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Citations for "Estimating Macroeconomic Models: A Likelihood Approach"

by Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez

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  1. Ricardo Reis & Vasco Curdia, 2009. "Correlated Disturbances and U.S. Business Cycles," 2009 Meeting Papers 129, Society for Economic Dynamics.
  2. Pau Rabanal & Juan Francisco Rubio-Ramirez & Vicente Tuesta Reátegui, 2010. "Cointegrated TFP Processes and International Business Cycles," Working Papers 10-11, Duke University, Department of Economics.
  3. Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.
  4. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," NBER Working Papers 14677, National Bureau of Economic Research, Inc.
  5. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
  6. Olaf Posch, 2011. "Risk premia in general equilibrium," Post-Print hal-00851860, HAL.
  7. Ohanian, Lee E. & Restrepo-Echavarria, Paulina & Wright, Mark L. J., 2015. "Bad Investments and Missed Opportunities? Postwar Capital Flows to Asia and Latin America," Working Paper Series WP-2015-8, Federal Reserve Bank of Chicago, revised 25 Nov 2013.
  8. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
  9. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
  10. Edda Zoli & Silvia Sgherri, 2009. "Euro Area Sovereign Risk During the Crisis," IMF Working Papers 09/222, International Monetary Fund.
  11. Francisco J. Ruge-Murcia, 2011. "Estimating Nonlinear DSGE Models by the Simulated Method of Moments," 2011 Meeting Papers 237, Society for Economic Dynamics.
  12. Taeyoung Doh, 2008. "Long Run Risks in the Term Structure of Interest Rates : Estimation," 2008 Meeting Papers 137, Society for Economic Dynamics.
  13. Ruge-Murcia, Francisco J., 2007. "Methods to estimate dynamic stochastic general equilibrium models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2599-2636, August.
  14. Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," Les Cahiers de Recherche 947, HEC Paris.
  15. Gianni Amisano & Oreste Tristani, 2007. "Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model," Working Paper Series 18_07, The Rimini Centre for Economic Analysis.
  16. Camilo E Tovar, 2008. "DSGE models and central banks," BIS Working Papers 258, Bank for International Settlements.
  17. William Branch & George W. Evans, 2007. "Model Uncertainty and Endogenous Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 207-237, April.
  18. Pablo A. Guerron, 2007. "What You Match Does Matter: The Effects of Data on DSGE Estimation," Working Paper Series 012, North Carolina State University, Department of Economics.
  19. Lieven Baele & Geert Bekaert & Seonghoon Cho & Koen Inghelbrecht & Antonio Moreno, 2011. "Macroeconomic Regimes," NBER Working Papers 17090, National Bureau of Economic Research, Inc.
  20. Martin Schneider & Cosmin Ilut, 2011. "Ambiguous Business Cycles," 2011 Meeting Papers 612, Society for Economic Dynamics.
  21. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2011. "Sources of macroeconomic fluctuations: A regime‐switching DSGE approach," Quantitative Economics, Econometric Society, vol. 2(2), pages 251-301, 07.
  22. BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2011. "Marginal likelihood for Markov-switching and change-point GARCH models," CORE Discussion Papers 2011013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  23. James Bullard & Aarti Singh, 2012. "Learning And The Great Moderation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 375-397, 05.
  24. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, friction, or monetary policy?," Working Paper Series 2009-01, Federal Reserve Bank of San Francisco.
  25. Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the Statistical Identification of DSGE Models," CEPR Discussion Papers 7176, C.E.P.R. Discussion Papers.
  26. Neil Shephard & Thomas Flury, 2008. "Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models," Economics Series Working Papers 413, University of Oxford, Department of Economics.
  27. Fabio Milani, 2007. "Learning and Time-Varying Macroeconomic Volatility," Working Papers 070802, University of California-Irvine, Department of Economics.
  28. Posch, Olaf, 2011. "Explaining output volatility: The case of taxation," Journal of Public Economics, Elsevier, vol. 95(11), pages 1589-1606.
  29. Leonardo Melosi, 2009. "A Likelihood Analysis of Models with Information Frictions," 2009 Meeting Papers 1034, Society for Economic Dynamics.
