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Citations for "Mechanics of forming and estimating dynamic linear economies"

by Anderson, Evan W. & McGrattan, Ellen R. & Hansen, Lars Peter & Sargent, Thomas J.

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  1. Pelin Ilbas, 2007. "Optimal Monetary Policy Rules for the Euro Area in a DSGE Framework," Money Macro and Finance (MMF) Research Group Conference 2006 59, Money Macro and Finance Research Group.
  2. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2005. "A critique of structural VARs using real business cycle theory," Working Papers 631, Federal Reserve Bank of Minneapolis.
  3. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent, 2005. "A,B,C's (and D's)'s for Understanding VARS," Levine's Bibliography 172782000000000096, UCLA Department of Economics.
  4. Click, Reid W., 2000. "Seigniorage and conventional taxation with multiple exogenous shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1447-1479, September.
  5. Frank Hespeler, 2008. "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," Computational Economics, Society for Computational Economics, vol. 31(3), pages 207-223, April.
  6. Olivier J. Blanchard & Jean-Paul L'Huillier & Guido Lorenzoni, 2013. "News, Noise, and Fluctuations: An Empirical Exploration," American Economic Review, American Economic Association, vol. 103(7), pages 3045-70, December.
  7. Dario Caldara & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Wen Yao, 2009. "Computing DSGE Models with Recursive Preferences," PIER Working Paper Archive 09-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. Christoph Himmels & Tatiana Kirsanova, 2011. "Expectations Traps and Monetary Policy with Limited Commitment," Discussion Papers 1102, Exeter University, Department of Economics.
  9. Ondrej Kamenik, 2005. "Solving SDGE Models: A New Algorithm for the Sylvester Equation," Working Papers 2005/10, Czech National Bank, Research Department.
  10. Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan, 2004. "Comparing dynamic equilibrium models to data: a Bayesian approach," Journal of Econometrics, Elsevier, vol. 123(1), pages 153-187, November.
  11. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998. "Dynamic equilibrium economies: a framework for comparing models and data," Staff Report 243, Federal Reserve Bank of Minneapolis.
  12. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood," PIER Working Paper Archive 04-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  13. Richard Dennis & Tatiana Kirsanova, 2010. "Expectations Traps and Coordination Failures:Selecting Among Multiple Discretionary Equilibria," CAMA Working Papers 2010-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  14. Harald Uhlig, 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper / Institute for Empirical Macroeconomics 101, Federal Reserve Bank of Minneapolis.
  15. Monti, Francesca V., 2003. "Implementing optimal control in cointegrated I(1) structural VAR models," Working Paper Series 0288, European Central Bank.
  16. Peter Hoerdahl & Oreste Tristani, 2007. "Inflation risk premia in the term structure of interest rates," BIS Working Papers 228, Bank for International Settlements.
  17. Blake, Andrew P. & Kirsanova, Tatiana, 2006. "Discretionary Policy and Multiple Equilibria in LQ RE Models," MPRA Paper 21901, University Library of Munich, Germany, revised 01 Apr 2010.
  18. Richard Dennis & Kai Leitemo & Ulf Soderstrom, 2006. "Methods for Robust Control," Working Papers 307, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  19. Himmels, Christoph & Kirsanova, Tatiana, 2013. "Escaping expectation traps: How much commitment is required?," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 649-665.
  20. Jesus Fernández-Villaverde & Juan F. Rubio-Ramírez, 2001. "Comparing dynamic equilibrium economies to data," Working Paper 2001-23, Federal Reserve Bank of Atlanta.
  21. Backus, David & Ferriere, Axelle & Zin, Stanley, 2015. "Risk and ambiguity in models of business cycles," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 42-63.
  22. Bruce McGough, 2006. "Shocking Escapes," Economic Journal, Royal Economic Society, vol. 116(511), pages 507-528, 04.
  23. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
  24. Liu, Philip, 2010. "Stabilization bias for a small open economy: The case of New Zealand," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 921-935, September.
  25. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
  26. Hall, George J., 2004. "Exchange rates and casualties during the first world war," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1711-1742, November.
  27. Richard Dennis, 2007. "Model uncertainty and monetary policy," Working Paper Series 2007-09, Federal Reserve Bank of San Francisco.
