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Citations for "A, B, C’s, (and D’s) for understanding VARs"

by Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Thomas J. Sargent

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  1. G. Fagiolo & A. Roventini., 2009. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 6.
  2. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2015. "Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results," Cardiff Economics Working Papers E2015/8, Cardiff University, Cardiff Business School, Economics Section.
  3. Glogowsky, Ulrich & Cagala, Tobias & Rincke, Johannes & Grimm, Veronika, 2014. "Cooperation and Trustworthiness in Repeated Interaction," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100437, Verein für Socialpolitik / German Economic Association.
  4. Giannone, Domenico & Reichlin, Lucrezia, 2006. "Does Information Help Recovering Structural Shocks from Past Observations?," CEPR Discussion Papers 5725, C.E.P.R. Discussion Papers.
  5. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
  6. Born, Benjamin & Juessen, Falko & Müller, Gernot J., 2013. "Exchange rate regimes and fiscal multipliers," Journal of Economic Dynamics and Control, Elsevier, vol. 37(2), pages 446-465.
  7. Pablo Guerron-quintana & Atsushi Inoue & Lutz Kilian, 2014. "Impulse response matching estimators for DSGE models," Vanderbilt University Department of Economics Working Papers 14-00014, Vanderbilt University Department of Economics.
  8. Matteo Barigozzi & Marco Capasso, 2008. "Nonfundamental Representations of the Relation between Technology Shocks and Hours Worked," LEM Papers Series 2008/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  9. Leung, Charles Ka Yui & Shi, Song & Ho Tang, Edward Chi, 2013. "Commodity house prices," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 875-887.
  10. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  11. Franchi, Massimo & Vidotto, Anna, 2013. "A check for finite order VAR representations of DSGE models," Economics Letters, Elsevier, vol. 120(1), pages 100-103.
  12. Morris, Stephen D., 2016. "VARMA representation of DSGE models," Economics Letters, Elsevier, vol. 138(C), pages 30-33.
  13. Pierre L. Siklos, 2007. "The Fed's Reaction to the Stock Market During the Great Depression: Fact or Artefact?," Working Paper Series 33_07, The Rimini Centre for Economic Analysis.
  14. Monti, Francesca, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Bank of England working papers 527, Bank of England.
  15. Forni, Mario & Gambetti, Luca, 2010. "Fiscal Foresight and the Effects of Goverment Spending," CEPR Discussion Papers 7840, C.E.P.R. Discussion Papers.
  16. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2013. "Noise Bubbles," CEPR Discussion Papers 9532, C.E.P.R. Discussion Papers.
  17. Fabio Canova, 2016. "Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Non-Fundamentalness," Working Papers 0042, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  18. Cristiano Cantore & Paul Levine & Joseph Pearlman & Bo Yang, 2014. "CES Technology and Business Cycle Fluctuations," School of Economics Discussion Papers 0414, School of Economics, University of Surrey.
  19. Jeong-Joon Lee, 2007. "The Adjusted Solow Residual and Asset Returns," Eastern Economic Journal, Eastern Economic Association, vol. 33(2), pages 231-255, Spring.
  20. Kociecki, Andrzej, 2013. "Bayesian Approach and Identification," MPRA Paper 46538, University Library of Munich, Germany.
  21. Kascha, Christian & Mertens, Karel, 2009. "Business cycle analysis and VARMA models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 267-282, February.
  22. Pablo A. Acosta & Emmanuel K. K. Lartey & Federico S. Mandelman, 2007. "Remittances and the Dutch disease," FRB Atlanta Working Paper 2007-08, Federal Reserve Bank of Atlanta.
  23. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
  24. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008. "Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?," NBER Working Papers 14430, National Bureau of Economic Research, Inc.
  25. ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 2010-08, Universite de Montreal, Departement de sciences economiques.
  26. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008. "A review of nonfundamentalness and identification in structural VAR models," Working Paper Series 0922, European Central Bank.
  27. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
  28. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," UFAE and IAE Working Papers 862.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  29. Guarda, Paolo & Jeanfils, Philippe, 2012. "Macro-Financial Linkages: evidence from country-specific VARs," CEPR Discussion Papers 8875, C.E.P.R. Discussion Papers.
