Methods to estimate dynamic stochastic general equilibrium models
From MaRDI portal
Publication:1027381
DOI10.1016/j.jedc.2006.09.005zbMath1163.91488MaRDI QIDQ1027381
Publication date: 1 July 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://escholarship.org/uc/item/4fc8x822
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
91B70: Stochastic models in economics
91B62: Economic growth models
91B50: General equilibrium theory
Related Items
Identifiability of structural singular vector autoregressive models, The extended perturbation method: With applications to the New Keynesian model and the zero lower bound, Indirect inference and calibration of dynamic stochastic general equilibrium models, Data revisions and DSGE models, Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles, Empirical likelihood block bootstrapping, Testing for weak identification in possibly nonlinear models, Unemployment insurance in a sticky-price model with worker moral hazard, Insurance claims modulated by a hidden Brownian marked point process, Data cloning: maximum likelihood estimation of DSGE models, Limited participation and exchange rate dynamics: does theory meet the data?, Technology shocks and aggregate fluctuations in an estimated hybrid RBC model, VAR-based estimation of Euler equations with an application to New Keynesian pricing, Estimation of ergodic agent-based models by simulated minimum distance, Composite habits and international transmission of business cycles, Bayesian estimation of agent-based models, The Asian financial crisis and international reserve accumulation: a robust control approach, A dynamic network model of the unsecured interbank lending market, Penalized indirect inference, The asymptotic properties of GMM and indirect inference under second-order identification, Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models, Estimating dynamic equilibrium models using mixed frequency macro and financial data, MONETARY POLICY AND SUNSPOT FLUCTUATIONS IN THE UNITED STATES AND THE EURO AREA
Cites Work
- Unnamed Item
- Unnamed Item
- Simulation estimation of time-series models
- A method for taking models to the data
- Generalized method of moments specification testing
- A Bayesian approach to dynamic macroeconomics
- Simulated Moments Estimation of Markov Models of Asset Prices
- Simulation and the Asymptotics of Optimization Estimators
- The Solution of Linear Difference Models under Rational Expectations
- A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
- Recursive Models of Dynamic Linear Economies
- Bayesian Analysis of DSGE Models
- Maximum Likelihood Estimation of Misspecified Models