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Identification and frequency domain quasi‐maximum likelihood estimation of linearized dynamic stochastic general equilibrium models

Citations

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Cited by:

  1. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2017. "A Monte Carlo procedure for checking identification in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 202-210.
  2. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
  3. 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.
  4. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R2, Cowles Foundation for Research in Economics, Yale University, revised Jan 2019.
  5. Stephen Morris, 2014. "The Statistical Implications of Common Identifying Restrictions for DSGE Models," 2014 Meeting Papers 738, Society for Economic Dynamics.
  6. Prosper Donovon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference under Second Inference," The School of Economics Discussion Paper Series 1705, Economics, The University of Manchester.
  7. Brinca, Pedro & Iskrev, Nikolay & Loria, Francesca, 2018. "On Identification Issues in Business Cycle Accounting Models," MPRA Paper 90250, University Library of Munich, Germany.
  8. repec:eee:econom:v:205:y:2018:i:1:p:76-111 is not listed on IDEAS
  9. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
  10. David Meenagh & Patrick Minford & Michael Wickens & Yongdeng Xu, 2019. "Testing DSGE Models by Indirect Inference: a Survey of Recent Findings," Open Economies Review, Springer, vol. 30(3), pages 593-620, July.
  11. Bai, Jushan & Wang, Peng, 2014. "Identification theory for high dimensional static and dynamic factor models," Journal of Econometrics, Elsevier, vol. 178(2), pages 794-804.
  12. Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
  13. repec:eee:ecosta:v:6:y:2018:i:c:p:44-56 is not listed on IDEAS
  14. Zhongjun Qu, 2018. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 916-932, December.
  15. Morris, Stephen D., 2016. "VARMA representation of DSGE models," Economics Letters, Elsevier, vol. 138(C), pages 30-33.
  16. Mutschler, Willi, 2014. "Identification of DSGE Models - A Comparison of Methods and the Effect of Second Order Approximation," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100598, Verein für Socialpolitik / German Economic Association.
  17. Marianna Riggi & Sergio Santoro, 2015. "On the Slope and the Persistence of the Italian Phillips Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 11(2), pages 157-197, March.
  18. Sergey Ivashchenko & Willi Mutschler, 2019. "The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models," CQE Working Papers 8319, Center for Quantitative Economics (CQE), University of Muenster.
  19. Prosper Dovonon & Alastair Hall, 2018. "The Asymptotic Properties of GMM and Indirect Inference under Second-order Identification," CIRANO Working Papers 2018s-37, CIRANO.
  20. Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
  21. Enrique Martínez-García & Mark A. Wynne, 2014. "Assessing Bayesian Model Comparison in Small Samples," Advances in Econometrics, in: Ivan Jeliazkov & Dale J. Poirier (ed.), Bayesian Model Comparison, volume 34, pages 71-115, Emerald Publishing Ltd.
  22. repec:eee:dyncon:v:99:y:2019:i:c:p:54-81 is not listed on IDEAS
  23. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2018.
  24. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  25. 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.
  26. Mutschler, Willi, 2018. "Higher-order statistics for DSGE models," Econometrics and Statistics, Elsevier, vol. 6(C), pages 44-56.
  27. repec:eee:ecolet:v:156:y:2017:i:c:p:133-137 is not listed on IDEAS
  28. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.
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