  30. Mardi Dungey & Renee Fry, 2007. "The Identification Of Fiscal And Monetary Policy In A Structural Var," CAMA Working Papers 2007-29, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  31. Atanas Christev & Yue Kang, 2015. "Money and Inflation: Is Monetary Policy Useful?," Manchester School, University of Manchester, vol. 83, pages 30-50, 09.
  32. Thomai Filippeli & Konstantinos Theodoridis, 2014. "DSGE Priors for BVAR Models," Working Papers 713, Queen Mary University of London, School of Economics and Finance.
  33. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Thomas J. Sargent, 2005. "A, B, C’s, (and D’s) for understanding VARs," FRB Atlanta Working Paper 2005-09, Federal Reserve Bank of Atlanta.
  34. Todd B. Walker & Eric M. Leeper & Susan S. Yang, 2012. "Fiscal Foresight and Information Flows," IMF Working Papers 12/153, International Monetary Fund.
  35. Syed Abul Basher & Alfred Haug & Perry Sadorsky, 2010. "Oil Prices, Exchange Rates and Emerging Stock Markets," Working Papers 1014, University of Otago, Department of Economics, revised Sep 2010.
  36. Luciana Juvenal & Ivan Petrella, 2015. "Speculation in the Oil Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 621-649, 06.
  37. Alexander Meyer-Gohde & Daniel Neuhoff, 2015. "Generalized Exogenous Processes in DSGE: A Bayesian Approach," SFB 649 Discussion Papers SFB649DP2015-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  38. Shen, Wenyi, 2015. "News, disaster risk, and time-varying uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 459-479.
  39. Paul Levine & Joseph Pearlman & Bo Yang, 2012. "Imperfect Information, Optimal Monetary Policy and Informational Consistency," School of Economics Discussion Papers 1012, School of Economics, University of Surrey.
  40. Keating, John W., 2013. "What do we learn from Blanchard and Quah decompositions of output if aggregate demand may not be long-run neutral?," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 203-217.
  41. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  42. Robert B. Barsky & Susanto Basu & Keyoung Lee, 2014. "Whither News Shocks?," NBER Chapters, in: NBER Macroeconomics Annual 2014, Volume 29, pages 225-264 National Bureau of Economic Research, Inc.
  43. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2013. "Canadian Monetary Policy Analysis using a Structural VARMA Model," Monash Econometrics and Business Statistics Working Papers 4/13, Monash University, Department of Econometrics and Business Statistics.
  44. Luiz de Mello & Diego Moccero, 2007. "Monetary Policy and Macroeconomic Stability in Latin America: The Cases of Brazil, Chile, Colombia and Mexico," OECD Economics Department Working Papers 545, OECD Publishing.
  45. Harald Uhlig, 2009. "Monetary policy in Europe vs the US: what explains the difference?," NBER Working Papers 14996, National Bureau of Economic Research, Inc.
  46. Hess Chung & Eric M. Leeper, 2007. "What Has Financed Government Debt?," NBER Working Papers 13425, National Bureau of Economic Research, Inc.
  47. Jean Boivin & Marc Giannoni, 2008. "Global Forces and Monetary Policy Effectiveness," NBER Working Papers 13736, National Bureau of Economic Research, Inc.
  48. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux: New Developments and Challenges Ahead," Sciences Po publications info:hdl:2441/dcditnq6282, Sciences Po.
  49. Canova, Fabio & Ciccarelli, Matteo, 2013. "Panel vector autoregressive models: a survey," Working Paper Series 1507, European Central Bank.
  50. Stelios D. Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Open Access publications 10197/7326, School of Economics, University College Dublin.
  51. 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.
  52. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2006. "Economic and VAR Shocks: What Can Go Wrong?," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 466-474, 04-05.
  53. Redl, Chris, 2015. "Noisy news and exchange rates: A SVAR approach," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 150-171.
  54. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
  55. Filippo Ferroni & Benjamin Klaus, 2015. "Euro Area business cycles in turbulent times: convergence or decoupling?," Applied Economics, Taylor & Francis Journals, vol. 47(34-35), pages 3791-3815, July.
