion," CER-ETH Economics working paper series 08/88, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    12. Christoffel, Kai Philipp & Küster, Keith & Linzert, Tobias, 2006. "Identifying the role of labor markets for monetary policy in an estimated DSGE model," Discussion Paper Series 1: Economic Studies 2006,17, Deutsche Bundesbank.
    13. Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 794, European Central Bank.
    14. Polgár, Éva Katalin, 2006. "Monetary policy rules in a two-sector small open economy," Discussion Papers 2006/13, Free University Berlin, School of Business & Economics.
    15. Adolfson, Malin & Andersson, Michael K. & Lindé, Jesper & Villani, Mattias & Vredin, Anders, 2005. "Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks," Working Paper Series 188, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
    16. Carmine Trecroci & Matilde Vassalli, 2006. "Monetary policy regime shifts: new evidence from time-varying interest rate rules," Working Papers 0602, University of Brescia, Department of Economics.
    17. Rubaszek, Michal & Skrzypczynski, Pawel, 2008. "On the forecasting performance of a small-scale DSGE model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 498-512.
    18. Sarah Zubairy, 2010. "On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model," Staff Working Papers 10-30, Bank of Canada.
    19. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers in Public Economics 131, Department of Economics and Law, Sapienza University of Rome.
    20. Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank.
    21. Eric Jondeau & Jean-Guillaume Sahuc, 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers 141, Banque de France.
    22. Vicente Tuesta & Mr. Pau Rabanal, 2006. "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not," IMF Working Papers 2006/177, International Monetary Fund.
    23. Ferroni, Filippo, 2009. "Trend agnostic one step estimation of DSGE models," MPRA Paper 14550, University Library of Munich, Germany.
    24. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
    25. Renata Wróbel-Rotter, 2016. "Impulse Response Functions in the Dynamic Stochastic General Equilibrium Vector Autoregression Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(2), pages 93-114, June.
    26. Stracca, Livio & Bussière, Matthieu, 2010. "A decade (and a global financial crisis) after Blinder: The interaction between researchers and policy-makers in central banks," Working Paper Series 1260, European Central Bank.
    27. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2006. "Forecasting Canadian Time Series with the New Keynesian Model," Staff Working Papers 06-4, Bank of Canada.
    28. Massimiliano Marcellino & Yuliya Rychalovska, 2014. "Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(5), pages 315-338, August.
    29. Steffen Henzel & Oliver Hülsewig & Eric Mayer & Timo Wollmershäuser, 2007. "The Price Puzzle Revisited: Can the Cost Channel Explain a Rise in Inflation after a Monetary Policy Shock?," CESifo Working Paper Series 2039, CESifo.
    30. Uribe, Martín & Schmitt-Grohé, Stephanie, 2005. "Optimal Inflation Stabilization in a Medium-Scale Macroeonomic Model," CEPR Discussion Papers 5424, C.E.P.R. Discussion Papers.
    31. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
    32. Philip Liu & Konstantinos Theodoridis, 2010. "DSGE model restrictions for structural VAR identification," Bank of England working papers 402, Bank of England.
    33. Riccardo Cristadoro & Andrea Gerali & Stefano Neri & Massimiliano Pisani, 2008. "Real exchange rate volatility and disconnect: an empirical investigation," Temi di discussione (Economic working papers) 660, Bank of Italy, Economic Research and International Relations Area.
    34. Michal Rubaszek & Pawel Skrzypczynski, 2007. "Can a simple DSGE model outperform Professional Forecasters?," NBP Working Papers 43, Narodowy Bank Polski.
    35. Beck, Günter Wilfried & Kotz, Hans-Helmut & Zabelina, Natalia, 2016. "Lost in translation? ECB's monetary impulses and financial intermediaries' responses," SAFE White Paper Series 36, Leibniz Institute for Financial Research SAFE.
    36. Chang, Yongsung & Schorfheide, Frank & Doh, Taeyoung, 2005. "Non-stationary Hours in a DSGE Model," CEPR Discussion Papers 5232, C.E.P.R. Discussion Papers.
    37. Troy Matheson, 2006. "Assessing the fit of small open economy DSGEs," Reserve Bank of New Zealand Discussion Paper Series DP2006/11, Reserve Bank of New Zealand.
    38. Guerron-Quintana, Pablo A., 2008. "Refinements on macroeconomic modeling: The role of non-separability and heterogeneous labor supply," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3613-3630, November.
    39. Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2014. "Output Gap in Presence of Financial Frictions and Monetary Policy Trade-offs," IMF Working Papers 2014/128, International Monetary Fund.
    40. Mayer, Eric & Hülsewig, Oliver & Henzel, Steffen & Wollmershäuser, Timo, 2006. "The Price Puzzle Revisited: Can the Cost Channel explain a Rise in Inflation after a Monetary Shock?," W.E.P. - Würzburg Economic Papers 74, University of Würzburg, Department of Economics.
    41. Fritz Breuss & Katrin Rabitsch, 2009. "An estimated two-country DSGE model of Austria and the Euro Area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(1), pages 123-158, February.
    42. Anna Kormilitsina & Sarah Zubairy, 2016. "Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison," Departmental Working Papers 1608, Southern Methodist University, Department of Economics.
    43. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, friction, or monetary policy?," Working Paper Series 2009-01, Federal Reserve Bank of San Francisco.
    44. Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2010. "Endogenous Persistence in an Estimated DSGE Model under Imperfect Information," School of Economics Discussion Papers 0310, School of Economics, University of Surrey.
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    1. Alexander Falter & Dennis Wesselbaum, 2018. "Correlated shocks in estimated DSGE models," Economics Bulletin, AccessEcon, vol. 38(4), pages 2026-2036.
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    3. Patrick F ve & Jean-Guillaume Sahuc, 2016. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Working papers 585, Banque de France.
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    5. Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter," Econometrics 0508004, University Library of Munich, Germany.
    6. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
    7. Alexander Kriwoluzky & Christian A. Stoltenberg, 2009. "Nested models and model uncertainty," Economics Working Papers ECO2009/37, European University Institute.
    8. Martin Beraja, 2017. "Counterfactual Equivalence in Macroeconomics," 2017 Meeting Papers 1400, Society for Economic Dynamics.
    9. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    10. Wieland, Volker & Cwik, Tobias & Wolters, Maik & Müller, Gernot & Schmidt, Sebastian, 2012. "A New Comparative Approach to Macroeconomic Modeling and Policy Analysis," CEPR Discussion Papers 8814, C.E.P.R. Discussion Papers.
    11. Paola Mariell Brens Ortega, 2020. "An Econometric Analysis of a Calibrated Macroeconomic Model for the Dominican Republic: A Closer Look into Monetary Policy," Documentos de Trabajo 18253, The Latin American and Caribbean Economic Association (LACEA).
    12. Lance Kent, 2015. "Relaxing Rational Expectations," Working Papers 159, Economics Department, William & Mary.
    13. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Ratto, Marco, 2018. "Identification Versus Misspecification in New Keynesian Monetary Policy Models," Working Paper Series 362, Sveriges Riksbank (Central Bank of Sweden).
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    41. Giovanni Nicolo, 2020. "Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle," Finance and Economics Discussion Series 2020-035, Board of Governors of the Federal Reserve System (U.S.).
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    44. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.
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    53. Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
    54. Reicher, Christopher Phillip, 2013. "Evaluating misspecification in DSGE models using tests for overidentifying restrictions," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79955, Verein für Socialpolitik / German Economic Association.
    55. Filippo Ferroni & Stefano Grassi & Miguel A. Leon-Ledesma, 2015. "Fundamental shock selection in DSGE models," Studies in Economics 1508, School of Economics, University of Kent.
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    64. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
    65. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
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  53. Chang, Yongsung & Schorfheide, Frank & Doh, Taeyoung, 2005. "Non-stationary Hours in a DSGE Model," CEPR Discussion Papers 5232, C.E.P.R. Discussion Papers.

    Cited by:

    1. Wieland, Volker & Wolters, Maik, 2013. "Forecasting and Policy Making," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 239-325, Elsevier.
    2. Mumtaz, Haroon & Zanetti, Francesco, 2015. "Factor adjustment costs: A structural investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 341-355.
    3. Takuji Fueki & Ichiro Fukunaga & Hibiki Ichiue & Toyoichiro Shirota, 2010. "Measuring Potential Growth with an Estimated DSGE Model of Japan's Economy," Bank of Japan Working Paper Series 10-E-13, Bank of Japan.
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    1. Kamal, Mona, 2011. "Bayesian Estimation of Dynamic Stochastic General Equilibrium Model Using UK Data," MPRA Paper 28988, University Library of Munich, Germany.
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    55. Juan Pablo Medina & Anella Munro & Claudio Soto, 2008. "What drives the current account in commodity exporting countries? The cases of Chile and New Zealand," BIS Working Papers 247, Bank for International Settlements.
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  55. Marco Del Negro & Frank Schorfheide, 2004. "A DSGE-VAR for the Euro Area," 2004 Meeting Papers 43, Society for Economic Dynamics.

    Cited by:

    1. Shuyun May Li & Adam Spencer, 2014. "Effectiveness of the Australian Fiscal Stimulus Package: A DSGE Analysis," Department of Economics - Working Papers Series 1184, The University of Melbourne.

  56. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    2. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
    3. Brock,W.A. & Durlauf,S.N. & West,K.D., 2004. "Model uncertainty and policy evaluation : some theory and empirics," Working papers 19, Wisconsin Madison - Social Systems.
    4. Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank.
    5. Canova, Fabio, 2008. "How much structure in empirical models?," CEPR Discussion Papers 6791, C.E.P.R. Discussion Papers.
    6. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
    7. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco.
    8. Stephen Cole & Fabio Milani, 2014. "The Misspecification of Expectations in New Keynesian Models: A DSGE-VAR Approach," Working Papers 131407, University of California-Irvine, Department of Economics.

