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A toolkit for analyzing nonlinear dynamic stochastic models easily

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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.

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  • Harald 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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