  56. Forni, Mario & Gambetti, Luca & Sala, Luca, 2016. "VAR Information and the Empirical Validation of DSGE Models," CEPR Discussion Papers 11178, C.E.P.R. Discussion Papers.
  57. Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," 2006 Meeting Papers 479, Society for Economic Dynamics.
  58. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
  59. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
  60. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael R., 2015. "Small sample performance of indirect inference on DSGE models," CEPR Discussion Papers 10382, C.E.P.R. Discussion Papers.
  61. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW).
  62. Brad Baxter & Liam Graham & Stephen Wright, 2010. "Invertible and non-invertible information sets in linear rational expectations models," Post-Print hal-00767497, HAL.
  63. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
  64. Francisco d Nadal De Simone & Alain N. Kabundi, 2007. "France in the Global Economy; A Structural Approximate Dynamic Factor Model Analysis," IMF Working Papers 07/129, International Monetary Fund.
  65. Norhana Endut & James Morley & Pao-Lin Tien, 2015. "The Changing Transmission Mechanism of U.S. Monetary Policy," Discussion Papers 2015-03, School of Economics, The University of New South Wales.
  66. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
  67. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137 National Bureau of Economic Research, Inc.
  68. Massimo Franchi, 2013. "Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064," DSS Empirical Economics and Econometrics Working Papers Series 2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  69. Alex Haberis & Andrej Sokol, 2014. "A procedure for combining zero and sign restrictions in a VAR-identification scheme," Discussion Papers 1410, Centre for Macroeconomics (CFM).
  70. Eric M. Leeper & Alexander W. Richter & Todd B. Walker, 2012. "Quantitative Effects of Fiscal Foresight," American Economic Journal: Economic Policy, American Economic Association, vol. 4(2), pages 115-44, May.
  71. Rokon Bhuiyan, 2012. "Monetary transmission mechanisms in a small open economy: a Bayesian structural VAR approach," Canadian Journal of Economics, Canadian Economics Association, vol. 45(3), pages 1037-1061, August.
  72. Binet, Marie-Estelle & Pentecôte, Jean-Sébastien, 2015. "Macroeconomic idiosyncrasies and European monetary unification: A sceptical long run view," Economic Modelling, Elsevier, vol. 51(C), pages 412-423.
  73. Agostino Consolo & Carlo A. Favero & Alessia Paccagnini, 2007. "On the Statistical Identification of DSGE Models," Working Papers 324, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  74. Kliem, Martin & Kriwoluzky, Alexander, 2013. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?," Discussion Papers 23/2013, Deutsche Bundesbank, Research Centre.
  75. 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.
  76. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, C.E.P.R. Discussion Papers.
  77. Philip Liu & Konstantinos Theodoridis, 2012. "DSGE Model Restrictions for Structural VAR Identification," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 61-95, December.
  78. Vo Phuong Mai Le & David Meenagh & Patrick Minford & Michael Wickens & Yongdeng Xu, 2016. "Testing Macro Models by Indirect Inference: A Survey for Users," Open Economies Review, Springer, vol. 27(1), pages 1-38, February.
  79. Alfonso Mendoza Velázquez & Peter N. Smith, 2013. "Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks," CAMA Working Papers 2013-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  80. Kichian, Maral & Rumler, Fabio, 2014. "Forecasting Canadian inflation: A semi-structural NKPC approach," Economic Modelling, Elsevier, vol. 43(C), pages 183-191.
  81. Per Krusell & Alisdair McKay, 2010. "News shocks and business cycles," Economic Quarterly, Federal Reserve Bank of Richmond, issue 4Q, pages 373-397.
  82. Fabio Canova & David López-Salido & Claudio Michelacci, 2006. "On the robust effects of technology shocks on hours worked and output," Economics Working Papers 1013, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2008.
  83. Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  84. Matheson, Troy, 2010. "Assessing the fit of small open economy DSGEs," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 906-920, September.
  85. Lees, Kirdan & Matheson, Troy, 2007. "Mind your ps and qs! Improving ARMA forecasts with RBC priors," Economics Letters, Elsevier, vol. 96(2), pages 275-281, August.