  30. Juan Francisco Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2005. "Markov-switching structural vector autoregressions: theory and application," FRB Atlanta Working Paper 2005-27, Federal Reserve Bank of Atlanta.
  31. Pablo Guerron-Quintana, 2010. "The implications of inflation in an estimated New-Keynesian model," Working Papers 10-2, Federal Reserve Bank of Philadelphia.
  32. Yuriy Gorodnichenko & Serena Ng, 2009. "Estimation of DSGE Models When the Data are Persistent," NBER Working Papers 15187, National Bureau of Economic Research, Inc.
  33. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  34. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
  35. Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009. "Combining VAR and DSGE forecast densities," Working Paper 2009/23, Norges Bank.
  36. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.
  37. Florian Heiss, 2008. "Sequential numerical integration in nonlinear state space models for microeconometric panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(3), pages 373-389.
  38. Foerster, Andrew T. & Rubio-Ramirez, Juan F. & Waggoner, Daniel F. & Zha, Tao, 2014. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2014-16, Federal Reserve Bank of Atlanta.
  39. Martin Andreasen, 2010. "How to Maximize the Likelihood Function for a DSGE Model," Computational Economics, Society for Computational Economics, vol. 35(2), pages 127-154, February.
  40. Michael Funke & Yu-Fu Chen, 2010. "Global warming and extreme events: Rethinking the timing and intensity of environment policy," Quantitative Macroeconomics Working Papers 21007b, Hamburg University, Department of Economics.
  41. Lafuente, Juan A. & Pérez, Rafaela & Ruiz, Jesús, 2014. "Time-varying inflation targeting after the nineties," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 400-408.
  42. 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.
  43. Olaf Posch & Timo Trimborn, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Economics Working Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
  44. Gust, Christopher J. & Lopez-Salido, J. David & Smith, Matthew E. & Herbst, Edward, 2012. "The empirical implications of the interest-rate lower bound," Finance and Economics Discussion Series 2012-83, Board of Governors of the Federal Reserve System (U.S.), revised 12 Feb 2016.
  45. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," NBER Working Papers 13166, National Bureau of Economic Research, Inc.
  46. Yingyao Hu & Matthew Shum, 2008. "Nonparametric Identification of Dynamic Models with Unobserved State Variables," Economics Working Paper Archive 543, The Johns Hopkins University,Department of Economics.
  47. repec:rim:rimwps:18-07 is not listed on IDEAS
  48. Anton A. Cheremukhin & Paulina Restrepo Echavarria, 2008. "The Labor Wedge as a Matching Friction," 2008 Meeting Papers 209, Society for Economic Dynamics.
  49. Gerald A. Carlino & Robert H. DeFina & Keith Sill, 2011. "The long and large decline in state employment growth volatility," Working Papers 11-16, Federal Reserve Bank of Philadelphia.
  50. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramirez & Martin Uribe, 2011. "Risk Matters: The Real Effects of Volatility Shocks," American Economic Review, American Economic Association, vol. 101(6), pages 2530-61, October.
  51. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
  52. Paul Pichler, 2007. "Forecasting with estimated dynamic stochastic general equilibrium models: The role of nonlinearities," Vienna Economics Papers 0702, University of Vienna, Department of Economics.
  53. Ahrens, Steffen & Hartmann, Matthias, 2014. "State-dependence vs. timedependence: An empirical multi-country investigation of price sluggishness," Kiel Working Papers 1907, Kiel Institute for the World Economy (IfW).
  54. Paulina Restrepo-Echavarria, 2010. "Endogenous Borrowing Constraints and Stagnation in Latin America," 2010 Meeting Papers 470, Society for Economic Dynamics.
  55. Pan, Qi & Li, Yong, 2013. "Testing volatility persistence on Markov switching stochastic volatility models," Economic Modelling, Elsevier, vol. 35(C), pages 45-50.
  56. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany.
  57. Burriel, Pablo & Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2009. "MEDEA: A DSGE Model for the Spanish Economy," CEPR Discussion Papers 7297, C.E.P.R. Discussion Papers.