  57. Frank Schorfheide, 2003. "Learning and monetary policy shifts," FRB Atlanta Working Paper 2003-23, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Christopher J. Gust & Edward P. Herbst & J. David López-Salido, 2018. "Forward Guidance with Bayesian Learning and Estimation," Finance and Economics Discussion Series 2018-072, Board of Governors of the Federal Reserve System (U.S.).
    2. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    3. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    4. Krane, Spencer David & Melosi, Leonardo & Rottner, Matthias, 2023. "Learning monetary policy strategies at the effective lower bound with sudden surprises," Discussion Papers 22/2023, Deutsche Bundesbank.
    5. Francesco Bianchi & Cosmin Ilut, 2014. "Monetary/Fiscal Policy Mix and Agents' Beliefs," NBER Working Papers 20194, National Bureau of Economic Research, Inc.
    6. IIBOSHI Hirokuni, 2014. "Monetary Policy Regime Shifts Under the Zero Lower Bound: An Application of a Stochastic Rational Expectations Equilibrium to a Markov Switching DSGE Model," ESRI Discussion paper series 312, Economic and Social Research Institute (ESRI).
    7. Canova, Fabio & Gambetti, Luca, 2009. "Structural changes in the US economy: Is there a role for monetary policy?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 477-490, February.
    8. Eo, Yunjong, 2008. "Bayesian Analysis of DSGE Models with Regime Switching," MPRA Paper 13910, University Library of Munich, Germany, revised 11 Feb 2009.
    9. Marco Airaudo & Ina Hajdini, 2021. "Wealth Effects, Price Markups, and the Neo-Fisherian Hypothesis," Working Papers 21-27, Federal Reserve Bank of Cleveland.
    10. Milani, Fabio, 2008. "Learning, monetary policy rules, and macroeconomic stability," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3148-3165, October.
    11. Jørgensen, Peter Lihn & Lansing, Kevin J., 2025. "Anchored inflation expectations and the slope of the Phillips curve," European Economic Review, Elsevier, vol. 178(C).
    12. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2007. "Asymmetric expectation effects of regime shifts and the Great Moderation," Working Papers 653, Federal Reserve Bank of Minneapolis.
    13. Gianni Amisano & Oreste Tristani, 2019. "Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates," Finance and Economics Discussion Series 2019-024, Board of Governors of the Federal Reserve System (U.S.).
    14. Sandra Gomes, 2011. "Housing Market Dynamics: Any News?," Working Papers w201121, Banco de Portugal, Economics and Research Department.
    15. Francesco Bianchi, 2009. "Regime Switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics," 2009 Meeting Papers 198, Society for Economic Dynamics.
    16. Hans Dewachter & Marco Lyrio, 2008. "Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates," NBER Chapters, in: Asset Prices and Monetary Policy, pages 191-245, National Bureau of Economic Research, Inc.
    17. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    18. Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2007. "Shocks, structures or monetary policies? The euro area and US after 2001," Working Paper Series 774, European Central Bank.
    19. Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
    20. P.A. Tinsley & Sharon Kozicki, 2004. "Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information," Computing in Economics and Finance 2004 146, Society for Computational Economics.
    21. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
    22. Gustavo Adler & Mr. Ruy Lama & Juan Pablo Medina Guzman, 2016. "Foreign Exchange Intervention under Policy Uncertainty," IMF Working Papers 2016/067, International Monetary Fund.
    23. Stéphane Lhuissier & Fabien Tripier, 2021. "Regime‐dependent effects of uncertainty shocks: A structural interpretation," Quantitative Economics, Econometric Society, vol. 12(4), pages 1139-1170, November.
    24. Taeyoung Doh, 2012. "What Does the Yield Curve Tell Us about the Federal Reserve’s Implicit Inflation Target?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(2‐3), pages 469-486, March.
    25. Francesco Bianchi & Leonardo Melosi, 2013. "Escaping the Great Recession," Working Papers 13-19, Duke University, Department of Economics.
    26. Yang Lu & Ernesto Pasten & Robert King, 2013. "Policy design with private sector skepticism in the textbook New Keynesian model," 2013 Meeting Papers 241, Society for Economic Dynamics.
    27. Cogley, Timothy & Matthes, Christian & Sbordone, Argia M., 2015. "Optimized Taylor rules for disinflation when agents are learning," Journal of Monetary Economics, Elsevier, vol. 72(C), pages 131-147.
    28. Chang, Yoosoon & Maih, Junior & Tan, Fei, 2021. "Origins of monetary policy shifts: A New approach to regime switching in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    29. Gilles Dufrénot & Anwar Khayat, 2014. "Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation," AMSE Working Papers 1408, Aix-Marseille School of Economics, France, revised Jan 2014.
    30. Airaudo, Marco & Hajdini, Ina, 2023. "Wealth effects, price markups, and the neo-Fisherian hypothesis," European Economic Review, Elsevier, vol. 157(C).
    31. Francesco Bianchi & Leonardo Melosi, 2013. "Modeling the Evolution of Expectations and Uncertainty in General Equilibrium," Working Paper Series WP-2013-12, Federal Reserve Bank of Chicago.
    32. Baranowski, Paweł & Kuchta, Zbigniew, 2015. "Changes in nominal rigidities in Poland – a regime switching DSGE perspective," MPRA Paper 70573, University Library of Munich, Germany, revised Mar 2016.
    33. Mehmet Pasaogullari & Simeon Tsonevy, 2011. "The term structure of inflation compensation in the nominal yield curve," Working Papers (Old Series) 1133, Federal Reserve Bank of Cleveland.
    34. Otilia Boldea & Alastair R. Hall, 2025. "Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments," Papers 2507.22204, arXiv.org.
    35. Chen, Xiaoshan & Kirsanova, Tatiana & Leith, Campbell, 2014. "An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area," Stirling Economics Discussion Papers 2014-11, University of Stirling, Division of Economics.
    36. Leonardo Melosi & Francesco Bianchi, 2012. "Inflationary Sentiments and Monetary Policy Communcation," 2012 Meeting Papers 893, Society for Economic Dynamics.
    37. Xiaoshan Chen & Ronald Macdonald, 2012. "Realized and Optimal Monetary Policy Rules in an Estimated Markov‐Switching DSGE Model of the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1091-1116, September.
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    325. Ahmad, Saad, 2016. "A multiple threshold analysis of the Fed's balancing act during the Great Moderation," Economic Modelling, Elsevier, vol. 55(C), pages 343-358.
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    327. Mukherjee, Sanchita, 2011. "Does the level of capital openness explain “fear of floating” amongst the inflation targeting countries?," MPRA Paper 30289, University Library of Munich, Germany.
    328. Yong Ma & Yiqing Jiang, 2023. "Gradual financial integration and macroeconomic fluctuations in emerging market economies: evidence from China," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(2), pages 275-310, April.
    329. Rodríguez, Gabriel & Castillo B., Paul & Hasegawa, Harumi, 2023. "Does the Central Bank of Peru respond to exchange rate movements? A Bayesian estimation of a New Keynesian DSGE model with FX interventions," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
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    332. Melecky, Ales & Melecky, Martin, 2010. "From inflation to exchange rate targeting: Estimating the stabilization effects for a small open economy," Economic Systems, Elsevier, vol. 34(4), pages 450-468, December.
    333. Thomas Lubik & Wing Leong Teo, 2005. "Do Terms of Trade Shocks Drive Business Cycles? Some Evidence from Structural Estimation," Computing in Economics and Finance 2005 377, Society for Computational Economics.
    334. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.).
    335. Ratto M. & Roeger W. & in’t Veld J. & Girardi R., 2005. "An estimated new Keynesian dynamic stochastic general equilibrium model of the Euro area," Macroeconomics 0503002, University Library of Munich, Germany.
    336. Caraiani, Petre, 2008. "An Analysis Of Domestic And External Shocks On Romanian Economy Using A Dsge Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(3), pages 100-114, September.
    337. Villarreal, Francisco G., 2016. "Monetary policy and inequality under household heterogeneity and incomplete markets," MPRA Paper 82780, University Library of Munich, Germany.
    338. Castro, Vítor & Sousa, Ricardo M., 2012. "How do central banks react to wealth composition and asset prices?," Economic Modelling, Elsevier, vol. 29(3), pages 641-653.
    339. Aizenman, Joshua & Hutchison, Michael & Noy, Ilan, 2011. "Inflation Targeting and Real Exchange Rates in Emerging Markets," World Development, Elsevier, vol. 39(5), pages 712-724, May.
    340. Qazi Haque & Leandro M. Magnusson, 2023. "Identification Robust Empirical Evidence on the Open Economy IS‐Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(2), pages 345-372, April.
    341. Ma, Yong, 2016. "Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China," Economic Systems, Elsevier, vol. 40(3), pages 461-480.
    342. Cover, James P. & Mallick, Sushanta K., 2012. "Identifying sources of macroeconomic and exchange rate fluctuations in the UK," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1627-1648.
    343. Teo, Wing Leong, 2009. "Can exchange rate rules be better than interest rate rules?," Japan and the World Economy, Elsevier, vol. 21(3), pages 301-311, August.
    344. Grzegorz Grabek & Bohdan Klos & Grzegorz Koloch, 2011. "Skew-normal shocks in the linear state space form DSGE model," NBP Working Papers 101, Narodowy Bank Polski.
    345. Gregor Bäurle & Tobias Menz, 2008. "Monetary Policy in a Small Open Economy Model: A DSGE-VAR Approach for Switzerland," Working Papers 08.03, Swiss National Bank, Study Center Gerzensee.
    346. Fragetta, Matteo & Kirsanova, Tatiana, 2010. "Strategic monetary and fiscal policy interactions: An empirical investigation," European Economic Review, Elsevier, vol. 54(7), pages 855-879, October.
    347. Jamie Murray, 2013. "Parameter Uncertainty and the Fiscal Multiplier," Treasury Working Paper Series 13/19, New Zealand Treasury.
    348. Yi-Hua Wu & Chih-Chin Ho & Eric S. Lin, 2017. "Measuring the Impact of Military Spending: How Far Does a DSGE Model Deviate from Reality?," Defence and Peace Economics, Taylor & Francis Journals, vol. 28(5), pages 585-608, September.
    349. Seedwell Hove & Albert Touna Mama & Fulbert Tchana Tchana, 2016. "Terms of Trade Shocks and Inflation Targeting in Emerging Market Economies," South African Journal of Economics, Economic Society of South Africa, vol. 84(1), pages 81-108, March.
    350. Iulian Vasile Popescu, 2014. "The impact of the recent global crisis on the prioritization of central banks final objectives. A structural approach in the context of Central and Eastern European states," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 7(2), pages 51-76, September.
    351. Jacob, Punnoose & Munro, Anella, 2018. "A prudential stable funding requirement and monetary policy in a small open economy," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 89-106.
    352. Paweł Baranowski, 2008. "Reguła Taylora i jej rozszerzenia," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 7-8, pages 1-23.
    353. Rangan Gupta & Alain Kabundi, 2010. "Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 168-185.
    354. Philip Liu, 2006. "A Small New Keynesian Model of the New Zealand economy," Reserve Bank of New Zealand Discussion Paper Series DP2006/03, Reserve Bank of New Zealand.
    355. Fiodendji, Komlan, 2011. "Should Canadian Monetary Policy Respond to Asset Prices? Evidence from a Structural Model," MPRA Paper 27942, University Library of Munich, Germany.
    356. Pop, Raluca-Elena, 2017. "A small-scale DSGE-VAR model for the Romanian economy," Economic Modelling, Elsevier, vol. 67(C), pages 1-9.
    357. Philip Liu & Haroon Mumtaz, 2011. "Evolving Macroeconomic Dynamics in a Small Open Economy: An Estimated Markov Switching DSGE Model for the UK," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1443-1474, October.
    358. Gabriela Bezerra De Medeiros & Marcelo Savino Portugal & Edilean Kleber Da Silva Bejarano Aragon, 2016. "Endogeneity And Nonlinearities In Central Bank Of Brazil’S Reaction Functions: An Inverse Quantile Regression Approach," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 061, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    359. Fernando de Menezes Linardi, 2016. "Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy," Working Papers Series 424, Central Bank of Brazil, Research Department.
    360. Daniel Komlan Fiodendji, 2012. "Should Canadian Monetary Policy Respond to Asset Prices? Evidence from a Structural Model," Working Papers 1209E, University of Ottawa, Department of Economics.
    361. Ruey Yau & C. James Hueng, 2019. "Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 177-198, June.
    362. Luangaram, Pongsak & Wongpunya, Nipit, 2024. "The effect of trade openness and exchange rate on inflation targeting in Thailand," Journal of Asian Economics, Elsevier, vol. 92(C).
    363. Bianca De Paoli & Jens Sondergaard, 2009. "Foreign exchange rate risk in a small open economy," Bank of England working papers 365, Bank of England.
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    365. Luis-Felipe Zanna, 2003. "Interest rate rules and multiple equilibria in the small open economy," International Finance Discussion Papers 785, Board of Governors of the Federal Reserve System (U.S.).
    366. Medina, Juan Pablo, 2021. "Mining development and macroeconomic spillovers in Chile," Resources Policy, Elsevier, vol. 70(C).
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    370. Drago Bergholt, 2015. "Foreign Shocks," Working Papers No 11/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    371. Thomas Lubik & Frank Schorfheide, 2005. "A Bayesian Look at New Open Economy Macroeconomics," Economics Working Paper Archive 521, The Johns Hopkins University,Department of Economics.
    372. Myung-Soo Yie & Byoung Hark Yoo, 2016. "The Role Of Foreign Debt And Financial Frictions In A Small Open Economy Dsge Model," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(05), pages 1-23, December.
    373. Jonathan Hambur & Lynne Cockerell & Christopher Potter & Penelope Smith & Michelle Wright, 2015. "Modelling the Australian Dollar," RBA Research Discussion Papers rdp2015-12, Reserve Bank of Australia.
    374. Mohamed M. Sraieb & Shahnawaz Muhammed & Vladimir Dženopoljac & Samet Gunay, 2025. "Determinants of Russia’s probability of default: evidence from domestic and global indicators," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 49(3), pages 854-882, September.
    375. Curi, Claudia & Murgia, Lucia Milena, 2023. "Forecast Targeting and Financial Stability: Evidence from the European Central Bank and Bank of England," Finance Research Letters, Elsevier, vol. 51(C).

  59. Yongsung Chang & Frank Schorfheide, 2003. "Labor supply shifts and economic fluctuations," Working Paper 03-07, Federal Reserve Bank of Richmond.

    Cited by:

    1. L. Rachel Ngai & Christopher A. Pissarides, 2009. "Welfare Policy and the Distribution of Hours of Work," CEP Discussion Papers dp0962, Centre for Economic Performance, LSE.
    2. Jay Euijung Lee, 2025. "Marriage and misallocation: evidence from 70 years of US history," CEP Discussion Papers dp2119, Centre for Economic Performance, LSE.
    3. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    4. Karabarbounis, Loukas, 2010. "Labor wedges and open economy puzzles," MPRA Paper 31370, University Library of Munich, Germany.
    5. Justiniano, Alejandro & Primiceri, Giorgio E. & Tambalotti, Andrea, 2010. "Investment shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 132-145, March.
    6. Gehrke, Britta & Yao, Fang, 2016. "Persistence and Volatility of Real Exchange Rates: The Role of Supply Shocks Revisited," VfS Annual Conference 2016 (Augsburg): Demographic Change 145752, Verein für Socialpolitik / German Economic Association.
    7. Aydilek, Asiye, 2016. "The allocation of time and puzzling profiles of the elderly," Economic Modelling, Elsevier, vol. 53(C), pages 515-526.
    8. Claudia Foroni & Francesco Furlanetto, 2022. "Explaining Deviations from Okun’s Law," Working Paper 2022/4, Norges Bank.
    9. Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 23-72, June.
    10. Ngai, L. Rachel & Pissarides, Christopher, 2008. "Trends in hours and economic growth," LSE Research Online Documents on Economics 3828, London School of Economics and Political Science, LSE Library.
    11. Pissarides, Christopher & Ngai, Liwa Rachel, 2011. "Taxes, Social Subsidies and the Allocation of Work Time," CEPR Discussion Papers 8328, C.E.P.R. Discussion Papers.
    12. Richard Rogerson, 2009. "Market Work, Home Work, and Taxes: A Cross‐Country Analysis," Review of International Economics, Wiley Blackwell, vol. 17(3), pages 588-601, August.
    13. Richard Rogerson, 2007. "Structural Transformation and the Deterioration of European Labor Market Outcomes," NBER Working Papers 12889, National Bureau of Economic Research, Inc.
    14. Duval-Hernández, Robert & Fang, Lei & Ngai, L. Rachel, 2023. "Taxes, subsidies, and gender gaps in hours and wages," LSE Research Online Documents on Economics 118061, London School of Economics and Political Science, LSE Library.
    15. Ying Feng & David Lagakos & James E. Rauch, 2018. "Unemployment and Development," Working Papers 2018-083, Human Capital and Economic Opportunity Working Group.
    16. Eric Jondeau & Jean-Guillaume Sahuc, 2005. "Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model," Documents de recherche 05-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    17. Mark A. Aguiar & Erik Hurst & Loukas Karabarbounis, 2011. "Time Use During Recessions," NBER Working Papers 17259, National Bureau of Economic Research, Inc.
    18. Potter, Tristan, 2024. "Destabilizing search technology," Journal of Monetary Economics, Elsevier, vol. 145(C).
    19. S. Boragan Aruoba & Morris A. Davis & Randall Wright, 2012. "Homework in Monetary Economics: Inflation, Home Production, and the Production of Homes," NBER Working Papers 18276, National Bureau of Economic Research, Inc.
    20. Chetan Dave & Scott Dressler & Samreen Malik, 2022. "A Cautionary Tale of Fat Tails," Working Papers 2022-01, University of Alberta, Department of Economics.
    21. Greenwood, Jeremy & Guner, Nezih, 2008. "Marriage and Divorce since World War II: Analyzing the Role of Technological Progress on the Formation of Households," IZA Discussion Papers 3313, IZA Network @ LISER.
    22. Luca Gambetti & Evi Pappa & Fabio Canova, 2005. "The structural dynamics of US output and inflation: What explains the changes?," Economics Working Papers 921, Department of Economics and Business, Universitat Pompeu Fabra.
    23. Aviv Nevo & Arlene Wong, 2014. "The Elasticity of Substitution Between Time and Market Goods: Evidence from the Great Recession," 2014 Meeting Papers 315, Society for Economic Dynamics.
    24. Federico S. Mandelman & Francesco Zanetti, 2008. "Estimating general equilibrium models: an application with labour market frictions," Technical Books, Centre for Central Banking Studies, Bank of England, edition 1, number 1, April.
    25. Karabarbounis, Loukas, 2014. "Home production, labor wedges, and international business cycles," Journal of Monetary Economics, Elsevier, vol. 64(C), pages 68-84.
    26. Rachel Ngai & Lei Fang & Robert Duval Hernandez, 2017. "Taxes and Market Hours -- the Role of Gender and Skill," 2017 Meeting Papers 680, Society for Economic Dynamics.
    27. Alba, Carlos & McKnight, Stephen, 2022. "Laffer curves in emerging market economies: The role of informality," Journal of Macroeconomics, Elsevier, vol. 72(C).
    28. Gehrke, Britta & Yao, Fang, 2014. "Phillips curve shocks and real exchange rate fluctuations: SVAR evidence," FAU Discussion Papers in Economics 11/2014, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    29. Kathleen McKiernan, 2021. "Social Security Reform in the Presence of Informality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 228-251, April.
    30. Juan Pablo Medina & Claudio Soto, 2007. "The Chilean Business Cycles Through the Lens of a Stochastic General Equilibrium Model," Working Papers Central Bank of Chile 457, Central Bank of Chile.
    31. Jeremy Greenwood & Ananth Seshadri & Mehmet Yorukoglu, 2003. "Engines of Liberation," RCER Working Papers 503, University of Rochester - Center for Economic Research (RCER).
    32. Kerim Peren Arin & Emin Gahramanov & Tolga Omay & Xueli Tang & Mehmet A. Ulubasoglu, 2024. "A tale of two taxes: State‐dependency of tax policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 71(1), pages 1-27, February.
    33. Mileva, Mariya, 2013. "Optimal monetary policy in response to shifts in the beveridge curve," Kiel Working Papers 1823, Kiel Institute for the World Economy.
    34. Alessandra Casarico & Alessandro Sommacal, 2008. "Labor Income Taxation, Human Capital and Growth: The Role of Child Care," CESifo Working Paper Series 2363, CESifo.
    35. Robert Duval-Hernández & Lei Fang & L. Rachel Ngai, 2018. "Social Subsidies and Marketization – the Role of Gender and Skill," SOEPpapers on Multidisciplinary Panel Data Research 962, DIW Berlin, The German Socio-Economic Panel (SOEP).
    36. Alessio Moro & Satoshi Tanaka, 2019. "Sectoral Shocks and Home Substitution," Discussion Papers Series 602, School of Economics, University of Queensland, Australia.
    37. Kotamäki Mauri, 2017. "Laffer Curves and Home Production," Nordic Tax Journal, Sciendo, vol. 2017(1), pages 59-69, January.
    38. Johanna Wallenius & Richard Rogerson, 2012. "Retirement, Home Production and Labor Supply Elasticities," 2012 Meeting Papers 41, Society for Economic Dynamics.
    39. Lei Fang & Anne Hannusch & Pedro Silos, 2020. "Bundling Time and Goods: Implications for Hours Dispersion," FRB Atlanta Working Paper 2020-1, Federal Reserve Bank of Atlanta.
    40. Fang, Lei & Zhu, Guozhong, 2017. "Time allocation and home production technology," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 88-101.
    41. Kovalenko, Tim & Töpfer, Marina, 2021. "Cyclical dynamics and the gender pay gap: A structural VAR approach," Economic Modelling, Elsevier, vol. 99(C).
    42. Richard Rogerson, 2007. "Taxation and market work: is Scandinavia an outlier?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(1), pages 59-85, July.
    43. Ellen R. McGrattan & Eduard C. Prescott, 2006. "Why Did U.S. Market Hours Boom in the 1990s?," 2006 Meeting Papers 192, Society for Economic Dynamics.
    44. Kathleen McKiernan, 2018. "Welfare Impact of Social Security Reform: The Case of Chile in 1981," 2018 Meeting Papers 253, Society for Economic Dynamics.
    45. Francesco Furlanetto & Orjan Robstad, 2019. "Immigration and the macroeconomy: some new empirical evidence," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 1-19, October.
    46. Conny Olovsson, 2014. "Optimal taxation with home production," 2014 Meeting Papers 598, Society for Economic Dynamics.
    47. Zanetti, Francesco, 2008. "Labor and investment frictions in a real business cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3294-3314, October.
    48. Kateryna Bornukova, 2015. "Accounting for Labor Productivity Puzzle," BEROC Working Paper Series 26, Belarusian Economic Research and Outreach Center (BEROC).
    49. Peersman, Gert & Straub, Roland, 2004. "Technology shocks and robust sign restrictions in a euro area SVAR," Working Paper Series 373, European Central Bank.
    50. Alessio Moro & Solmaz Moslehi & Satoshi Tanaka, 2016. "Does Home Production Drive Structural Transformation?," CAMA Working Papers 2016-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    51. Peter N. Ireland & Scott Schuh, 2006. "Productivity and U.S. macroeconomic performance: interpreting the past and predicting the future with a two-sector real business cycle model," Working Papers 06-10, Federal Reserve Bank of Boston.
    52. Gehrke, Britta & Yao, Fang, 2013. "Sources of Real Exchange Rate Fluctuations: The Role of Supply Shocks Revisited," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79821, Verein für Socialpolitik / German Economic Association.
    53. Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulà lia-Llopis, Raül, 2009. "Methods versus Substance: Measuring the Effects of Technology Shocks on Hours," CEPR Discussion Papers 7474, C.E.P.R. Discussion Papers.
    54. Akbulut, Rahşan, 2011. "Sectoral Changes And The Increase In Women'S Labor Force Participation," Macroeconomic Dynamics, Cambridge University Press, vol. 15(2), pages 240-264, April.
    55. Shirota, Toyoichiro, 2018. "What is the major source of business cycles: Spillovers from land prices, investment shocks, or anything else?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 138-149.
    56. Ngai, L. Rachel & Petrongolo, Barbara, 2014. "Gender gaps and the rise of the service economy," LSE Research Online Documents on Economics 58152, London School of Economics and Political Science, LSE Library.
    57. Gómez, Manuel A., 2016. "Are taxes a good predictor of time use patterns? Examining the role of some key elasticities," Economic Modelling, Elsevier, vol. 55(C), pages 394-400.
    58. Nguyen, Quynh-Nga, 2024. "Intergenerational time transfer, retirement and public pensions," The Journal of the Economics of Ageing, Elsevier, vol. 27(C).
    59. Schorfheide, Frank & An, Sungbae, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
    60. Stefano Gnocchi & Daniela Hauser & Evi Pappa, 2014. "Housework and Fiscal Expansions," Staff Working Papers 14-34, Bank of Canada.
    61. Mark Aguiar & Erik Hurst, 2007. "Life-Cycle Prices and Production," American Economic Review, American Economic Association, vol. 97(5), pages 1533-1559, December.
    62. Peter N. Ireland, 2007. "On the Welfare Cost of Inflation and the Recent Behavior of Money Demand," Boston College Working Papers in Economics 662, Boston College Department of Economics.
    63. Christelle Khalaf & Gilbert Michaud & G. Jason Jolley, 2023. "Predicting declining and growing occupations using supervised machine learning," Journal of Computational Social Science, Springer, vol. 6(2), pages 757-780, October.
    64. Mark Aguiar & Erik Hurst, 2005. "Lifestyle prices and production," Public Policy Discussion Paper 05-3, Federal Reserve Bank of Boston.
    65. Nguyen Phuc Canh & Su Dinh Thanh, 2022. "The Dynamics of Export Diversification, Economic Complexity and Economic Growth Cycles: Global Evidence," Foreign Trade Review, , vol. 57(3), pages 234-260, August.
    66. Federico S. Mandelman & Francesco Zanetti, 2008. "Technology shocks, employment, and labor market frictions," FRB Atlanta Working Paper 2008-10, Federal Reserve Bank of Atlanta.
    67. Fabio Cerina & Alessio Moro & Michelle Rendall, 2020. "The Role of Gender in Employment Polarization," Monash Economics Working Papers 09-20, Monash University, Department of Economics.
    68. Belan Pascal & Moussault Erwan, 2020. "Inheritance Taxation in a Model with Intergenerational Time Transfers," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 20(1), pages 1-19, January.
    69. Safonova, Dasha, 2017. "Home production, employment, and monetary policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 57-66.
    70. Richard Rogerson & Johanna Wallenius, 2009. "Retirement in a Life Cycle Model of Labor Supply with Home Production," Working Papers wp205, University of Michigan, Michigan Retirement Research Center.
    71. Dongya Koh & Raül Santaeulàlia-Llopis, 2017. "Countercyclical Elasticity of Substitution," Working Papers 946, Barcelona School of Economics.
    72. Koehne, Sebastian & Sachs, Dominik, 2022. "Pareto-improving reforms of tax deductions," European Economic Review, Elsevier, vol. 148(C).
    73. Ellen R. McGrattan & Edward C. Prescott, 2007. "Unmeasured Investment and the Puzzling U.S. Boom in the 1990s," NBER Working Papers 13499, National Bureau of Economic Research, Inc.
    74. Randall Wright, 2014. "Marriage, Markets and Money: A Coasian Theory of Household Formation," 2014 Meeting Papers 237, Society for Economic Dynamics.
    75. Mr. Constant A Lonkeng Ngouana, 2012. "Household Production, Services and Monetary Policy," IMF Working Papers 2012/206, International Monetary Fund.
    76. Sevgi Coskun, 2020. "Technology Shocks and Non-stationary Hours in Emerging Countries and DSVAR," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(2), pages 129-163, May.
    77. Shirai, Daichi & Nagamachi, Kohei & Eguchi, Naotaka, 2012. "The Impacts of Firms' Technology Choice on the Gender Differences in Wage and Time Allocation: A Cross-Country Analysis," MPRA Paper 56666, University Library of Munich, Germany, revised 13 Jun 2014.
    78. Lewis, Vivien & Villa, Stefania & Wolters, Maik H., 2019. "Labor productivity, effort and the euro area business cycle," Discussion Papers 44/2019, Deutsche Bundesbank.
    79. Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
    80. Hansen, G.D. & Ohanian, L.E., 2016. "Neoclassical Models in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2043-2130, Elsevier.

