Plausibility of big shocks within a linear state space setting with skewness
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References listed on IDEAS
- Vasco Cúrdia & Marco Negro & Daniel L. Greenwald, 2014.
"Rare Shocks, Great Recessions,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 29(7), pages 1031-1052, November.
- Cúrdia, Vasco & Del Negro, Marco & Greenwald, Daniel L., 2012. "Rare shocks, great recessions," Staff Reports 585, Federal Reserve Bank of New York, revised 01 Jun 2013.
- Marco Del Negro & Vasco Curdia, 2012. "Rare Shocks, Great Recessions," 2012 Meeting Papers 654, Society for Economic Dynamics.
- Cúrdia, Vasco & Negro, Marco Del & Greenwald, Daniel L., 2013. "Rare Shocks, Great Recessions," Working Paper Series 2013-01, Federal Reserve Bank of San Francisco.
- Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
- Genton, Marc G. & He, Li & Liu, Xiangwei, 2001. "Moments of skew-normal random vectors and their quadratic forms," Statistics & Probability Letters, Elsevier, vol. 51(4), pages 319-325, February.
- A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
More about this item
KeywordsMaximum likelihood estimation; state space models; closed skew-normal distribution; DSGE; VAR;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-DGE-2016-03-06 (Dynamic General Equilibrium)
- NEP-ECM-2016-03-06 (Econometrics)
- NEP-ETS-2016-03-06 (Econometric Time Series)
- NEP-FOR-2016-03-06 (Forecasting)
- NEP-MAC-2016-03-06 (Macroeconomics)
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