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Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood

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Cited by:

  1. 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.
  2. Pablo Burriel & Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "MEDEA: a DSGE model for the Spanish economy," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 175-243, March.
  3. 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.
  4. Yasuo Hirose & Takeki Sunakawa, 2016. "Parameter Bias in an Estimated DSGE Model," Working Papers halshs-01661908, HAL.
  5. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
  6. Marta Boczon, 2018. "Balanced Growth Approach to Forecasting Recessions," Working Paper 6487, Department of Economics, University of Pittsburgh.
  7. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
  8. Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
  9. YANO Koiti, 2009. "Dynamic Stochastic General Equilibrium Models Under a Liquidity Trap and Self-organizing State Space Modeling," ESRI Discussion paper series 206, Economic and Social Research Institute (ESRI).
  10. Balcilar, Mehmet & Gupta, Rangan & Kotzé, Kevin, 2015. "Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model," Economic Modelling, Elsevier, vol. 44(C), pages 215-228.
  11. 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.
  12. Angelo M. Fasolo, 2011. "The Accuracy of Perturbation Methods to Solve Small Open Economy Models," Working Papers Series 262, Central Bank of Brazil, Research Department.
  13. Jim Malley & Ulrich Woitek, 2009. "Productivity shocks and aggregate cycles in an estimated endogenous growth model," IEW - Working Papers 416, Institute for Empirical Research in Economics - University of Zurich.
  14. Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017. "Bayesian estimation of agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
  15. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1059-1087.
  16. Canova, Fabio & Sala, Luca, 2009. "Back to square one: Identification issues in DSGE models," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 431-449, May.
  17. Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012. "Information criteria for impulse response function matching estimation of DSGE models," Journal of Econometrics, Elsevier, vol. 170(2), pages 499-518.
  18. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Ratto, Marco, 2019. "Identification versus misspecification in New Keynesian monetary policy models," European Economic Review, Elsevier, vol. 113(C), pages 225-246.
  19. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
  20. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Manuel S. Santos, 2006. "Convergence Properties of the Likelihood of Computed Dynamic Models," Econometrica, Econometric Society, vol. 74(1), pages 93-119, January.
  21. Ferroni Filippo, 2011. "Trend Agnostic One-Step Estimation of DSGE Models," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-36, July.
  22. Babus, Ana & de Vries, Casper G., 2010. "Global stochastic properties of dynamic models and their linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 817-824, May.
  23. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
  24. 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.
  25. Hong, Han & Preston, Bruce, 2012. "Bayesian averaging, prediction and nonnested model selection," Journal of Econometrics, Elsevier, vol. 167(2), pages 358-369.
  26. Paul Pichler, 2007. "Forecasting with estimated dynamic stochastic general equilibrium models: The role of nonlinearities," Vienna Economics Papers vie0702, University of Vienna, Department of Economics.
  27. Han Hong & Ahmed Khwaja & A. Ronald Gallant, 2008. "Estimating Dynamic Games of Complete Information with an Application to the Generic Pharmaceutical Industry," 2008 Meeting Papers 1050, Society for Economic Dynamics.
  28. Mandelman, Federico S. & Zanetti, Francesco, 2014. "Flexible prices, labor market frictions and the response of employment to technology shocks," Labour Economics, Elsevier, vol. 26(C), pages 94-102.
  29. Parra-Alvarez, Juan Carlos, 2018. "A Comparison Of Numerical Methods For The Solution Of Continuous-Time Dsge Models," Macroeconomic Dynamics, Cambridge University Press, vol. 22(6), pages 1555-1583, September.
  30. Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," CEPR Discussion Papers 8169, C.E.P.R. Discussion Papers.
  31. Malley, Jim & Woitek, Ulrich, 2010. "Technology shocks and aggregate fluctuations in an estimated hybrid RBC model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1214-1232, July.
  32. Bianca De Paoli & Pawel Zabczyk, 2013. "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 1-36, February.
  33. Adjemian, Stéphane & Karamé, Frédéric & Langot, François, 2021. "Nonlinearities and Workers' Heterogeneity in Unemployment Dynamics," IZA Discussion Papers 14822, Institute of Labor Economics (IZA).
  34. Dedola, Luca & Neri, Stefano, 2007. "What does a technology shock do? A VAR analysis with model-based sign restrictions," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 512-549, March.