  60. Frank Schorfheide & Thomas A. Lubik, 2003. "Estimating Monetary Policy Rules in Small Open Economies: A Structural Approach," Computing in Economics and Finance 2003 225, Society for Computational Economics.

    Cited by:

    1. Thomas Lubik, 2003. "Investment Spending,Equilibrium Indeterminacy and the Interactions of Monetary and Fiscal Policy," Economics Working Paper Archive 490, The Johns Hopkins University,Department of Economics.
    2. Lena Kraus & Jürgen Beier & Bernhard Herz, 2019. "Sudden stops in a currency union – some lessons from the euro area," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 115-138, February.
    3. Liu, Qing & Shi, Kang & Wu, Zhouheng & Xu, Juanyi, 2014. "Oil price stabilization and global welfare," Journal of Development Economics, Elsevier, vol. 111(C), pages 246-260.

  61. Thomas Lubik & Frank Schorfheide, 2002. "Testing for Indeterminacy in Linear Rational Expectations Models," Computing in Economics and Finance 2002 214, Society for Computational Economics.

    Cited by:

    1. Frank Schorfheide, 2003. "Learning and monetary policy shifts," FRB Atlanta Working Paper 2003-23, Federal Reserve Bank of Atlanta.
    2. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," FRB Atlanta Working Paper 2002-14, Federal Reserve Bank of Atlanta.

  62. Gomes, Joao & Chang, Yongsung & Schorfheide, Frank, 2002. "Learning by Doing as a Propagation Mechanism," CEPR Discussion Papers 3599, C.E.P.R. Discussion Papers.

    Cited by:

    1. Tervala, Juha & Watson, Timothy, 2022. "Hysteresis and fiscal stimulus in a recession," Journal of International Money and Finance, Elsevier, vol. 124(C).
    2. Michał Brzozowski, 2012. "Wpływ wahań produkcji i wielkości kredytu na wartość dodaną w polskim przemyśle przetwórczym," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5-6, pages 57-77.
    3. Coad, Alex & Daunfeldt, Sven-Olov & Halvarsson, Daniel, 2015. "Bursting into life: Firm growth and growth persistence by age," HUI Working Papers 112, HUI Research.
    4. Toshihiko Mukoyama & Yoonsoo Lee, 2008. "Entry, Exit, and Plant-level Dynamics over the Business Cycle," 2008 Meeting Papers 454, Society for Economic Dynamics.
    5. Sami Alpanda & Adrian Peralta-Alva, 2003. "Oil Crisis, Energy-Saving Technological Change and the Stock Market Crash of 1973-74," Working Papers 0604, University of Miami, Department of Economics, revised Dec 2006.
    6. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Fiscal policy shocks and stock prices in the United States," European Economic Review, Elsevier, vol. 129(C).
    7. Jaccard, Ivan, 2022. "The trade-off between public health and the economy in the early stage of the COVID-19 pandemic," Working Paper Series 2690, European Central Bank.
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    2. Ca' Zorzi, Michele & Dieppe, Alistair & Chudik, Alexander, 2012. "The perils of aggregating foreign variables in panel data models," Working Paper Series 1444, European Central Bank.
    3. Frank Schorfheide, 2011. "Estimation and evaluation of DSGE models: progress and challenges," Working Papers 11-7, Federal Reserve Bank of Philadelphia.
    4. Patrick F ve & Jean-Guillaume Sahuc, 2016. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Working papers 585, Banque de France.
    5. Ho, Paul, 2024. "Estimating the effects of demographics on interest rates: A robust Bayesian perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    6. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    7. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    8. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Open Access publications 10197/7588, School of Economics, University College Dublin.
    9. Olayeni, Olaolu Richard, 2009. "A small open economy model for Nigeria: a BVAR-DSGE approach," MPRA Paper 16180, University Library of Munich, Germany.
    10. F. Canova & F. Ferroni & C. Matthes, 2015. "Approximating time varying structural models with time invariant structures," Working papers 578, Banque de France.
    11. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
    12. Frank Schorfheide, 2003. "Learning and monetary policy shifts," FRB Atlanta Working Paper 2003-23, Federal Reserve Bank of Atlanta.
    13. Babecký, Jan & Franta, Michal & Ryšánek, Jakub, 2018. "Fiscal policy within the DSGE-VAR framework," Economic Modelling, Elsevier, vol. 75(C), pages 23-37.
    14. Anders Warne & Günter Coenen & Kai Christoffel, 2017. "Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
    15. Roberta Cardani & Alessia Paccagnini & Stelios D. Bekiros, 2017. "The Effectiveness of Forward Guidance in an Estimated DSGE Model for the Euro Area: the Role of Expectations," Working Papers 201701, School of Economics, University College Dublin.
    16. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
    17. Oriol Gonzalez-Casasus & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," PIER Working Paper Archive 25-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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    19. Iiboshi, Hirokuni & Nishiyama, Shin-Ichi & Watanabe, Toshiaki, 2006. "An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis," MPRA Paper 85702, University Library of Munich, Germany.
    20. Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2016. "In search of the Euro area fiscal stance," Working Papers 201612, School of Economics, University College Dublin.
    21. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi, December.
    22. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    23. Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021. "Heterogeneity and Aggregate Fluctuations," Cowles Foundation Discussion Papers 2289, Cowles Foundation for Research in Economics, Yale University.
    24. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    25. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    26. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," Working Paper Series 203, Sveriges Riksbank (Central Bank of Sweden).
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  65. Thomas A Lubik & Frank Schorfheide, 2001. "Computing Sunspots in Linear Rational Expectations Models," Economics Working Paper Archive 456, The Johns Hopkins University,Department of Economics, revised Jun 2002.

    Cited by:

    1. Pedro Pablo Álvarez Lois, 2003. "Capacity utilization and Monetary Policy," Working Papers 0306, Banco de España.
    2. Thomas Lubik & Frank Schorfheide, 2002. "Testing for Indeterminacy:An Application to U.S. Monetary Policy," Economics Working Paper Archive 480, The Johns Hopkins University,Department of Economics, revised Jun 2003.

  66. Yongsung Chang & Joao Gomes & Frank Schorfheide, 2000. "Persistence," Econometric Society World Congress 2000 Contributed Papers 1632, Econometric Society.

    Cited by:

    1. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
    2. Wendt, Minh & Kinsey, Jean D., 2009. "Childhood Overweight and School Outcomes," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49347, Agricultural and Applied Economics Association.

Articles

  1. Frank Schorfheide & Dongho Song, 2024. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
    See citations under working paper version above.
  2. Mlikota Marko & Schorfheide Frank, 2024. "Sequential Monte Carlo with model tempering," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 249-269, April.
    See citations under working paper version above.
  3. Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2024. "Heterogeneity and Aggregate Fluctuations," Journal of Political Economy, University of Chicago Press, vol. 132(12), pages 4021-4067.
    See citations under working paper version above.
  4. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2023. "Forecasting with a panel Tobit model," Quantitative Economics, Econometric Society, vol. 14(1), pages 117-159, January.
    See citations under working paper version above.
  5. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
    See citations under working paper version above.
  6. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
    See citations under working paper version above.
  7. Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021. "Online estimation of DSGE models," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 33-58.
    See citations under working paper version above.
  8. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 96-120, July.
    See citations under working paper version above.
  9. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Forecasting With Dynamic Panel Data Models," Econometrica, Econometric Society, vol. 88(1), pages 171-201, January.
    See citations under working paper version above.
  10. Herbst, Edward & Schorfheide, Frank, 2019. "Tempered particle filtering," Journal of Econometrics, Elsevier, vol. 210(1), pages 26-44.
    See citations under working paper version above.
  11. Frank Schorfheide & Dongho Song & Amir Yaron, 2018. "Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach," Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
    See citations under working paper version above.
  12. Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2018. "On the Comparison of Interval Forecasts," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 953-965, November.
    See citations under working paper version above.
  13. S Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2018. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 87-118.
    See citations under working paper version above.
  14. Eleonora Granziera & Hyungsik Roger Moon & Frank Schorfheide, 2018. "Inference for VARs identified with sign restrictions," Quantitative Economics, Econometric Society, vol. 9(3), pages 1087-1121, November.
    See citations under working paper version above.
  15. Aruoba, S. Borağan & Bocola, Luigi & Schorfheide, Frank, 2017. "Assessing DSGE model nonlinearities," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 34-54.
    See citations under working paper version above.
  16. Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," Journal of Econometrics, Elsevier, vol. 201(2), pages 322-332.
    See citations under working paper version above.
  17. Schorfheide, Frank & Wolpin, Kenneth I., 2016. "To hold out or not to hold out," Research in Economics, Elsevier, vol. 70(2), pages 332-345.
    See citations under working paper version above.
  18. Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2016. "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(4), pages 1511-1543.
    See citations under working paper version above.
  19. Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016. "Improving GDP measurement: A measurement-error perspective," Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.
    See citations under working paper version above.
  20. Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016. "Dynamic prediction pools: An investigation of financial frictions and forecasting performance," Journal of Econometrics, Elsevier, vol. 192(2), pages 391-405.
    See citations under working paper version above.
  21. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
    See citations under working paper version above.
  22. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
    See citations under working paper version above.
  23. Edward Herbst & Frank Schorfheide, 2014. "Sequential Monte Carlo Sampling For Dsge Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1073-1098, November.
    See citations under working paper version above.
  24. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2013. "Labor-Market Heterogeneity, Aggregation, And Policy (In)Variance Of Dsge Model Parameters," Journal of the European Economic Association, European Economic Association, vol. 11, pages 193-220, January.
    See citations under working paper version above.
  25. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
    See citations under working paper version above.
  26. Hyungsik Roger Moon & Frank Schorfheide, 2012. "Bayesian and Frequentist Inference in Partially Identified Models," Econometrica, Econometric Society, vol. 80(2), pages 755-782, March.
    See citations under working paper version above.
  27. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.

    Cited by:

    1. Alexandros P. Bechlioulis & Sophocles N. Brissimis, 2021. "Are household consumption decisions affected by past due unsecured debt? Theory and evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3040-3053, April.

  28. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.