  28. Jean Boivin & Marc Giannoni, 2006. "DSGE Models in a Data-Rich Environment," NBER Working Papers 12772, National Bureau of Economic Research, Inc.
  29. Pawel Kowal, 2005. "An Algorithm for Solving Arbitrary Linear Rational Expectations Model," GE, Growth, Math methods 0501001, EconWPA, revised 12 Jun 2005.
  30. Peter Hordahl & Oreste Tristani & David Vestin, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 48, Money Macro and Finance Research Group.
  31. Joseph G. Pearlman & Thomas J. Sargent, 2005. "Knowing the Forecasts of Others," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 480-497, April.
  32. Beyer, Andreas & Farmer, Roger E. A., 2006. "A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models," Working Paper Series 0586, European Central Bank.
  33. Chari, V.V. & Kehoe, Patrick J. & McGrattan, Ellen R., 2008. "Are structural VARs with long-run restrictions useful in developing business cycle theory?," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1337-1352, November.
  34. P. A. Tinsley, 1998. "Rational error correction," Finance and Economics Discussion Series 1998-37, Board of Governors of the Federal Reserve System (U.S.).
  35. Tomas Philipson & George Zanjani, 1997. "Consumption vs. Production of Insurance," NBER Working Papers 6225, National Bureau of Economic Research, Inc.
  36. SaangJoon Baak, 2000. "Heterogeneous Expectations, Volatility and Welfare," Working Papers EMS_2000_01, Research Institute, International University of Japan.
  37. Carlo A. Favero, . "Parameters´ Instability, Model Uncertainty and Optimal Monetary Policy," Working Papers 196, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  38. Dario Caldara & Jesus Fernandez-Villaverde & Juan Rubio-Ramirez & Wen Yao, 2012. "Computing DSGE Models with Recursive Preferences and Stochastic Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(2), pages 188-206, April.
  39. Linnea Polgreen & Pedro Silos, 2005. "Capital-skill complementarity and inequality: a sensitivity analysis," Working Paper 2005-20, Federal Reserve Bank of Atlanta.
  40. Ellen R. McGrattan, 2006. "Real business cycles," Staff Report 370, Federal Reserve Bank of Minneapolis.
  41. Andreas Beyer & Roger E.A. Farmer, 2005. "Measuring the Effects of Real and Monetary Shocks in a Structural New-Keynesian Model," Computing in Economics and Finance 2005 172, Society for Computational Economics.
  42. John Rust & Department of Economics & University of Wisconsin, 1994. "Using Randomization to Break the Curse of Dimensionality," Computational Economics 9403001, EconWPA, revised 04 Jul 1994.
  43. Binder, Michael & Pesaran, Hashem, 2000. "Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 325-346, March.
  44. Michel Juillard & Tarik Ocaktan, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Économie et Prévision, Programme National Persée, vol. 183(2), pages 115-126.
  45. Dennis, Richard, 2010. "How robustness can lower the cost of discretion," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 653-667, September.
  46. Sharon Kozicki & P.A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City.
  47. Favero Carlo A. & Milani Fabio, 2005. "Parameter Instability, Model Uncertainty and the Choice of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 5(1), pages 1-33, February.
  48. Pau Rabanal & Juan F. Rubio-Ramírez, 2001. "Nominal versus real wage rigidities: A Bayesian approach," Working Paper 2001-22, Federal Reserve Bank of Atlanta.
  49. SaangJoon Baak, 1999. "Heterogeneous Expectations, Market Dynamics, and Social Welfare," Computing in Economics and Finance 1999 222, Society for Computational Economics.
  50. Hamilton, James D., 2002. "On the interpretation of cointegration in the linear-quadratic inventory model," Journal of Economic Dynamics and Control, Elsevier, vol. 26(12), pages 2037-2049, October.
  51. Cosimano, Thomas F., 2008. "Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1857-1894, June.
  52. John Rust, 1997. "A Comparison of Policy Iteration Methods for Solving Continuous-State, Infinite-Horizon Markovian Decision Problems Using Random, Quasi-random, and Deterministic Discretizations," Computational Economics 9704001, EconWPA.
  53. Baak, Saang Joon, 1999. "Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1517-1543, September.
  54. Erasmus Kristoffer Kersting, 2008. "The 1980s Recession in the UK: A Business Cycle Accounting Perspective," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(1), pages 179-191, January.
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