  86. Patricio Jaramillo, 2009. "Estimación de Var Bayesianos para la Economía Chilena," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 24(1), pages 101-126, Junio.
  87. Daniel G. Swaine, 2008. "Estimating the Speed of Convergence in the Neoclassical Growth Model: An MLE Estimation of Structural Parameters Using the Stochastic Neoclassical Growth Model, Time-Series Data, and the Kalman Filter," Working Papers 0810, College of the Holy Cross, Department of Economics.
  88. Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
  89. De Graeve, Ferre & Karas, Alexei, 2010. "Identifying VARs through Heterogeneity: An Application to Bank Runs," Working Paper Series 244, Sveriges Riksbank (Central Bank of Sweden).
  90. Graham, Liam & Wright, Stephen, 2010. "Information, heterogeneity and market incompleteness," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 164-174, March.
  91. Barnes, Michelle L. & Gumbau-Brisa, Fabià & Lie, Denny & Olivei, Giovanni P., 2011. "Estimation of Forward-Looking Relationships in Closed Form: An Application to the New Keynesian Phillips Curve," Working Papers 2011-05, University of Sydney, School of Economics.
  92. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2007. "RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence," Reserve Bank of New Zealand Discussion Paper Series DP2007/15, Reserve Bank of New Zealand.
  93. Bussière, Matthieu & Stracca, Livio, 2010. "A decade (and a global financial crisis) after Blinder: The interaction between researchers and policy-makers in central banks," Working Paper Series 1260, European Central Bank.
  94. Mario Forni & Luca Gambetti, 2011. "Testing for Sufficient Information in Structural VARs," UFAE and IAE Working Papers 863.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  95. Robert B. Barsky & Eric R. Sims, 2009. "News Shocks," NBER Working Papers 15312, National Bureau of Economic Research, Inc.
  96. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," Working Papers 505, Barcelona Graduate School of Economics.
  97. Bårdsen, Gunnar & den Reijer, Ard & Jonasson, Patrik & Nymoen, Ragnar, 2012. "MOSES: Model for studying the economy of Sweden," Economic Modelling, Elsevier, vol. 29(6), pages 2566-2582.
  98. Luca Fanelli & Marco M. Sorge, 2015. "Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?," CSEF Working Papers 402, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  99. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Assessing Indexation-Based Calvo Inflation Models," Staff Working Papers 09-7, Bank of Canada.
  100. Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2015. "Testing for Fundamental Vector Moving Average Representations," Caepr Working Papers 2015-022 Classification-C, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  101. Todd B. Walker & Shu-Chun Susan Yang & Eric M. Leeper, 2008. "Fiscal Foresight: Analytical Issues," 2008 Meeting Papers 786, Society for Economic Dynamics.
  102. Federico Ravenna, 2006. "Vector autoregressions and reduced form representations of DSGE models," Working Papers 0619, Banco de España;Working Papers Homepage.
  103. Carmignani, Fabrizio, 2015. "Can public expenditure stabilize output? Multipliers and policy interdependence in Queensland and Australia," Economic Analysis and Policy, Elsevier, vol. 47(C), pages 69-81.
  104. NUTAHARA Kengo & INABA Masaru, 2008. "On Equivalence Results in Business Cycle Accounting," Discussion papers 08015, Research Institute of Economy, Trade and Industry (RIETI).
  105. Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2010. "Endogenous Persistence in an Estimated DSGE Model under Imperfect Information," CDMA Working Paper Series 201002, Centre for Dynamic Macroeconomic Analysis.
  106. Ruiz, Esther & Rodríguez, Alejandro, 2010. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS ws100301, Universidad Carlos III de Madrid. Departamento de Estadística.
  107. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1319-1347, October.
  108. Gumbau-Brisa, Fabià & Lie, Denny & Olivei, Giovanni P., 2011. "A Response to Cogley and Sbordone's Comment on "Closed-Form Estimates of the New Keynesian Phillips Curve with Time-Varying Trend Inflation"," Working Papers 2011-06, University of Sydney, School of Economics.
  109. Pang, Iris Ai Jao, 2010. "Forecasting Hong Kong economy using factor augmented vector autoregression," MPRA Paper 32495, University Library of Munich, Germany.