    Cited by:

    1. Stephen Morris, 2014. "The Statistical Implications of Common Identifying Restrictions for DSGE Models," 2014 Meeting Papers 738, Society for Economic Dynamics.
    2. Moura, Alban, 2020. "Total factor productivity and the measurement of neutral technology," MPRA Paper 99357, University Library of Munich, Germany.
    3. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    4. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    5. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo.
    6. Marco Cozzi, 2014. "Heterogeneity In Macroeconomics And The Minimal Econometric Interpretation For Model Comparison," Working Paper 1333, Economics Department, Queen's University.
    7. Valerio Scalone, 2018. "Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound," Working papers 688, Banque de France.
    8. Mennuni, Alessandro, 2019. "The aggregate implications of changes in the labour force composition," European Economic Review, Elsevier, vol. 116(C), pages 83-106.
    9. Belongia, Michael T. & Ireland, Peter N., 2022. "A reconsideration of money growth rules," Journal of Economic Dynamics and Control, Elsevier, vol. 135(C).
    10. Callum Jones, 2018. "Aging, Secular Stagnation and the Business Cycle," IMF Working Papers 2018/067, International Monetary Fund.
    11. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    12. Niu, Tong & Yao, Xilong & Shao, Shuai & Li, Ding & Wang, Wenxi, 2018. "Environmental tax shocks and carbon emissions: An estimated DSGE model," Structural Change and Economic Dynamics, Elsevier, vol. 47(C), pages 9-17.
    13. Luigi Bocola, 2015. "The Pass-Through of Sovereign Risk," Working Papers 722, Federal Reserve Bank of Minneapolis.
    14. Francesco Bianchi & Leonardo Melosi, 2014. "Constrained Discretion and Central Bank Transparency," NBER Working Papers 20566, National Bureau of Economic Research, Inc.
    15. Mac Mullen, Marcos & Woo, Soo Kyung, 2025. "Real exchange rate and net trade dynamics: Financial and trade shocks," Journal of International Economics, Elsevier, vol. 157(C).
    16. Stylianos Asimakopoulos & James Malley & Apostolis Philippopoulos & Jim Malley, 2024. "The Firm-Level and Aggregate Effects of Corporate Payout Policy," CESifo Working Paper Series 11460, CESifo.
    17. Yashar Blouri & Maximilian v. Ehrlich, 2017. "On the optimal design of place-based policies: A structural evaluation of EU regional transfers," Diskussionsschriften dp1702, Universitaet Bern, Departement Volkswirtschaft.
    18. Enrique Martínez García & Mark A. Wynne, 2014. "Assessing Bayesian model comparison in small samples," Globalization Institute Working Papers 189, Federal Reserve Bank of Dallas.
    19. Caunedo, Julieta, 2020. "Aggregate fluctuations and the industry structure of the US economy," European Economic Review, Elsevier, vol. 129(C).
    20. Moura, Alban, 2015. "Investment Price Rigidities and Business Cycles," TSE Working Papers 15-612, Toulouse School of Economics (TSE).
    21. Marcus Hagedorn & Iourii Manovskii & Sergiy Stetsenko, 2016. "Taxation and Unemployment in Models with Heterogeneous Workers," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 19, pages 161-189, January.
    22. Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2020. "Estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    23. James Malley & Apostolis Philippopoulos, 2022. "The Macroeconomic Effects of Funding U.S. Infrastructure," Working Papers 2022_03, Business School - Economics, University of Glasgow.
    24. Andreas Bachmann, 2015. "Lumpy investment and variable capacity utilization: firm-level and macroeconomic implications," Diskussionsschriften dp1510, Universitaet Bern, Departement Volkswirtschaft.
    25. Cantore, Cristiano & Ferroni, Filippo & León-Ledesma, Miguel A., 2017. "The dynamics of hours worked and technology," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 67-82.
    26. Yantao Gao & Xilong Yao & Wenxi Wang & Xin Liu, 2019. "Dynamic effect of environmental tax on export trade: Based on DSGE mode," Energy & Environment, , vol. 30(7), pages 1275-1290, November.
    27. Kociecki, Andrzej, 2013. "Bayesian Approach and Identification," MPRA Paper 46538, University Library of Munich, Germany.
    28. Juan Carlos Parra‐Alvarez & Olaf Posch & Mu‐Chun Wang, 2023. "Estimation of Heterogeneous Agent Models: A Likelihood Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(2), pages 304-330, April.
    29. Molinari Benedetto & Rodríguez-López Jesús & Torres José L., 2013. "Information and communication technologies over the business cycle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 933-963, July.
    30. Enrique Martínez García, 2015. "The global component of local inflation: revisiting the empirical content of the global slack hypothesis with Bayesian methods," Globalization Institute Working Papers 225, Federal Reserve Bank of Dallas.
    31. Weidong Huo & Xiaoxian Chen & Lan Bo & Fangyong Luo, 2024. "RETRACTED ARTICLE: Navigating Global Monetary Interdependencies: A Comprehensive Analysis of ECB Rate Hikes on China’s Technology-Driven Economy," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(4), pages 18081-18115, December.
    32. Colombo, Emilio & Furceri, Davide & Pizzuto, Pietro & Tirelli, Patrizio, 2024. "Public expenditure multipliers and informality," European Economic Review, Elsevier, vol. 164(C).
    33. Ivashchenko, Sergey & Mutschler, Willi, 2020. "The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models," Economic Modelling, Elsevier, vol. 88(C), pages 280-292.
    34. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Decomposing Risk in Dynamic Stochastic General Equilibrium," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100523, Verein für Socialpolitik / German Economic Association.
    35. Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2017. "Identification and estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2017-35, Department of Economics and Business Economics, Aarhus University.
    36. Yu Zheng & Dongya Koh & Raül Santaeulàlia-Llopis, 2016. "Labor Share Decline and Intellectual Property Products Capital," Working Papers 927, Barcelona School of Economics.
    37. Dongya Koh & Raül Santaeulàlia-Llopis, 2017. "Countercyclical Elasticity of Substitution," Working Papers 946, Barcelona School of Economics.
    38. Chang, Yongsung & Schorfheide, Frank, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," CEPR Discussion Papers 8039, C.E.P.R. Discussion Papers.
    39. S. Boragan Aruoba & Pablo A. Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," Working Papers 20-13, Federal Reserve Bank of Philadelphia.
    40. Furlanetto, Francesco & Natvik, Gisle J. & Seneca, Martin, 2013. "Investment shocks and macroeconomic co-movement," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 208-216.

  29. Herbst, Edward & Schorfheide, Frank, 2012. "Evaluating DSGE model forecasts of comovements," Journal of Econometrics, Elsevier, vol. 171(2), pages 152-166.
    See citations under working paper version above.
  30. Frank Schorfheide & Kenneth I. Wolpin, 2012. "On the Use of Holdout Samples for Model Selection," American Economic Review, American Economic Association, vol. 102(3), pages 477-481, May.

    Cited by:

    1. Schorfheide, Frank & Wolpin, Kenneth I., 2016. "To hold out or not to hold out," Research in Economics, Elsevier, vol. 70(2), pages 332-345.
    2. Banghua Zhu & Sai Praneeth Karimireddy & Jiantao Jiao & Michael I. Jordan, 2023. "Online Learning in a Creator Economy," Papers 2305.11381, arXiv.org.
    3. Banghua Zhu & Stephen Bates & Zhuoran Yang & Yixin Wang & Jiantao Jiao & Michael I. Jordan, 2022. "The Sample Complexity of Online Contract Design," Papers 2211.05732, arXiv.org, revised May 2023.
    4. Paul Duetting & Michal Feldman & Tomasz Ponitka & Ermis Soumalias, 2025. "The Pseudo-Dimension of Contracts," Papers 2501.14474, arXiv.org.
    5. Chen, Xiaomeng Charlene & Jones, Stewart & Hasan, Mostafa Monzur & Zhao, Ruoyun & Alam, Nurul, 2023. "Does strategic deviation influence firms’ use of supplier finance?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    6. Hui Chen & Winston Wei Dou & Leonid Kogan, 2024. "Measuring “Dark Matter” in Asset Pricing Models," Journal of Finance, American Finance Association, vol. 79(2), pages 843-902, April.
    7. Antonio Merlo & Thomas R.Palfrey, 2013. "External Validation of Voter Turnout Models by Concealed Parameter Recovery," PIER Working Paper Archive 13-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    8. Joel da Costa & Tim Gebbie, 2020. "Learning low-frequency temporal patterns for quantitative trading," Papers 2008.09481, arXiv.org.
    9. de Bresser, Jochem, 2021. "Evaluating the Accuracy of Counterfactuals The Role of Heterogeneous Expectations in Life Cycle Models," Discussion Paper 2021-034, Tilburg University, Center for Economic Research.
    10. Emrah Arbak, 2017. "Identifying the provisioning policies of Belgian banks," Working Paper Research 326, National Bank of Belgium.
    11. Maibom, Jonas, 2021. "The Danish Labor Market Experiments: Methods and Findings," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2021(1), pages 1-21.
    12. Sebastian Galiani & Juan Pantano, 2021. "Structural Models: Inception and Frontier," NBER Working Papers 28698, National Bureau of Economic Research, Inc.
    13. Cepeda Carrión, Gabriel & Henseler, Jörg & Ringle, Christian M. & Roldán, José Luis, 2016. "Prediction-oriented modeling in business research by means of PLS path modeling: Introduction to a JBR special section," Journal of Business Research, Elsevier, vol. 69(10), pages 4545-4551.
    14. Wolfgang Drobetz & Tizian Otto, 2021. "Empirical asset pricing via machine learning: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 507-538, December.
    15. de Bresser, Jochem, 2021. "Evaluating the Accuracy of Counterfactuals The Role of Heterogeneous Expectations in Life Cycle Models," Other publications TiSEM a7e2b4d8-fed0-4e86-926f-d, Tilburg University, School of Economics and Management.

  31. S. Boragan Aruoba & Frank Schorfheide, 2011. "Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(1), pages 60-90, January.
    See citations under working paper version above.
  32. Schorfheide, Frank & Sill, Keith & Kryshko, Maxym, 2010. "DSGE model-based forecasting of non-modelled variables," International Journal of Forecasting, Elsevier, vol. 26(2), pages 348-373, April.
    See citations under working paper version above.
  33. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    See citations under working paper version above.
  34. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.

    Cited by:

    1. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    2. Battey, Heather & Feng, Qiang & Smith, Richard J., 2016. "Improving confidence set estimation when parameters are weakly identified," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 117-123.
    3. Michael Boutros, 2022. "Windfall Income Shocks with Finite Planning Horizons," Staff Working Papers 22-40, Bank of Canada.
    4. João Madeira & Nuno Palma, 2018. "Measuring Monetary Policy Deviations from the Taylor Rule," Economics Discussion Paper Series 1803, Economics, The University of Manchester.
    5. Chaudhuri, Saraswata & Zivot, Eric, 2011. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Journal of Econometrics, Elsevier, vol. 164(2), pages 239-251, October.
    6. Yinghua He & Gabrielle Fack & Julien Grenet, 2020. "Beyond Truth-Telling: Preference Estimation with Centralized School Choice and College Admissions," Working Papers halshs-01215998, HAL.
    7. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    8. Timothy B. Armstrong & Michal Koles'r, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Cowles Foundation Discussion Papers 2158R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2019.
    9. Alastair R. Hall, 2013. "Generalized Method of Moments," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 14, pages 313-333, Edward Elgar Publishing.
    10. Kleiber, Christian & Zeileis, Achim, 2010. "Reproducible Econometric Simulations," Working papers 2010/12, Faculty of Business and Economics - University of Basel.
    11. Jason Allen & Robert Clark & Brent R. Hickman & Eric Richert, 2022. "Resolving Failed Banks: Uncertainty, Multiple Bidding & Auction Design," Working Paper 1422, Economics Department, Queen's University.
    12. Andrew J. Patton & Allan Timmermann, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17, June.
    13. Ratbek Dzhumashev & Ainura Tursunalieva, 2025. "A test for instrumental variable validity using a correlation restriction," Monash Economics Working Papers 2025-06, Monash University, Department of Economics.
    14. Nicky L. Grant & Richard J. Smith, 2018. "GEL-based inference with unconditional moment inequality restrictions," CeMMAP working papers CWP23/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    15. Grigory Franguridi & Hyungsik Roger Moon, 2025. "Generalized method of moments with partially missing data," Papers 2511.21988, arXiv.org, revised Jan 2026.
    16. Yu‐Chin Hsu & Xiaoxia Shi, 2017. "Model‐selection tests for conditional moment restriction models," Econometrics Journal, Royal Economic Society, vol. 20(1), pages 52-85, February.
    17. Jun Cai & Qu Feng & William C. Horrace & Guiying Laura Wu, 2021. "Wrong skewness and finite sample correction in the normal-half normal stochastic frontier model," Empirical Economics, Springer, vol. 60(6), pages 2837-2866, June.
    18. Ralph Koijen & Motohiro Yogo, 2022. "The Fragility of Market Risk Insurance," Working Papers 2022-3, Princeton University. Economics Department..
    19. Francis DiTraglia & Camilo Garcia-Jimeno, 2015. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models, Third Version," PIER Working Paper Archive 15-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Sep 2015.
    20. Francis J. DiTraglia & Camilo Garcia-Jimeno, 2020. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models," Papers 2011.07276, arXiv.org.
    21. Coroneo, Laura & Corradi, Valentina & Santos Monterio, Paulo, "undated". "Testing for optimal monetary policy via moment inequalities," Economic Research Papers 270654, University of Warwick - Department of Economics.
    22. He, Yinghua, 2015. "Gaming the Boston School Choice Mechanism in Beijing," TSE Working Papers 15-551, Toulouse School of Economics (TSE), revised Sep 2017.
    23. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    24. Shi, Xiaoxia, 2015. "Model selection tests for moment inequality models," Journal of Econometrics, Elsevier, vol. 187(1), pages 1-17.
    25. ap Gwilym, Rhys & Ebrahim, M. Shahid & El Alaoui, Abdelkader O. & Rahman, Hamid & Taamouti, Abderrahim, 2020. "Financial frictions and the futures pricing puzzle," Economic Modelling, Elsevier, vol. 87(C), pages 358-371.
    26. Thomas Høgholm Jørgensen, 2014. "Euler Equation Estimation: Children and Credit Constraints," Discussion Papers 14-25, University of Copenhagen. Department of Economics.
    27. Rami V. Tabri & Christopher D. Walker, 2020. "Inference for Moment Inequalities: A Constrained Moment Selection Procedure," Papers 2008.09021, arXiv.org, revised Aug 2020.
    28. Gregory Cox, 2022. "A Generalized Argmax Theorem with Applications," Papers 2209.08793, arXiv.org.
    29. Nicky L. Grant & Richard J. Smith, 2018. "GEL-Based Inference from Unconditional Moment Inequality Restrictions," Economics Discussion Paper Series 1802, Economics, The University of Manchester.
    30. Edvard Bakhitov, 2020. "Frequentist Shrinkage under Inequality Constraints," Papers 2001.10586, arXiv.org.
    31. Fan, Yanqin & Shi, Xuetao, 2023. "Wald, QLR, and score tests when parameters are subject to linear inequality constraints," Journal of Econometrics, Elsevier, vol. 235(2), pages 2005-2026.
    32. Nicky L. Grant & Richard J. Smith, 2018. "GEL-based inference with unconditional moment inequality restrictions," CeMMAP working papers 23/18, Institute for Fiscal Studies.
    33. Francis DiTraglia & Camilo Garcia-Jimeno, 2015. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models, Second Version," PIER Working Paper Archive 15-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 31 Aug 2015.
    34. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.
    35. Romano, Joseph P. & Wolf, Michael, 2013. "Testing for monotonicity in expected asset returns," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 93-116.
    36. Francis J. DiTraglia & Camilo García-Jimeno, 2017. "Mis-classified, Binary, Endogenous Regressors: Identification and Inference," NBER Working Papers 23814, National Bureau of Economic Research, Inc.
    37. Tae-Hwy Lee & He Wang & Zhou Xi & Ru Zhang, 2021. "Density Forecast of Financial Returns Using Decomposition and Maximum Entropy," Working Papers 202115, University of California at Riverside, Department of Economics.
    38. Marine Carrasco & N'Golo Koné, 2023. "Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility," CIRANO Working Papers 2023s-03, CIRANO.
    39. Cox, Gregory Fletcher, 2025. "Weak identification with bounds in a class of minimum distance models," Journal of Econometrics, Elsevier, vol. 252(PA).

