VAR-based estimation of Euler equations with an application to New Keynesian pricing
DOI10.1016/J.JEDC.2006.01.005zbMATH Open1163.91481OpenAlexW2050884790MaRDI QIDQ1017002FDOQ1017002
Publication date: 18 May 2009
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2006.01.005
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20)
Cites Work
- SIMANN: A Global Optimization Algorithm using Simulated Annealing
- Large Sample Properties of Generalized Method of Moments Estimators
- Maximum Likelihood Estimation of Misspecified Models
- Title not available (Why is that?)
- Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
- Methods to estimate dynamic stochastic general equilibrium models
- A method for taking models to the data
- The Solution of Linear Difference Models under Rational Expectations
- Inflation Persistence
Cited In (5)
- The New Keynesian Phillips curve revisited
- Some exact and inexact linear rational expectation models in vector autoregressive models
- Examining bias in estimators of linear rational expectations models under misspecification
- Behavioral Heterogeneity in U.S. Inflation Dynamics
- On the identifiability of Euler equation estimates under saddlepath stability
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