  58. Martin M. Andreasen, 2010. "Non-linear DSGE Models and The Optimized Particle Filter," CREATES Research Papers 2010-05, Department of Economics and Business Economics, Aarhus University.
  59. Han Hong & Bruce Preston, 2008. "Bayesian Averaging, Prediction and Nonnested Model Selection," NBER Working Papers 14284, National Bureau of Economic Research, Inc.
  60. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," DEGIT Conference Papers c016_044, DEGIT, Dynamics, Economic Growth, and International Trade.
  61. Andreasen, Martin M., 2010. "Stochastic volatility and DSGE models," Economics Letters, Elsevier, vol. 108(1), pages 7-9, July.
  62. Amisano, Gianni & Tristani, Oreste, 2011. "Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations," Working Paper Series 1341, European Central Bank.
  63. Bruce Preston & Mauro Roca, 2007. "Incomplete Markets, Heterogeneity and Macroeconomic Dynamics," NBER Working Papers 13260, National Bureau of Economic Research, Inc.
  64. Renzo Orsi & Davide Raggi & Francesco Turino, 2014. "Size, Trend, and Policy Implications of the Underground Economy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(3), pages 417-436, July.
  65. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
  66. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
  67. Calvet , Laurent & Czellar, Veronika, 2013. "Through the Looking Glass: Indirect Inference via Simple Equilibria," Les Cahiers de Recherche 1048, HEC Paris.
  68. 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.
  69. Daniel Burren, 2010. "The Term Structure of Interest Rates in a New Keynesian Model with Time-Varying Macro Volatility," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 277-299, November.
  70. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
  71. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
  72. Strid, Ingvar, 2008. "Metropolis-Hastings prefetching algorithms," SSE/EFI Working Paper Series in Economics and Finance 706, Stockholm School of Economics, revised 02 Dec 2009.
  73. Gallant, A. Ronald & Giacomini, Raffaella & Ragusa, Giuseppe, 2013. "Generalized Method of Moments with Latent Variables," CEPR Discussion Papers 9692, C.E.P.R. Discussion Papers.
  74. Strid, Ingvar, 2010. "Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2814-2835, November.
  75. Mohamed, Issam A.W., 2011. "Introduction to the Macroeconomic Structure of Yemen," MPRA Paper 31782, University Library of Munich, Germany.
  76. Mohamed, Issam A.W., 2011. "Utilizing System Dynamics Models in Analyzing Macroeconomic Variables of Yemen," MPRA Paper 31692, University Library of Munich, Germany.
  77. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
  78. Steffen Ahrens & Matthias Hartmann, 2014. "State-dependence vs. Time-dependence: An Empirical Multi-Country Investigation of Price Sluggishness," Kiel Working Papers 1907, Kiel Institute for the World Economy.
  79. Stefan Avdjiev, 2016. "News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 181-197, April.
  80. Nicolas Petrosky-Nadeau & Lu Zhang, 2013. "Solving the DMP Model Accurately," NBER Working Papers 19208, National Bureau of Economic Research, Inc.
  81. Guerron-Quintana, Pablo A., 2009. "Money demand heterogeneity and the great moderation," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 255-266, March.
  82. Jonathan A. Parker, 2011. "On Measuring the Effects of Fiscal Policy in Recessions," NBER Working Papers 17240, National Bureau of Economic Research, Inc.
  83. Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2010. "Productivity, Energy Prices and the Great Moderation: A New Link," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 715-724, July.
  84. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary University of London, School of Economics and Finance.
  85. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
  86. Luis A. Gil-Alana & Antonio Moreno, 2009. "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers 02/09, School of Economics and Business Administration, University of Navarra.
  87. Ruge-Murcia, Francisco, 2012. "Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 36(6), pages 914-938.
  88. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
  89. Francesco Zanetti, 2015. "Financial Shocks and Labor Market Fluctuations," Economics Series Working Papers Number 746, University of Oxford, Department of Economics.
  90. Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models," Working Papers 770, Queen Mary University of London, School of Economics and Finance.
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