  35. Schorfheide, Frank, 2008. "Comment on: "Monetary policy under uncertainty in an estimated model with labor market frictions" by Luca Sala, Ulf Söderström, and Antonella Trigari," Journal of Monetary Economics, Elsevier, vol. 55(5), pages 1007-1010, July.

    Cited by:

    1. SENBATA, Sisay Regassa, 2011. "How applicable are the new Keynesian DSGE models to a typical low-income economy?," Working Papers 2011016, University of Antwerp, Faculty of Business and Economics.
    2. Cristiano Cantore & Paul Levine & Giovanni Melina, 2011. "A Fiscal Stimulus and Jobless Recovery," School of Economics Discussion Papers 1111, School of Economics, University of Surrey.
    3. Raissi, M., 2011. "A Linear Quadratic Approach to Optimal Monetary Policy with Unemployment and Sticky Prices: The Case of a Distorted Steady State," Cambridge Working Papers in Economics 1146, Faculty of Economics, University of Cambridge.

  36. Del Negro, Marco & Schorfheide, Frank, 2008. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1191-1208, October.
    See citations under working paper version above.
  37. Frank Schorfheide, 2008. "DSGE model-based estimation of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 397-433.

    Cited by:

    1. José R. Maria & Paulo Júlio, 2017. "The Portuguese post-2008 period: A narrative from an estimated DSGE model," Working Papers w201715, Banco de Portugal, Economics and Research Department.
    2. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    3. Francis Leni Anguyo & Rangan Gupta & Kevin Kotzé, 2017. "Inflation Dynamics in Uganda: A Quantile Regression Approach," Working Papers 201772, University of Pretoria, Department of Economics.
    4. Claudio Michelacci & Luigi Paciello, 2017. "Ambiguous Policy Announcements," EIEF Working Papers Series 1701, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2017.
    5. Hecker, Dominik & Wolters, Maik H., 2025. "Nonlinear estimation of a New Keynesian model with endogenous inflation de-anchoring," IMFS Working Paper Series 222, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    6. Stephanie Schmitt-Grohe & Martin Uribe, 2008. "Policy implications of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 435-465.
    7. Dandan Liu, 2011. "Learning and Estimation of the New Keynesian Phillips Curve Models," Southern Economic Journal, John Wiley & Sons, vol. 78(2), pages 382-396, October.
    8. Jordan Roulleau-Pasdeloup & Anastasia Zhutova, 2015. "Labor Market Policies and the "Missing Deflation" Puzzle: Lessons from Hoover Policies during the U.S Great Depression," Cahiers de Recherches Economiques du Département d'économie 15.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    9. Michael U. Krause & Stéphane Moyen, 2016. "Public Debt and Changing Inflation Targets," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(4), pages 142-176, October.
    10. Kiefer, David, 2015. "Targets and lags in a two-equation model of US stabilization," Economic Modelling, Elsevier, vol. 44(C), pages 18-24.
    11. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    12. Orland, Andreas & Roos, Michael W.M., 2019. "Price-setting with quadratic adjustment costs: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 88-116.
    13. Lanne, Markku & Luoto, Jani, 2011. "Autoregression-Based Estimation of the New Keynesian Phillips Curve," MPRA Paper 29801, University Library of Munich, Germany.
    14. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers in Public Economics 131, Department of Economics and Law, Sapienza University of Rome.
    15. Stefan Leist & Klaus Neusser, 2010. "Measuring the Natural Output Level by DSGE Models: An Empirical Investigation for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 275-300, March.
    16. Fröhling, Annette & Lommatzsch, Kirsten, 2011. "Output sensitivity of inflation in the euro area: Indirect evidence from disaggregated consumer prices," Discussion Paper Series 1: Economic Studies 2011,25, Deutsche Bundesbank.
    17. Desogus, Marco & Casu, Elisa, 2022. "Chaos, granularity, and instability in economic systems of countries with emerging market economies: relationships between GDP growth rate and increasing internal inequality," MPRA Paper 115744, University Library of Munich, Germany, revised 2022.
    18. Dominik Hecker & Maik Wolters & Maik H. Wolters, 2025. "Nonlinear Estimation of a New Keynesian Model with Endogenous Inflation De-Anchoring," CESifo Working Paper Series 12280, CESifo.
    19. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
    20. Kim, Insu & Yie, Myung-Soo, 2016. "Trend inflation, firms' backward-looking behavior, and inflation gap persistence," Economic Modelling, Elsevier, vol. 58(C), pages 116-125.
    21. Bence Bardóczy & Jae W. Sim & Andreas Tischbirek, 2024. "The Macroeconomic Effects of Excess Savings," Finance and Economics Discussion Series 2024-062, Board of Governors of the Federal Reserve System (U.S.).
    22. Hommes, C.H. & Lustenhouwer, J., 2016. "Managing Heterogeneous and Unanchored Expectations: A Monetary Policy Analysis," CeNDEF Working Papers 16-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    23. Min Fang, 2021. "Lumpy Investment, Fluctuations in Volatility and Monetary Policy," Working Papers 002001, University of Florida, Department of Economics.
    24. Kim, Insu, 2009. "Dual Wage Rigidities: Theory and Some Evidence," MPRA Paper 18345, University Library of Munich, Germany.
    25. Franke, Reiner, 2013. "Competitive Moment Matching of a New-Keynesian and an Old-Keynesian Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79988, Verein für Socialpolitik / German Economic Association.
    26. Huw Dixon & Engin Kara, 2011. "Taking Multi-Sector Dynamic General Equilibrium Models to the Data," Bristol Economics Discussion Papers 11/621, School of Economics, University of Bristol, UK.
    27. Jang, Bosung & So, Inhwan, 2024. "Stock returns and monetary policy stance," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 851-869.
    28. Angelini, Giovanni & Sorge, Marco M., 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    29. Chen, Yao & Ward, Felix, 2019. "When do fixed exchange rates work? Evidence from the Gold Standard," Journal of International Economics, Elsevier, vol. 116(C), pages 158-172.
    30. Crowley, Patrick M. & Hallett, Andrew Hughes, 2018. "What causes business cycles to elongate, or recessions to intensify?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 338-349.
    31. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011. "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers 2011-10, Christian-Albrechts-University of Kiel, Department of Economics.
    32. Bernstein, Joshua, 2021. "A model of state-dependent monetary policy," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 904-917.
    33. Vasco Curdia & Andrea Ferrero & Ging Cee Ng & Andrea Tambalotti, 2014. "Has U.S. Monetary Policy Tracked the Efficient Interest Rate?," Working Paper Series 2014-12, Federal Reserve Bank of San Francisco.
    34. Carlos C. Bautista, 2009. "An examination of Philippine monetary policy rules," UP School of Economics Discussion Papers 200912, University of the Philippines School of Economics.
    35. Engin Kara, 2009. "Micro data on nominal rigidity, inflation persistence and optimal monetary policy," Working Paper Research 175, National Bank of Belgium.
    36. Francesco Giuli & Massimiliano Tancioni, 2012. "Prince-setting, monetary policy and the contractionary effects of productivity improvements," Departmental Working Papers of Economics - University 'Roma Tre' 0161, Department of Economics - University Roma Tre.
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    Cited by:

    1. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    2. Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2015. "Monetary policy, trend inflation, and the Great Moderation: an alternative interpretation: comment based on system estimation," Research Working Paper RWP 15-17, Federal Reserve Bank of Kansas City.
    3. Yasuo Hirose, 2008. "Equilibrium Indeterminacy and Asset Price Fluctuation in Japan: A Bayesian Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 967-999, August.
    4. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011. "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers 2011-10, Christian-Albrechts-University of Kiel, Department of Economics.
    5. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.
    6. Fanelli, Luca, 2012. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Journal of Econometrics, Elsevier, vol. 170(1), pages 153-163.
    7. Konstantinos Chisiridis & Kostas Mouratidis & Theodore Panagiotidis, 2018. "The North-South Divide, the Euro and the World," Working Papers 2018015, The University of Sheffield, Department of Economics.
    8. Firmin Doko Tchatoka & Nicolas Groshenny & Qazi Haque & Mark Weder, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," School of Economics and Public Policy Working Papers 2016-18, University of Adelaide, School of Economics and Public Policy.
    9. Hirose, Yasuo, 2010. "Monetary policy and sunspot fluctuation in the U.S. and the Euro area," MPRA Paper 33693, University Library of Munich, Germany.
    10. Richard Higgins, C., 2020. "Financial frictions and changing macroeconomic volatility," Journal of Macroeconomics, Elsevier, vol. 64(C).
    11. Del Negro, Marco & Eusepi, Stefano, 2011. "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.

  39. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2007. "On the Fit of New Keynesian Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 123-143, April.

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    5. Patrick F ve & Jean-Guillaume Sahuc, 2016. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Working papers 585, Banque de France.
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    8. Vîntu, Denis, 2022. "Model of Government Ponzi Games and Debt Dynamics Under Uncertainty," MPRA Paper 112964, University Library of Munich, Germany, revised 29 Mar 2022.
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    Cited by:

    1. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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    4. Guerini, Mattia & Moneta, Alessio, 2017. "A method for agent-based models validation," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 125-141.
    5. Minford, Patrick & Ou, Zhirong & Wickens, Michael & Zhu, Zheyi, 2022. "The eurozone: What is to be done to maintain macro and financial stability?," Journal of Financial Stability, Elsevier, vol. 63(C).
    6. Agostino Consolo & Carlo A. Favero & Alessia Paccagnini, 2007. "On the Statistical Identification of DSGE Models," Working Papers 324, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    7. Kichian, Maral & Rumler, Fabio, 2014. "Forecasting Canadian inflation: A semi-structural NKPC approach," Economic Modelling, Elsevier, vol. 43(C), pages 183-191.
    8. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    9. Barde, Sylvain, 2020. "Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    10. Hsiao, Cody Yu-Ling & Jin, Tao & Kwok, Simon & Wang, Xi & Zheng, Xin, 2023. "Entrepreneurial risk shocks and financial acceleration asymmetry in a two-country DSGE model," China Economic Review, Elsevier, vol. 81(C).
    11. André, Marine C. & Armijo, Alberto & Espidio, Sebastián Medina & Sandoval, Jamel, 2023. "Policy mix in a small open emerging economy with commodity prices," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    12. Renzo Orsi & Davide Raggi & Francesco Turino, 2013. "Online Appendix to "Size, Trend, and Policy Implications of the Underground Economy"," Online Appendices 12-217, Review of Economic Dynamics.
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    14. Bekiros, Stelios D. & Paccagnini, Alessia, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 298-323.
    15. Dan S. Rickman, 2010. "Modern Macroeconomics And Regional Economic Modeling," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 23-41, February.
    16. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
    17. Maral Kichian & Rumler Fabio & Paul Corrigan, 2010. "Semi-Structural Models for Inflation Forecasting," Staff Working Papers 10-34, Bank of Canada.
    18. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    19. Chunping Liu & Patrick Minford & Zhirong Ou, 2025. "Can Modern Monetary Theory fit the post‐Crisis US facts? Evidence from a full DSGE model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(1), pages 983-1006, January.
    20. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
    21. Michael Wickens, 2015. "How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics," Manchester School, University of Manchester, vol. 83, pages 60-82, December.
    22. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.
    23. Fernando de Menezes Linardi, 2016. "Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy," Working Papers Series 424, Central Bank of Brazil, Research Department.
    24. Martínez-Martin, Jaime & Morris, Richard & Onorante, Luca & Piersanti, Fabio M., 2019. "Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box," Working Paper Series 2335, European Central Bank.

  45. Marco Del Negro & Frank Schorfheide, 2005. "Policy Predictions if the Model Does Not Fit," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 434-443, 04/05.
    See citations under working paper version above.
  46. Frank Schorfheide, 2005. "Learning and Monetary Policy Shifts," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 392-419, April.
    See citations under working paper version above.
  47. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.

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    1. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
    2. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    3. Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Oriol Gonzalez-Casasus & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," PIER Working Paper Archive 25-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    5. Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
    6. Ulrich K. Müller & James H. Stock, 2011. "Forecasts in a Slightly Misspecified Finite Order VAR Model," Working Papers 2011-4, Princeton University. Economics Department..
    7. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
    8. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    9. Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
    10. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia.
    11. 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.
    12. Michael W. McCracken & Joseph McGillicuddy, 2017. "An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts," Working Papers 2017-40, Federal Reserve Bank of St. Louis.
    13. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    14. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CESifo Working Paper Series 2543, CESifo.
    15. Cheng, Xu & Hansen, Bruce E., 2015. "Forecasting with factor-augmented regression: A frequentist model averaging approach," Journal of Econometrics, Elsevier, vol. 186(2), pages 280-293.
    16. Mikkel Plagborg-Møller & Christian K. Wolf, 2020. "Local Projections and VARs Estimate the Same Impulse Responses," Working Papers 2020-16, Princeton University. Economics Department..
    17. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    18. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The Transmission of Monetary Policy Shocks," The Warwick Economics Research Paper Series (TWERPS) 1136, University of Warwick, Department of Economics.
    19. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
    20. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2023. "Forecasting with a panel Tobit model," Quantitative Economics, Econometric Society, vol. 14(1), pages 117-159, January.
    21. Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Working Papers 2021-55, Princeton University. Economics Department..
    22. McElroy, Tucker S. & Wildi, Marc, 2020. "The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions," Econometrics and Statistics, Elsevier, vol. 14(C), pages 112-130.
    23. Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006. "What does the yield curve tell us about GDP growth?," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
    24. Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
    25. Jinshun Wu & Luyao Wu, 2024. "Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2437-2476, October.
    26. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018. "A scoring rule for factor and autoregressive models under misspecification," Working Papers 2018:18, Department of Economics, University of Venice "Ca' Foscari".
    27. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics.
    28. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
    29. Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
    30. Diego Fresoli, 2022. "Bootstrap VAR forecasts: The effect of model uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 279-293, March.
    31. Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," CESifo Working Paper Series 11243, CESifo.
    32. Moffo, Ahmadou Mustapha Fonton, 2024. "A machine learning approach in stress testing US bank holding companies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
    33. Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," ifo Working Paper Series 48, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    34. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
    35. Lin, Tzu-Chi & Liu, Chu-An, 2025. "Model averaging prediction for possibly nonstationary autoregressions," Journal of Econometrics, Elsevier, vol. 249(PB).
    36. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
    37. Leandro M. Magnusson & Sophocles Mavroeidis, 2010. "Identification‐Robust Minimum Distance Estimation of the New Keynesian Phillips Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2‐3), pages 465-481, March.
    38. Smets, Frank & Del Negro, Marco & Wouters, Rafael & Schorfheide, Frank, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers.
    39. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
    40. Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
    41. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," ifo Working Paper Series 57, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    42. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
    43. Greenaway-McGrevy, Ryan, 2015. "Evaluating panel data forecasts under independent realization," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 108-125.
    44. Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, University Library of Munich, Germany.
    45. Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011. "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, vol. 164(1), pages 173-187, September.
    46. Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
    47. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
    48. Michal Franta, 2016. "Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations," Working Papers 2016/05, Czech National Bank, Research and Statistics Department.
    49. Aleksei Nemtyrev & Otilia Boldea, 2026. "Targeted Local Projections," Papers 2603.00248, arXiv.org.
    50. Tom Stark, 2010. "Realistic evaluation of real-time forecasts in the Survey of Professional Forecasters," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue May.
    51. Chor-yiu Sin & Shu-Hui Yu, 2019. "Order selection for possibly infinite-order non-stationary time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 187-216, June.
    52. Eliana Gonz�lez Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pron�sticos directos de la inflaci�n colombiana," Borradores de Economia 4247, Banco de la Republica.
    53. Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022. "How should parameter estimation be tailored to the objective?," Journal of Econometrics, Elsevier, vol. 230(2), pages 535-558.
    54. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, January.
    55. Kapetanios, George & Price, Simon & Theodoridis, Konstantinos, 2015. "A new approach to multi-step forecasting using dynamic stochastic general equilibrium models," Economics Letters, Elsevier, vol. 136(C), pages 237-242.
    56. Ing, Ching-Kang & Sin, Chor-yiu & Yu, Shu-Hui, 2012. "Model selection for integrated autoregressive processes of infinite order," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 57-71.
    57. Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers 2013-010, Federal Reserve Bank of St. Louis.