  35. IIDA Yasuyuki & MATSUMAE Tatsuyoshi, 2009. "The Dynamic Effects of Japanese Macroeconomic Policies: Were There Any Changes in the 1990s?," ESRI Discussion paper series 209, Economic and Social Research Institute (ESRI).
  36. Ramirez, Francisco A. & Torres, Francisco A., 2013. "Modelo de equilibrio general dinámico y estocástico con rigideces nominales para el análisis de política y proyecciones en la República Dominicana [A stochastic and dynamic general equilibrium mode," MPRA Paper 51802, University Library of Munich, Germany.
  37. Allan Dizioli & Jochen M. Schmittmann, 2015. "A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam," IMF Working Papers 2015/273, International Monetary Fund.
  38. Pichler Paul, 2008. "Forecasting with DSGE Models: The Role of Nonlinearities," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-35, July.
  39. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  40. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
  41. Pablo Cuba‐Borda & Luca Guerrieri & Matteo Iacoviello & Molin Zhong, 2019. "Likelihood evaluation of models with occasionally binding constraints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1073-1085, November.
  42. Christophe Andrieu & Arnaud Doucet & Roman Holenstein, 2010. "Particle Markov chain Monte Carlo methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 269-342, June.
  43. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
  44. Chan, Joshua & Strachan, Rodney, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper 39360, University Library of Munich, Germany.
  45. Roman Liesenfeld & Guilherme V. Moura & Jean-François Richard & Hariharan Dharmarajan, 2013. "Efficient Likelihood Evaluation of State-Space Representations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(2), pages 538-567.
  46. Dedola, Luca & Neri, Stefano, 2007. "What does a technology shock do? A VAR analysis with model-based sign restrictions," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 512-549, March.
  47. Wing Leong Teo, 2009. "Estimated Dynamic Stochastic General Equilibrium Model Of The Taiwanese Economy," Pacific Economic Review, Wiley Blackwell, vol. 14(2), pages 194-231, May.
  48. Adolfson, Malin & Lindé, Jesper, 2011. "Parameter Identification in a Estimated New Keynesian Open Economy Model," Working Paper Series 251, Sveriges Riksbank (Central Bank of Sweden).
  49. Ercolani, Valerio & Valle e Azevedo, João, 2014. "The effects of public spending externalities," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 173-199.
  50. Kuo‐Hsuan Chin, 2022. "Forecast evaluation of DSGE models: Linear and nonlinear likelihood," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1099-1130, September.
  51. Iiboshi, Hirokuni & Shintani, Mototsugu, 2016. "Zero interest rate policy and asymmetric price adjustment in Japan: an empirical analysis of a nonlinear DSGE model," MPRA Paper 93868, University Library of Munich, Germany.
  52. A. Ronald Gallant & Han Hong & Ahmed Khwaja, 2012. "Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State," Working Papers 12-01, Duke University, Department of Economics.
  53. Andreas A. Andrikopoulos & Dimitrios C. Gkountanis, 2011. "Issues and Models in Applied Econometrics: A partial survey," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 9(2), pages 107-165.
  54. Anna Mikusheva, 2014. "Estimation of dynamic stochastic general equilibrium models (in Russian)," Quantile, Quantile, issue 12, pages 1-21, February.
  55. Arnaud Doucet & Neil Shephard, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Papers 2012-W05, Economics Group, Nuffield College, University of Oxford.
  56. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
  57. 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.
  58. Guido Ascari & Paolo Bonomolo Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
  59. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  60. Lemoine, M. & Mougin, C., 2010. "The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models," Working papers 285, Banque de France.
  61. Matthias Kredler, 2005. "Bayesian Estimation of a Dynamic Partial-Equilibrium Model for Investment," Econometrics 0509003, University Library of Munich, Germany.
  62. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  63. 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.
  64. YANO Koiti, 2010. "Time-varying Analysis of Dynamic Stochastic General Equilibrium Models Based on Sequential Monte Carlo Methods," ESRI Discussion paper series 231, Economic and Social Research Institute (ESRI).
  65. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating nonlinear dynamic equilibrium economies: a likelihood approach," FRB Atlanta Working Paper 2004-1, Federal Reserve Bank of Atlanta.
  66. Andreasen, Martin M., 2011. "Non-linear DSGE models and the optimized central difference particle filter," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1671-1695, October.
  67. Gallant, A. Ronald & Hong, Han & Khwaja, Ahmed, 2018. "A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states," Journal of Econometrics, Elsevier, vol. 203(1), pages 19-32.
  68. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
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