Econometric analysis of linearized singular dynamic stochastic general equilibrium models

DOI10.1016/J.JECONOM.2005.11.008MaRDI QIDQ278276zbMATH OpenOpenAlexFDO

Authors Herman J. Bierens

Publication date 2 May 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.11.008

zbMATH Keywords

estimationsingularitycalibrationdynamic general equilibrium

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

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Cited in

(8)

• Consistent high-frequency calibration
• Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
• Bayesian Analysis of DSGE Models
• scientific article; zbMATH DE number 1418026 (Why is no real title available?)
• Discussion on: ``Generalized linear dynamic factor models: an approach via singular autoregressions
• Log-linearization of stochastic economic models†
• Efficient GMM estimation with singular system of moment conditions
• Maximum likelihood estimation of singular systems of equations

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