  48. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
    See citations under working paper version above.
  49. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.
    See citations under working paper version above.
  50. Lubik, Thomas A. & Schorfheide, Frank, 2003. "Computing sunspot equilibria in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 273-285, November.

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    1. Joshua Brault & Louis Phaneuf, 2025. "What Drives Low and Stable Inflation?," Working Papers 25-02, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
    2. Weder, Mark & Doko Tchatokay, Firmin & Groshenny, Nicolas & Haque, Qazi, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," VfS Annual Conference 2016 (Augsburg): Demographic Change 145557, Verein für Socialpolitik / German Economic Association.
    3. Olivier Coibion & Yuriy Gorodnichenko & Johannes F. Wieland, 2010. "The Optimal Inflation Rate in New Keynesian Models," NBER Working Papers 16093, National Bureau of Economic Research, Inc.
    4. Oscar Pavlov & Mark Weder, 2017. "Product Scope and Endogenous Fluctuations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 24, pages 175-191, March.
    5. Frank Hespeler, 2007. "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," EcoMod2007 23900036, EcoMod.
    6. Efrem Castelnuovo & Paolo Surico, 2005. "The Price Puzzle and Indeterminacy," Macroeconomics 0507021, University Library of Munich, Germany.
    7. Roger E. A. Farmer & Daniel F. Waggoner & Tao Zha, 2010. "Generalizing the Taylor Principle: Comment," American Economic Review, American Economic Association, vol. 100(1), pages 608-617, March.
    8. Huang, Kevin X.D. & Meng, Qinglai, 2012. "Increasing returns and unsynchronized wage adjustment in sunspot models of the business cycle," Journal of Economic Theory, Elsevier, vol. 147(1), pages 284-309.
    9. Stephen McKnight & Laura Povoledo, 2021. "Endogenous Fluctuations and International Business Cycles," Serie documentos de trabajo del Centro de Estudios Económicos 2021-10, El Colegio de México, Centro de Estudios Económicos.
    10. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
    11. Ippei Fujiwara & Yasuo Hirose, 2011. "Indeterminacy and forecastability," Globalization Institute Working Papers 91, Federal Reserve Bank of Dallas.
    12. Wei Dai & Mark Weder & Bo Zhang, 2020. "Animal Spirits, Financial Markets, and Aggregate Instability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(8), pages 2053-2083, December.
    13. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    14. Sanjay R. Singh & Pablo Cuba-Borda, 2019. "Understanding Persistent Stagnation," Working Papers 329, University of California, Davis, Department of Economics.
    15. Yuriy Gorodnichenko & Johannes Wieland & Olivier Coibion, 2012. "The Optimal Inflation Rate in New Keynesian Models: Should Central Banks Raise Their Inflation Targets in Light of the Zero Lower Bound?," 2012 Meeting Papers 70, Society for Economic Dynamics.
    16. Florin Bilbiie & Mr. Roland Straub, 2006. "Asset Market Participation, Monetary Policy Rules, and the Great Inflation," IMF Working Papers 2006/200, International Monetary Fund.
    17. Qazi Haque & Nicolas Groshenny & Mark Weder, 2020. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Working Papers 2020-10, Department of Economics and Business Economics, Aarhus University.
    18. Peter A. Zadrozny, 2022. "Linear Identification of Linear Rational-Expectations Models by Exogenous Variables Reconciles Lucas and Sims," CESifo Working Paper Series 10078, CESifo.
    19. Alice Albonico & Guido Ascari & Qazi Haque, 2024. "Monetary Policy in the Euro Area: Active or Passive?," Working Papers 535, University of Milano-Bicocca, Department of Economics, revised Mar 2025.
    20. Airaudo, Marco & Cardani, Roberta & Lansing, Kevin J., 2013. "Monetary policy and asset prices with belief-driven fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1453-1478.
    21. 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.
    22. Ragna Alstadheim & Øistein Røisland, 2017. "When Preferences for a Stable Interest Rate Become Self‐Defeating," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 393-415, March.
    23. Efrem Castelnuovo & Paolo Surico, 2006. "The Price Puzzle: Fact or Artifact?," "Marco Fanno" Working Papers 0016, Dipartimento di Scienze Economiche "Marco Fanno".
    24. YANO Koiti, 2009. "Dynamic Stochastic General Equilibrium Models Under a Liquidity Trap and Self-organizing State Space Modeling," ESRI Discussion paper series 206, Economic and Social Research Institute (ESRI).
    25. Andrew P Blake & Bojan Markovic, 2008. "The conduct of global monetary policy and domestic stability," Bank of England working papers 353, Bank of England.
    26. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
    27. Tetlow, Robert J. & von zur Muehlen, Peter, 2006. "Robustifying learnability," Working Paper Series 593, European Central Bank.
    28. Gershun, Natalia, 2010. "Habit persistence, impediments to production factor adjustments, and asset returns in general equilibrium models with self-fulfilling expectations," Review of Financial Economics, Elsevier, vol. 19(1), pages 19-27, January.
    29. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    30. Chang, Kuang Liang & Chen, Nan Kuang & Leung, Charles Ka Yui, 2011. "The Dynamics of Housing Returns in Singapore: How Important are the International Transmission Mechanisms?," MPRA Paper 32255, University Library of Munich, Germany.
    31. Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany.
    32. Chang, Kuang Liang & Chen, Nan Kuang & Leung, Charles Ka Yui, 2011. "In the Shadow of the United States: The International Transmission Effect of Asset Returns," MPRA Paper 32776, University Library of Munich, Germany.
    33. Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2015. "Monetary policy, trend inflation, and the Great Moderation: an alternative interpretation: comment based on system estimation," Research Working Paper RWP 15-17, Federal Reserve Bank of Kansas City.
    34. Kollmann, Robert, 2021. "Liquidity Traps in a World Economy," CEPR Discussion Papers 15631, C.E.P.R. Discussion Papers.
    35. Ettmeier, Stephanie & Kriwoluzky, Alexander, 2024. "Active or passive? Revisiting the role of fiscal policy during high inflation," European Economic Review, Elsevier, vol. 170(C).
    36. Yasuo Hirose, 2008. "Equilibrium Indeterminacy and Asset Price Fluctuation in Japan: A Bayesian Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 967-999, August.
    37. Yasuo Hirose & Takushi Kurozumi & Wille Van Zandweghe, 2023. "Inflation Gap Persistence, Indeterminacy, and Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 867-887, December.
    38. Tae-Seok Jang & Stephen Sacht, 2022. "Macroeconomic dynamics under bounded rationality: on the impact of consumers’ forecast heuristics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(3), pages 849-873, July.
    39. Vázquez Pérez, Jesús & María-Dolores, Ramón & Londoño Yarce, Juan Miguel, 2012. "The Effect of Data Revisions on the Basic New Keynesian Model," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    40. Canova, Fabio & Gambetti, Luca, 2009. "Do expectations matter? The Great Moderation revisited," CEPR Discussion Papers 7597, C.E.P.R. Discussion Papers.
    41. Franz Hamann & Marc Hofstetter & Miguel Urrutia, 2014. "Inflation Targeting in Colombia, 2002-2012," Borradores de Economia 11189, Banco de la Republica.
    42. Chin, Kuo-Hsuan & Li, Xue, 2019. "Bayesian forecast combination in VAR-DSGE models," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 278-298.
    43. Lubik, Thomas A. & Matthes, Christian & Mertens, Elmar, 2020. "Indeterminacy and imperfect information," Discussion Papers 01/2020, Deutsche Bundesbank.
    44. André Kurmann, 2004. "Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing," Macroeconomics 0409028, University Library of Munich, Germany.
    45. Michael U. Krause & Thomas A. Lubik, 2010. "Instability and indeterminacy in a simple search and matching model," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 96(3Q), pages 259-272.
    46. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    47. Bennett T. McCallum, 2012. "A Continuity Refinement for Rational Expectations Solutions," NBER Working Papers 18323, National Bureau of Economic Research, Inc.
    48. Alexander Meyer-Gohde, 2025. "Solving Linear DSGE Models with Bernoulli Iterations," Computational Economics, Springer;Society for Computational Economics, vol. 66(1), pages 593-643, July.
    49. Marco M. Sorge, 2018. "Computing Sunspot Solutions to Rational Expectations Models with Timing Restrictions," CSEF Working Papers 514, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    50. Bezemer, Dirk & Grydaki, Maria, 2014. "Nonfinancial sectors debt and the U.S. great moderation," Research Report 14030-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    51. Anatoliy Belaygorod & Michael J. Dueker, 2007. "The price puzzle and indeterminacy in an estimated DSGE model," Working Papers 2006-025, Federal Reserve Bank of St. Louis.
    52. Pavlov, Oscar, 2021. "Multi-product firms and increasing marginal costs," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    53. Efrem Castelnuovo, 2006. "Monetary Policy Switch, the Taylor Curve, and the Great Moderation," Computing in Economics and Finance 2006 59, Society for Computational Economics.
    54. Haderer, Michaela, 2022. "An Estimated DSGE Model of the Euro Area with Expectations about the Timing and Nature of Liftoff from the Lower Bound," Working Papers 2022-05, University of Sydney, School of Economics.
    55. Marco M. Sorge, 2010. "On the Empirical Separability of News Shocks and Sunspots," Notas Económicas, Faculty of Economics, University of Coimbra, issue 32, pages 44-55, December.
    56. Benati, Luca & Surico, Paolo, 2008. "VAR analysis and the Great Moderation," Working Paper Series 866, European Central Bank.
    57. Francesco Bianchi & Giovanni Nicolo, 2019. "A Generalized Approach to Indeterminacy in Linear Rational Expectations Models," Finance and Economics Discussion Series 2019-033, Board of Governors of the Federal Reserve System (U.S.).
    58. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    59. Yasuo Hirose, 2018. "An Estimated DSGE Model with a Deflation Steady State," Keio-IES Discussion Paper Series 2018-014, Institute for Economics Studies, Keio University.
    60. Marco Airaudo & Luca Bossi, 2017. "Consumption Externalities And Monetary Policy With Limited Asset Market Participation," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 601-623, January.
    61. Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2012. "Learning, Monetary Policy and Asset Prices," School of Economics Working Paper Series 2012-12, LeBow College of Business, Drexel University.
    62. Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    63. Hartigan, Luke & Morley, James, 2019. "A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting," Working Papers 2019-10, University of Sydney, School of Economics, revised Nov 2019.
    64. Benati, Luca, 2009. "Long run evidence on money growth and inflation," Working Paper Series 1027, European Central Bank.
    65. Dave, Chetan & Sorge, Marco M., 2020. "Sunspot-driven fat tails: A note," Economics Letters, Elsevier, vol. 193(C).
    66. Thomas A. Lubik & Paolo Surico, 2006. "The Lucas critique and the stability of empirical models," Working Paper 06-05, Federal Reserve Bank of Richmond.
    67. María-Dolores, Ramon & Vázquez, Jesús & Londoño, Juan M., 2009. "On the informational role of term structure in the US monetary policy rule," UMUFAE Economics Working Papers 4699, DIGITUM. Universidad de Murcia.
    68. Lubik, Thomas A. & Matthes, Christian, 2016. "Indeterminacy and learning: An analysis of monetary policy in the Great Inflation," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 85-106.
    69. Alice Albonico & Guido Ascari & Alessandro Gobbi, 2026. "Fiscal Policy in a Permanent Liquidity Trap: Evidence from Japan," Working Papers 566, University of Milano-Bicocca, Department of Economics.
    70. Bennett T. McCallum, 2009. "Causality, Structure, and the Uniqueness of Rational Expectations Equilibria," NBER Working Papers 15234, National Bureau of Economic Research, Inc.
    71. Sergeyev, Dmitriy & Miyamoto, Wataru & Nguyen, Thu-Van, 2016. "Government Spending Multipliers under the Zero Lower Bound: Evidence from Japan," CEPR Discussion Papers 11633, C.E.P.R. Discussion Papers.
    72. Bezemer, Dirk & Grydaki, Maria, 2013. "Debt and the U.S. Great Moderation," MPRA Paper 47399, University Library of Munich, Germany.
    73. Bernd Funovits, 2020. "The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models," Papers 2002.04369, arXiv.org.
    74. Angelini, Giovanni & Sorge, Marco M., 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    75. Luke Hartigan & James Morley, 2018. "A Factor Model Analysis of the Effects on Inflation Targeting on the Australian Economy," RBA Annual Conference Volume (Discontinued), in: John Simon & Maxwell Sutton (ed.),Central Bank Frameworks: Evolution or Revolution?, Reserve Bank of Australia.
    76. Pooyan Amir‐Ahmadi & Christian Matthes & Mu‐Chun Wang, 2016. "Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century," Quantitative Economics, Econometric Society, vol. 7(2), pages 591-611, July.
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  51. Chang, Yongsung & Schorfheide, Frank, 2003. "Labor-supply shifts and economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1751-1768, November.
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  52. Marco Del Negro & Frank Schorfheide, 2003. "Take your model bowling: forecasting with general equilibrium models," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q4), pages 35-50.

    Cited by:

    1. Suescun, Rodrigo, 2020. "A tool for fiscal policy planning in a medium-term fiscal framework: The FMM-MTFF model," Economic Modelling, Elsevier, vol. 88(C), pages 431-446.
    2. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011. "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 512-528.
    3. Paul Pichler, 2007. "Forecasting with estimated dynamic stochastic general equilibrium models: The role of nonlinearities," Vienna Economics Papers vie0702, University of Vienna, Department of Economics.
    4. Artur Sharafutdinov, 2023. "Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 62-86, September.
    5. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy.
    6. Alvarez-Lois, Pedro & Harrison, Richard & Piscitelli, Laura & Scott, Alasdair, 2008. "On the application and use of DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2428-2452, August.
    7. Dan S. Rickman, 2010. "Modern Macroeconomics And Regional Economic Modeling," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 23-41, February.
    8. Kirdan Lees & Troy Matheson & Christie Smith, 2007. "Open economy DSGE-VAR forecasting and policy analysis - head to head with the RBNZ published forecasts," Reserve Bank of New Zealand Discussion Paper Series DP2007/01, Reserve Bank of New Zealand.
    9. Roth, Markus, 2020. "Partial pooling with cross-country priors: An application to house price shocks," Discussion Papers 06/2020, Deutsche Bundesbank.
    10. Muhanji, Stella & Ojah, Kalu, 2011. "External shocks and persistence of external debt in open vulnerable economies: The case of Africa," Economic Modelling, Elsevier, vol. 28(4), pages 1615-1628, July.
    11. Javier Andrés & Fernando Restoy, 2007. "Macroeconomic modelling in EMU: how relevant is the change in regime?," Working Papers 0718, Banco de España.
    12. Muhanji, Stella & Malikane, Christopher & Ojah, Kalu, 2013. "Price and liquidity puzzles of a monetary shock: Evidence from indebted African economies," Economic Modelling, Elsevier, vol. 33(C), pages 620-630.

  53. Yongsung Chang & Joao F. Gomes & Frank Schorfheide, 2002. "Learning-by-Doing as a Propagation Mechanism," American Economic Review, American Economic Association, vol. 92(5), pages 1498-1520, December.
    See citations under working paper version above.
  54. Moon, Hyungsik Roger & Schorfheide, Frank, 2002. "Minimum Distance Estimation Of Nonstationary Time Series Models," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1385-1407, December.

    Cited by:

    1. Gabriel Montes-Rojas & Luciano de Castro & Antonio F. Galvao & Jeong Yeol Kim & José Olmo, 2021. "Experiments on portfolio selection: a comparison between quantile preferences and expected utility decision models," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2021-68, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
    2. Considine, Timothy J., 2018. "Estimating concave substitution possibilities with non-stationary data using the dynamic linear logit demand model," Economic Modelling, Elsevier, vol. 72(C), pages 22-30.
    3. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
    4. Galvao, Antonio F. & Wang, Liang, 2015. "Efficient minimum distance estimator for quantile regression fixed effects panel data," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 1-26.
    5. Leandro M. Magnusson & Sophocles Mavroeidis, 2010. "Identification‐Robust Minimum Distance Estimation of the New Keynesian Phillips Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2‐3), pages 465-481, March.
    6. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," FRB Atlanta Working Paper 2002-14, Federal Reserve Bank of Atlanta.

