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A toolkit for analyzing nonlinear dynamic stochastic models easily

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  • Harald F. Uhlig

Abstract

This paper describes and implements a procedure for estimating the timing interval in any linear econometric model. The procedure is applied to Taylors model of staggered contracts using annual averaged price and output data. The fit of the version of Taylors model with serially uncorrelated disturbances improves as the timing interval of the model is reduced.

Suggested Citation

  • Harald F. Uhlig, 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper / Institute for Empirical Macroeconomics 101, Federal Reserve Bank of Minneapolis.
  • Handle: RePEc:fip:fedmem:101
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    References listed on IDEAS

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    2. Kydland, Finn E & Prescott, Edward C, 1991. " The Econometrics of the General Equilibrium Approach to Business Cycles," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(2), pages 161-178.
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    17. King, Robert G. & Rebelo, Sergio T., 1993. "Low frequency filtering and real business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 207-231.
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    Keywords

    Econometric models;

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    1. Quantitative Macroeconomics and Real Business Cycles (QM&RBC)

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