  110. Richard Harrison, 2014. "Estimating the effects of forward guidance in rational expectations models," Discussion Papers 1429, Centre for Macroeconomics (CFM).
  111. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
  112. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
  113. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo Group Munich.
  114. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc.
  115. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
  116. Massimo Franchi & Paolo Paruolo, 2012. "On ABCs (and Ds) of VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  117. Poskitt, D.S., 2016. "Vector autoregressive moving average identification for macroeconomic modeling: A new methodology," Journal of Econometrics, Elsevier, vol. 192(2), pages 468-484.
  118. Òscar Jordà & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Staff Working Papers 07-56, Bank of Canada.
  119. Adrian Pagan & Tim Robinson, 2016. "Investigating the Relationship Between DSGE and SVAR Models," NCER Working Paper Series 112, National Centre for Econometric Research.
  120. Patrick J. Kehoe, 2006. "How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach," NBER Working Papers 12575, National Bureau of Economic Research, Inc.
  121. Angela Birk, . "Method to Find the VARs Easily," Departmental Working Papers 2006-11, Department of Economics, Louisiana State University.
  122. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.
  123. Massimo Franchi & Anna Vidotto, 2012. "A simple check for VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  124. Tim Robinson, 2013. "Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies," RBA Research Discussion Papers rdp2013-06, Reserve Bank of Australia.
  125. Benjamin Born & Alexandra Peter & Johannes Pfeifer, 2011. "Fiscal News and Macroeconomic Volatility," Bonn Econ Discussion Papers bgse08_2011, University of Bonn, Germany.
  126. Marcin Kolasa & Michał Rubaszek & Paweł Skrzypczyński, 2012. "Putting the New Keynesian DSGE Model to the Real‐Time Forecasting Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1301-1324, October.
  127. Attfield, Cliff & Temple, Jonathan R.W., 2010. "Balanced growth and the great ratios: New evidence for the US and UK," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 937-956, December.
  128. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "The Research Agenda: Jesus Fernandez-Villaverde and Juan F. Rubio-Ramirez on Estimating DSGE Models," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 8(1), November.
  129. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125 National Bureau of Economic Research, Inc.
  130. Fabio Canova & David Lopez-Salido & Claudio Michelacci, 2010. "The effects of technology shocks on hours and output: a robustness analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 755-773.
  131. Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Society for Computational Economics, vol. 46(4), pages 613-626, December.
  132. Barsky, Robert B. & Sims, Eric R., 2011. "News shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 273-289.
  133. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
  134. Bao, Yong & Hua, Ying, 2014. "On the Fisher information matrix of a vector ARMA process," Economics Letters, Elsevier, vol. 123(1), pages 14-16.
  135. repec:rim:rimwps:33-07 is not listed on IDEAS
  136. Jörn Tenhofen & Guntram B. Wolff, 2010. "Does anticipation of government spending matter? The role of (non-)defense spending," Bonn Econ Discussion Papers bgse12_2010, University of Bonn, Germany.
  137. Adam Elbourne & Coen Teulings, 2011. "The potential of a small model," CPB Discussion Paper 193, CPB Netherlands Bureau for Economic Policy Analysis.
  138. Castelnuovo, Efrem, 2016. "Modest macroeconomic effects of monetary policy shocks during the great moderation: An alternative interpretation," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 300-314.
  139. Ca' Zorzi, Michele & Kolasa, Marcin & Rubaszek, Michał, 2016. "Exchange rate forecasting with DSGE models," Working Paper Series 1905, European Central Bank.
  140. Marco M. Sorge, 2013. "On the Fundamentalness of Nonfundamentalness in DSGE Models," CSEF Working Papers 340, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  141. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
  142. Nadav Ben Zeev, 2015. "WHAT CAN WE LEARN ABOUT NEWS SHOCKS FROM THE LATE 1990s AND EARLY 2000s BOOM-BUST PERIOD?," Working Papers 1501, Ben-Gurion University of the Negev, Department of Economics.
  143. Domenico Giannone & Lucrezia Reichlin, 2005. "Does information help recovering fundamental structural shocks from past observations?," Macroeconomics 0511017, EconWPA.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.