  55. Schorfheide, Frank, 2000. "Forecasting Economic Time Series," Econometric Theory, Cambridge University Press, vol. 16(3), pages 441-450, June.

    Cited by:

    1. M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting economic and financial variables with global VARs," Staff Reports 317, Federal Reserve Bank of New York.
    2. Gerit Vogt, 2009. "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36, October.
    3. Maghyereh, Aktham, 2003. "Financial Liberalization and Stability Demand for Money in Emerging Economies: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2).
    4. Giordani, Paolo & Kohn, Robert, 2006. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Working Paper Series 196, Sveriges Riksbank (Central Bank of Sweden).
    5. Fernando M. Gonçalves, 2008. "Accumulating Foreign Reserves Under Floating Exchange Rates," IMF Working Papers 2008/096, International Monetary Fund.

  56. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.

    Cited by:

    1. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
    2. Haider, Adnan & Khan, Safdar Ullah, 2008. "A Small Open Economy DSGE Model for Pakistan," MPRA Paper 12977, University Library of Munich, Germany, revised 17 Jan 2009.
    3. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    4. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2008. "The new area-wide model of the euro area: a micro-founded open-economy model for forecasting and policy analysis," Working Paper Series 944, European Central Bank.
    5. José R. Maria & Paulo Júlio, 2017. "The Portuguese post-2008 period: A narrative from an estimated DSGE model," Working Papers w201715, Banco de Portugal, Economics and Research Department.
    6. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.
    7. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2005. "Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through," Working Paper Series 179, Sveriges Riksbank (Central Bank of Sweden).
    8. Matus Senaj & Milan Vyskrabka & Juraj Zeman, 2010. "MUSE: Monetary Union and Slovak Economy model," Working and Discussion Papers WP 1/2010, Research Department, National Bank of Slovakia.
    9. Frank Schorfheide, 2003. "Learning and monetary policy shifts," FRB Atlanta Working Paper 2003-23, Federal Reserve Bank of Atlanta.
    10. Iiboshi, Hirokuni & Nishiyama, Shin-Ichi & Watanabe, Toshiaki, 2006. "An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis," MPRA Paper 85702, University Library of Munich, Germany.
    11. Tyler Atkinson & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "The Zero Lower Bound and Estimation Accuracy," Working Papers 1804, Federal Reserve Bank of Dallas.
    12. Vadim Marmer & Taisuke Otsu, 2009. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Cowles Foundation Discussion Papers 1724, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
    13. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    14. Phattara Khumprom & Nita Yodo, 2019. "A Data-Driven Predictive Prognostic Model for Lithium-ion Batteries based on a Deep Learning Algorithm," Energies, MDPI, vol. 12(4), pages 1-21, February.
    15. Marco Ratto, 2008. "Analysing DSGE Models with Global Sensitivity Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 31(2), pages 115-139, March.
    16. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    17. Jouini, Nizar & Rebei, Nooman, 2012. "The Welfare Implications of Services Liberalization in a Developing Country," Conference papers 332271, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    18. Lee E. Ohanian, 2007. "Commentary on \\"Model fit and model selection\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 361-370.
    19. Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," MPRA Paper 36147, University Library of Munich, Germany.
    20. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," Working Paper Series 203, Sveriges Riksbank (Central Bank of Sweden).
    21. Shah, Sayar Ahmad & Garg, Bhavesh, 2023. "Identifying efficient policy mix under different targeting regimes: A tale of two crises," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 975-994.
    22. Stephane Auray & Paul Gomme & Shen Guo, 2011. "Nominal Rigidities, Monetary Policy and Pigou Cycles," Working Papers 11007, Concordia University, Department of Economics, revised Nov 2011.
    23. Koloch, Grzegorz, 2016. "Plausibility of big shocks within a linear state space setting with skewness," MPRA Paper 69001, University Library of Munich, Germany.
    24. Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
    25. Barthélemy, Jean & Clerc, Laurent & Marx, Magali, 2011. "A two-pillar DSGE monetary policy model for the euro area," Economic Modelling, Elsevier, vol. 28(3), pages 1303-1316, May.
    26. Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account For The Influence Of Foreign Disturbances?," CAMA Working Papers 2006-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Landon-Lane, John & Occhino, Filippo, 2008. "Bayesian estimation and evaluation of the segmented markets friction in equilibrium monetary models," Journal of Macroeconomics, Elsevier, vol. 30(1), pages 444-461, March.
    28. William Ginn & Marc Pourroy, 2022. "The Contribution of Food Subsidy Policy to Monetary Policy in India," Post-Print hal-02944209, HAL.
    29. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    30. Christoffel, Kai Philipp & Küster, Keith & Linzert, Tobias, 2006. "Identifying the role of labor markets for monetary policy in an estimated DSGE model," Discussion Paper Series 1: Economic Studies 2006,17, Deutsche Bundesbank.
    31. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    32. Marco Ratto & Werner Roeger, 2005. "An estimated open-economy model for the EURO area," Computing in Economics and Finance 2005 84, Society for Computational Economics.
    33. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
    34. Giovanni Di Bartolomeo & Lorenza Rossi & Massimiliano Tancioni, 2007. "Monetary Policy, Rule-of-Thumb Consumers and External Habits: An International Comparison," Working Papers 0727, University of Crete, Department of Economics.
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    36. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non‐stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, September.
    37. Cavallari, Lilia, 2022. "The international real business cycle when demand matters," Journal of Macroeconomics, Elsevier, vol. 73(C).
    38. Houssa, Romain & Mohimont, Jolan & Otrok, Christopher, 2023. "Commodity exports, financial frictions, and international spillovers," European Economic Review, Elsevier, vol. 158(C).
    39. Xue-Zhong He & Youwei Li, 2015. "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series 364, Quantitative Finance Research Centre, University of Technology, Sydney.
    40. Jean-Guillaume Sahuc & Stéphane Moyen, 2008. "Le modèle d'équilibre général de la « Nouvelle synthèse » : quelles hypothèses retenir ?," Économie et Prévision, Programme National Persée, vol. 183(2), pages 15-34.
    41. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
    42. Yépez, Carlos A., 2018. "Financial intermediation and real estate prices impact on business cycles: A Bayesian analysis," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 138-160.
    43. Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo Sampling for DSGE Models," NBER Working Papers 19152, National Bureau of Economic Research, Inc.
    44. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    45. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
    46. Sylvain Barde, 2015. "A Practical, Universal, Information Criterion over Nth Order Markov Processes," Studies in Economics 1504, School of Economics, University of Kent.
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    48. Eric Jondeau & Jean-Guillaume Sahuc, 2005. "Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model," Documents de recherche 05-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    49. Marto, Ricardo, 2013. "Assessing the Impacts of Non-Ricardian Households in an Estimated New Keynesian DSGE Model," MPRA Paper 55647, University Library of Munich, Germany.
    50. Kenneth Kasa & In-Koo Cho, 2011. "Learning and Model Validation," 2011 Meeting Papers 1086, Society for Economic Dynamics.
    51. Wieland, Volker & Taylor, John B., 2010. "Surprising comparative properties of monetary models: Results from a new model database," Working Paper Series 1261, European Central Bank.
    52. Nishino, Haruhisa & Kakamu, Kazuhiko, 2015. "A random walk stochastic volatility model for income inequality," Japan and the World Economy, Elsevier, vol. 36(C), pages 21-28.
    53. Ferre De Graeve, 2006. "The External Finance Premium and the Macroeconomy: US post-WWII Evidence," Computing in Economics and Finance 2006 84, Society for Computational Economics.
    54. Kai Christoffel & Keith Kuester & Tobias Linzert, 2009. "The role of labor markets for Euro area monetary policy," Working Papers 09-1, Federal Reserve Bank of Philadelphia.
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    58. Pablo A. Acosta & Emmanuel K. K. Lartey & Federico S. Mandelman, 2007. "Remittances and the Dutch disease," FRB Atlanta Working Paper 2007-08, Federal Reserve Bank of Atlanta.
    59. NANA DAVIES, Charles, 2018. "Sources of Macroeconomic Fluctuations in a Franc Zone Country: A Bayesian estimation," MPRA Paper 99998, University Library of Munich, Germany.
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    61. Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017. "The Empirical Implications of the Interest-Rate Lower Bound," American Economic Review, American Economic Association, vol. 107(7), pages 1971-2006, July.
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      • Stéphane Adjemian & Houtan Bastani & Michel Juillard & Frédéric Karamé & Ferhat Mihoubi & Willi Mutschler & Johannes Pfeifer & Marco Ratto & Sébastien Villemot & Normann Rion, 2023. "Dynare: Reference Manual Version 5," PSE Working Papers hal-04219920, HAL.
      • Stéphane Adjemian & Houtan Bastani & Michel Juillard & Frédéric Karamé & Ferhat Mihoubi & Willi Mutschler & Johannes Pfeifer & Marco Ratto & Sébastien Villemot & Normann Rion, 2023. "Dynare: Reference Manual Version 5," Working Papers hal-04219920, HAL.
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    277. John Landon-Lane & Filippo Occhino, 2005. "Estimation and Evaluation of a Segmented Markets Monetary Model," Departmental Working Papers 200505, Rutgers University, Department of Economics.
    278. Marco Ratto & Werner Roeger & Jan in 't Veld, 2010. "Using a DSGE model to look at the recent boom-bust cycle in the US," European Economy - Economic Papers 2008 - 2015 397, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    279. Martin Fukac & Adrian Pagan, 2006. "Issues In Adopting Dsge Models For Use In The Policy Process," CAMA Working Papers 2006-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    280. Ana Maria Santacreu, 2005. "Reaction functions in a small open economy: What role for non-traded inflation?," Reserve Bank of New Zealand Discussion Paper Series DP2005/04, Reserve Bank of New Zealand.
    281. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," NBER Working Papers 16401, National Bureau of Economic Research, Inc.
    282. Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2021. "Adaptive Importance Sampling for DSGE Models," BEMPS - Bozen Economics & Management Paper Series BEMPS84, Faculty of Economics and Management at the Free University of Bozen.
    283. Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
    284. NANA DAVIES, Charles, 2020. "Land Collateral and Rule-of-Thumb Households in a Franc Zone Country: A Bayesian Appraisal," MPRA Paper 100000, University Library of Munich, Germany.
    285. Lubik, Thomas A. & Schorfheide, Frank, 2007. "Do central banks respond to exchange rate movements? A structural investigation," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1069-1087, May.
    286. Milan Bouda, 2014. "The New Keynesian Dsge Model and Alternative Monetary Policy Rules in the Czech Republic," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2014(1), pages 41-55.
    287. James H. Stock & Mark W. Watson, 2017. "Twenty Years of Time Series Econometrics in Ten Pictures," Journal of Economic Perspectives, American Economic Association, vol. 31(2), pages 59-86, Spring.
    288. Alexandros P. Bechlioulis & Sophocles N. Brissimis, 2021. "Are household consumption decisions affected by past due unsecured debt? Theory and evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3040-3053, April.
    289. Yao, Fang, 2010. "Aggregate hazard function in price-setting: A bayesian analysis using macro data," SFB 649 Discussion Papers 2010-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    290. Eran Yashiv & Renato Faccini, 2014. "Inflation Dynamics and Marginal Costs: the Crucial Role of Hiring and Investment Frictions," 2014 Meeting Papers 178, Society for Economic Dynamics.
    291. Romain Houssa & Christopher Otrok & Radu Puslenghea, 2010. "A Model for Monetary Policy Analysis for Sub-Saharan Africa," Open Economies Review, Springer, vol. 21(1), pages 127-145, February.
    292. Francesco Zanetti & Haroon Mumtaz, 2013. "The Effect of Labor and Financial Frictions on Aggregate Fluctuations," Economics Series Working Papers 690, University of Oxford, Department of Economics.
    293. Mr. Shekhar Aiyar & Mr. Ivan Tchakarov, 2008. "Much Ado About Nothing? Estimating the Impact of a U.S. Slowdown on Thai Growth," IMF Working Papers 2008/140, International Monetary Fund.
    294. Roland Straub & Günter Coenen, 2005. "Non-Ricardian Households and Fiscal Policy in an Estimated DSGE Model of the Euro Area," Computing in Economics and Finance 2005 102, Society for Computational Economics.
    295. Castañeda, Pablo & Castro, Rubén & Fajnzylber, Eduardo & Medina, Juan Pablo & Villatoro, Félix, 2021. "Saving for the future: Evaluating the sustainability and design of Pension Reserve Funds," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    296. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," FRB Atlanta Working Paper 2002-14, Federal Reserve Bank of Atlanta.
    297. Stefania Villa & Jing Yang, 2011. "Financial intermediaries in an estimated DSGE model for the United Kingdom," Bank of England working papers 431, Bank of England.
    298. Kuchta,, Zbigniew & Piłat, Katarzyna, . "Zastosowanie modelu realnego cyklu koniunkturalnego Hansena do gospodarki Polski," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2010(11-12).
    299. Kawther Alimi & Mohamed Chakroun, 2022. "Wage Rigidity Impacts on Unemployment and Inflation Persistence in Tunisia: Evidence from an Estimated DSGE Model," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 474-500, March.
    300. Gao, Xiaodan & Hnatkovska, Viktoria & Marmer, Vadim, 2012. "Limited Participation in International Business Cycle Models: A Formal Evaluation," Microeconomics.ca working papers vadim_marmer-2012-1, Vancouver School of Economics, revised 21 Dec 2013.
    301. Felipe Morandé L. & Mauricio Tejada G., 2009. "Persistent Supply Shocks: A Pain in the Neck for Central Banks?," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(3), pages 25-58, December.
    302. Zams, Bastian Muzbar, 2021. "Frictions and empirical fit in a DSGE model for Indonesia," Economic Modelling, Elsevier, vol. 99(C).
    303. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
    304. Rahul Anand & Ding Ding & Mr. Volodymyr Tulin, 2014. "Food Inflation in India: The Role for Monetary Policy," IMF Working Papers 2014/178, International Monetary Fund.
    305. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.).
    306. Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper RWP 07-10, Federal Reserve Bank of Kansas City.
    307. Ratto M. & Roeger W. & in’t Veld J. & Girardi R., 2005. "An estimated new Keynesian dynamic stochastic general equilibrium model of the Euro area," Macroeconomics 0503002, University Library of Munich, Germany.
    308. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
    309. Marcel Förster, 2014. "An Empirical Analysis of Business Cycles in a New Keynesian Model with Inventories," MAGKS Papers on Economics 201413, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    310. Adolfson, Malin & Lindé, Jesper & Villani, Mattias, 2005. "Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model," Working Paper Series 190, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
    311. Giacomini, Raffaella & Ragusa, Giuseppe, 2014. "Theory-coherent forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 145-155.
    312. Frank Schorfheide & Kenneth I. Wolpin, 2012. "On the Use of Holdout Samples for Model Selection," American Economic Review, American Economic Association, vol. 102(3), pages 477-481, May.
    313. Matteo Ciccarelli, 2001. "Testing Restrictions In Normal Data Models Using Gibbs Sampling," Working Papers. Serie AD 2001-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    314. Ma, Yong, 2016. "Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China," Economic Systems, Elsevier, vol. 40(3), pages 461-480.
    315. Kano, Takashi & 加納, 隆, 2019. "Exchange Rates and Fundamentals: A General Equilibrium Exploration," Discussion paper series HIAS-E-19, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    316. Pelin Ilbas, 2007. "Revealing the preferences of the US Federal Reserve," Working Paper 2008/21, Norges Bank, revised 12 Dec 2008.
    317. Takashi Kano, 2008. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect ( Revised version of CARF-F-101(2007); Revised version subsequently published in "Journal of International Economics", 2009, 78, p72-85. )," CARF F-Series CARF-F-124, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    318. Frank Schorfheide & Francis X. Diebold & Marco Del Negro, 2008. "Priors from Frequency-Domain Dummy Observations," 2008 Meeting Papers 310, Society for Economic Dynamics.
    319. Fujiwara, Ippei, 2007. "Is there a direct effect of money?: Money's role in an estimated monetary business cycle model of the Japanese economy," Japan and the World Economy, Elsevier, vol. 19(3), pages 329-337, August.
    320. Omotosho, Babatunde S., 2019. "Business Cycle Fluctuations in Nigeria: Some Insights from an Estimated DSGE Model," MPRA Paper 98351, University Library of Munich, Germany.
    321. Mu-Chun Wang, 2009. "Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(2), pages 167-182.
    322. Junhee Lee & Joonhyuk Song, 2009. "Nature of Oil Price Shocks and Monetary Policy," NBER Working Papers 15306, National Bureau of Economic Research, Inc.
    323. Daniil Lomonosov, 2023. "Shocks of Business Activity and Specific Shocks to Oil Market in DSGE Model of Russian Economy and Their Influence Under Different Monetary Policy Regimes," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 44-79, December.
    324. Yasuo Hirose & Saori Naganuma, 2010. "Structural Estimation Of The Output Gap: A Bayesian Dsge Approach," Economic Inquiry, Western Economic Association International, vol. 48(4), pages 864-879, October.
    325. Ginn, William & Pourroy, Marc, 2020. "Should a central bank react to food inflation? Evidence from an estimated model for Chile," Economic Modelling, Elsevier, vol. 90(C), pages 221-234.
    326. Ruge-Murcia, Francisco J., 2007. "Methods to estimate dynamic stochastic general equilibrium models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2599-2636, August.
    327. Pelin Ilbas, 2008. "Estimation of monetary policy preferences in a forward-looking model : a Bayesian approach," Working Paper Research 129, National Bank of Belgium.
    328. In-Koo Cho & Ken Kasa, 2012. "Model Validation and Learning," Discussion Papers dp12-07, Department of Economics, Simon Fraser University.
    329. Ma, Yong & Li, Shushu, 2015. "Bayesian estimation of China's monetary policy transparency: A New Keynesian approach," Economic Modelling, Elsevier, vol. 45(C), pages 236-248.
    330. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics 2014-615, Australian National University, College of Business and Economics, School of Economics.
    331. Hirose, Yasuo, 2007. "Sunspot fluctuations ulnder zero nominal interest rates," Economics Letters, Elsevier, vol. 97(1), pages 39-45, October.
    332. Cai, Michael & Del Negro, Marco & Giannoni, Marc P. & Gupta, Abhi & Li, Pearl & Moszkowski, Erica, 2019. "DSGE forecasts of the lost recovery," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1770-1789.
    333. Tai-kuang Ho, 2014. "Dilemma of the Silver Standard Economies: The Case of China," Southern Economic Journal, John Wiley & Sons, vol. 81(2), pages 519-534, October.
    334. Cowell, Frank & Flachaire, Emmanuel & Bandyopadhyay, Sanghamitra, 2009. "Goodness-of-fit: an economic approach," LSE Research Online Documents on Economics 25433, London School of Economics and Political Science, LSE Library.
    335. Rebei, Nooman, 2014. "What (really) accounts for the fall in hours after a technology shock?," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 330-352.
    336. Bamadev Paudel, 2017. "Alleviating Poverty through Job Creation: Quantity Equation of Money may Come into Play," Journal of Development Innovations, KarmaQuest International, vol. 1(1), pages 84-113, February.
    337. ramona Jimborean & Ferroni, F., 2010. "Did Tax Policies mitigate US Business Cycles?," Working papers 296, Banque de France.
    338. Rangan Gupta & Xiaojin Sun, 2022. "Time-Varying Parameter Four-Equation DSGE Model," Working Papers 202234, University of Pretoria, Department of Economics.
    339. Medina, Juan Pablo, 2021. "Mining development and macroeconomic spillovers in Chile," Resources Policy, Elsevier, vol. 70(C).
    340. Riccardo Cristadoro & Andrea Gerali & Stefano Neri & Massimiliano Pisani, 2006. "Nominal Rigidities in an Estimated Two Country," Computing in Economics and Finance 2006 162, Society for Computational Economics.
    341. Adem Feto & M. K. Jayamohan & Arnis Vilks, 2023. "Applicability and Accomplishments of DSGE Modeling: A Critical Review," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(2), pages 213-239, September.
    342. Charles A. E. Goodhart & Carolina Osorio & Dimitrios P. Tsomocos, 2009. "Analysis of Monetary Policy and Financial Stability: A New Paradigm," CESifo Working Paper Series 2885, CESifo.
    343. Giovanni Bartolomeo & Paolo D’Imperio, 2025. "A macroeconomic assessment of the Italian Recovery and Resilience Plan from administrative data," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 42(2), pages 501-547, July.
    344. Dilip Nachane, 2017. "Dynamic Stochastic General Equilibrium (DSGE) Modelling :Theory And Practice," Working Papers id:11699, eSocialSciences.
    345. Thomas Lubik & Frank Schorfheide, 2005. "A Bayesian Look at New Open Economy Macroeconomics," Economics Working Paper Archive 521, The Johns Hopkins University,Department of Economics.
    346. Fernanda Cuitiño & Juan Pablo Medina & Laura Zacheo, 2021. "Exchange Rate Pass-Through Conditional on Shocks and Monetary Policy Credibility. The Case of Uruguay," Documentos de trabajo 2021008, Banco Central del Uruguay.
    347. Ding Ding & John Nelmes & Roshan Perera & Mr. Volodymyr Tulin, 2014. "Estimating Sri Lanka’s Potential Output," IMF Working Papers 2014/040, International Monetary Fund.
    348. Lee E. Ohanian, 2010. "The Economic Crisis from a Neoclassical Perspective," Journal of Economic Perspectives, American Economic Association, vol. 24(4), pages 45-66, Fall.
    349. Sargent, Thomas J., 2024. "Critique and consequence," Journal of Monetary Economics, Elsevier, vol. 141(C), pages 2-13.
    350. Lacina Balma & Daniel Gurara & Mthuli Ncube, 2019. "Working Paper 320 - Hands Off Oil Revenues? Public Investment and Cash Transfers," Working Paper Series 2446, African Development Bank.
    351. Lee, Jiho, 2012. "Are structural parameters of DSGE models stable in Korea?," Journal of Asian Economics, Elsevier, vol. 23(1), pages 50-59.
    352. Günter Coenen & Mr. Roland Straub, 2005. "Does Government Spending Crowd In Private Consumption? Theory and Empirical Evidence for the Euro Area," IMF Working Papers 2005/159, International Monetary Fund.
    353. Nikolay Hristov, 2016. "The Ifo DSGE Model for the German Economy," ifo Working Paper Series 210, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.

