Predictive likelihood comparisons with DSGE and DSGE-VAR models
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- Patrick Fève & Jean-Guillaume Sahuc, 2017. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Post-Print hal-01612699, HAL.
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"Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models,"
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- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2014. "Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models," CFS Working Paper Series 478, Center for Financial Studies (CFS).
- Negro, Marco Del & Schorfheide, Frank, 2013.
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More about this item
Keywords
Bayesian inference; forecasting; Kalman filter; Missing data; Monte Carlo integration;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2013-08-23 (Dynamic General Equilibrium)
- NEP-ECM-2013-08-23 (Econometrics)
- NEP-ETS-2013-08-23 (Econometric Time Series)
- NEP-FOR-2013-08-23 (Forecasting)
- NEP-ORE-2013-08-23 (Operations Research)
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