Software components

  1. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Code and data files for "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Computer Codes 20-14, Review of Economic Dynamics.
    See citations under working paper version above.Sorry, no citations of software components recorded.

Chapters

  1. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    See citations under working paper version above.
  2. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    See citations under working paper version above.
  3. Marco Del Negro & Frank Schorfheide, 2009. "Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 13, pages 511-562, Central Bank of Chile.
    See citations under working paper version above.
  4. Frank Schorfheide, 2008. "Comment on "How Structural Are Structural Parameters?"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 149-163, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jan Čapek, 2016. "Structural Changes in the Czech Economy: A DSGE Model Approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(1), pages 37-52.
    2. Jan Capek, 2014. "Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(6), pages 457-475, December.
    3. Martin Slanicay & Jan Čapek & Miroslav Hloušek, 2016. "Some Notes On Problematic Issues In Dsge Models," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 61(210), pages 79-100, July - Se.

  5. Thomas Lubik & Frank Schorfheide, 2006. "A Bayesian Look at New Open Economy Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 313-382, National Bureau of Economic Research, Inc.
    See citations under working paper version above.

Books

  1. Edward P. Herbst & Frank Schorfheide, 2016. "Bayesian Estimation of DSGE Models," Economics Books, Princeton University Press, edition 1, number 10612, December.

    Cited by:

    1. Alexander Falter & Dennis Wesselbaum, 2018. "Correlated shocks in estimated DSGE models," Economics Bulletin, AccessEcon, vol. 38(4), pages 2026-2036.
    2. Christopher J. Gust & Edward P. Herbst & J. David López-Salido, 2018. "Forward Guidance with Bayesian Learning and Estimation," Finance and Economics Discussion Series 2018-072, Board of Governors of the Federal Reserve System (U.S.).
    3. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
    4. Hecker, Dominik & Wolters, Maik H., 2025. "Nonlinear estimation of a New Keynesian model with endogenous inflation de-anchoring," IMFS Working Paper Series 222, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    5. Lunardelli, Andre, 2025. "Fairness, ambiguity, wage markups and disinflation costs," MPRA Paper 126505, University Library of Munich, Germany.
    6. Zhang, Jinyu & Zhang, Qiaosen & Li, Yong & Wang, Qianchao, 2023. "Sequential Bayesian inference for agent-based models with application to the Chinese business cycle," Economic Modelling, Elsevier, vol. 126(C).
    7. Tyler Atkinson & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "The Zero Lower Bound and Estimation Accuracy," Working Papers 1804, Federal Reserve Bank of Dallas.
    8. Banza Mukalay, M’pya, 2021. "Efficacité de la politique budgétaire en RDC," Dynare Working Papers 68, CEPREMAP.
    9. Sanjay R. Singh & Pablo Cuba-Borda, 2019. "Understanding Persistent Stagnation," Working Papers 329, University of California, Davis, Department of Economics.
    10. Yasuo Hirose & Takeki Sunakawa, 2019. "The Natural Rate of Interest in a Nonlinear DSGE Model," Working Papers e128, Tokyo Center for Economic Research.
    11. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    12. Alexander Richter & Nathaniel Throckmorton, 2018. "A New Way to Quantify the Effect of Uncertainty," 2018 Meeting Papers 565, Society for Economic Dynamics.
    13. Kumwenda, Thomson Nelson, 2022. "Fiscal Multipliers and Evidence on Effectiveness of Fiscal Policy in Malawi," Dynare Working Papers 73, CEPREMAP.
    14. Gianni Amisano & Oreste Tristani, 2019. "Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates," Finance and Economics Discussion Series 2019-024, Board of Governors of the Federal Reserve System (U.S.).
    15. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    16. Samuel Kwesi Dunyo & Saran Sarntisart, 2024. "The impact of COVID‐19 pandemic on the Thai economy and the effectiveness of monetary policy: A Bayesian DSGE model approach," Asian Economic Journal, East Asian Economic Association, vol. 38(1), pages 3-34, March.
    17. Matthew Ferranti, 2022. "Estimating the Currency Composition of Foreign Exchange Reserves," Papers 2206.13751, arXiv.org, revised May 2023.
    18. Alexander Mihailov & Giovanni Razzu & Zhe Wang, 2019. "Heterogeneous effects of single monetary policy on unemployment rates in the largest EMU economies," Economics Discussion Papers em-dp2019-07, Department of Economics, University of Reading.
    19. Stephen McKnight & Alexander Mihailov & Antonio Pompa Rangel, 2016. "What Do Latin American Inflation Targeters Care About? A Comparative Bayesian Estimation of Central Bank Preferences," Economics Discussion Papers em-dp2016-12, Department of Economics, University of Reading.
    20. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    21. Hee Soo (test record) Kim & Christian Matthes & Toan Phan, 2011. "Extreme Weather and the Macroeconomy," Working Paper 21-14, Federal Reserve Bank of Richmond.
    22. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    23. Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017. "Bayesian estimation of agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
    24. Manuel Arellano & Stéphane Bonhomme, 2016. "Nonlinear panel data methods for dynamic heterogeneous agent models," CeMMAP working papers CWP51/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    25. Majid Al-Sadoon & Piotr Zwiernik, 2019. "The identification problem for linear rational expectations models," Economics Working Papers 1669, Department of Economics and Business, Universitat Pompeu Fabra.
    26. Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017. "The Empirical Implications of the Interest-Rate Lower Bound," American Economic Review, American Economic Association, vol. 107(7), pages 1971-2006, July.
    27. Yasufumi Gemma & Takushi Kurozumi & Mototsugu Shintani, 2017. "Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve," IMES Discussion Paper Series 17-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
    28. Gulan, Adam, 2018. "Paradise lost? A brief history of DSGE macroeconomics," Bank of Finland Research Discussion Papers 22/2018, Bank of Finland.
    29. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Staff Reports 893, Federal Reserve Bank of New York.
    30. Daniel Fehrle & Christopher Heiberger & Johannes Huber, 2025. "Polynomial Chaos Expansion: Efficient Evaluation and Estimation of Computational Models," Computational Economics, Springer;Society for Computational Economics, vol. 65(2), pages 1083-1146, February.
    31. Dominik Hecker & Maik Wolters & Maik H. Wolters, 2025. "Nonlinear Estimation of a New Keynesian Model with Endogenous Inflation De-Anchoring," CESifo Working Paper Series 12280, CESifo.
    32. Wang, Li-Hui & Li, Fu-An, 2024. "Regulatory Effects of the Combinations of Aggregate and Structural Monetary Policy Instruments: an application of New Keynesian DSGE model to China," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 1120-1143.
    33. van Dijk Herman K., 2024. "Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 155-176, April.
    34. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    35. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
    36. Na, Seunghoon & Oh, Hyunseung, 2025. "Computerizing households and the role of technology shocks in consumer durables," Journal of Macroeconomics, Elsevier, vol. 83(C).
    37. Gökhan Ider & Alexander Kriwoluzky & Frederik Kurcz & Ben Schumann, 2024. "Friend, Not Foe - Energy Prices and European Monetary Policy," Discussion Papers of DIW Berlin 2089, DIW Berlin, German Institute for Economic Research.
    38. Yoosoon Chang & Junior Maih & Fei Tan, 2018. "State Space Models with Endogenous Regime Switching," Working Papers No 9/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    39. Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2017. "Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank," Tinbergen Institute Discussion Papers 17-058/III, Tinbergen Institute.
    40. Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," Working Papers 789, DNB.
    41. Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2018. "On the Comparison of Interval Forecasts," PIER Working Paper Archive 18-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 02 Aug 2018.
    42. Laureys, Lien & Meeks, Roland & Wanengkirtyo, Boromeus, 2021. "Optimal simple objectives for monetary policy when banks matter," European Economic Review, Elsevier, vol. 135(C).
    43. Wolters, Maik Hendrik, 2016. "How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates," VfS Annual Conference 2016 (Augsburg): Demographic Change 145812, Verein für Socialpolitik / German Economic Association.
    44. Hirokazu Mizobata & Hiroki Toyoda, 2016. "Business Cycles, Asset Prices, and the Frictions of Capital and Labor," KIER Working Papers 953, Kyoto University, Institute of Economic Research.
    45. Kwangyong Park, 2018. "Central Bank Credibility and Monetary Policy," Working Papers 2018-45, Economic Research Institute, Bank of Korea.
    46. Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2018. "Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan," Working Papers e120, Tokyo Center for Economic Research.
    47. Richter, Alexander W. & Throckmorton, Nathaniel A., 2016. "Is Rotemberg pricing justified by macro data?," Economics Letters, Elsevier, vol. 149(C), pages 44-48.
    48. Punnoose Jacob & Thomas van Florenstein Mulder, 2019. "The flattening of the Phillips curve: Rounding up the suspects," Reserve Bank of New Zealand Analytical Notes series AN2019/06, Reserve Bank of New Zealand.
    49. Qazi Haque & Nicolas Groshenny & Mark Weder, 2019. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Discussion / Working Papers 19-11, The University of Western Australia, Department of Economics.
    50. Kurt F. Lewis & Francisco Vazquez-Grande, 2017. "Measuring the Natural Rate of Interest : A Note on Transitory Shocks," Finance and Economics Discussion Series 2017-059, Board of Governors of the Federal Reserve System (U.S.).
    51. Jacob, Punnoose & Uusküla, Lenno, 2019. "Deep habits and exchange rate pass-through," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 67-89.
    52. Coenen, Günter & Karadi, Peter & Schmidt, Sebastian & Warne, Anders, 2018. "The New Area-Wide Model II: an extended version of the ECB’s micro-founded model for forecasting and policy analysis with a financial sector," Working Paper Series 2200, European Central Bank.
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