Methods to estimate dynamic stochastic general equilibrium models

DOI10.1016/J.JEDC.2006.09.005zbMATH Open1163.91488OpenAlexW2164262415MaRDI QIDQ1027381FDOQ1027381

Authors: Francisco J. Ruge-Murcia 

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/4fc8x822

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zbMATH Keywords

DSGE modelspriorsestimation methodsstochastic singularity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) General equilibrium theory (91B50) Economic growth models (91B62) Stochastic models in economics (91B70)

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Cited In (56)

• A numerical procedure to estimate real business cycle models using simulated annealing
• The Asian financial crisis and international reserve accumulation: a robust control approach
• Small noise methods for risk-sensitive/robust economies
• Empirical likelihood block bootstrapping
• Testing for weak identification in possibly nonlinear models
• Data cloning: maximum likelihood estimation of DSGE models
• Factor analysis in a model with rational expectations
• Estimation of ergodic agent-based models by simulated minimum distance
• Bayesian estimation of agent-based models
• User's guide
• Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models
• Technology shocks and aggregate fluctuations in an estimated hybrid RBC model
• Limited participation and exchange rate dynamics: does theory meet the data?
• Unemployment insurance in a sticky-price model with worker moral hazard
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• Indirect inference and calibration of dynamic stochastic general equilibrium models
• On the estimation of dynamic stochastic general equilibrium models: an empirical likelihood
• Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
• Set-Valued Techniques in Dynamic Economic Models
• Tractable likelihood-based estimation of nonlinear DSGE models
• Identifiability of structural singular vector autoregressive models
• The asymptotic properties of GMM and indirect inference under second-order identification
• GAMS: A stylistic approach to economic modelling
• A method for taking models to the data
• Title not available (Why is that?)
• Estimación de modelos de equilibrio general en economías dinámicas por métodos de Monte Carlo y Cadenas de Markov
• Composite habits and international transmission of business cycles
• Computing equilibrium in OLG models with stochastic production
• VAR-based estimation of Euler equations with an application to New Keynesian pricing
• A Monte Carlo procedure for checking identification in DSGE models
• DSGE pileups
• Comparing solution methods for dynamic equilibrium economies
• TAYLOR PROJECTION: A NEW SOLUTION METHOD FOR DYNAMIC GENERAL EQUILIBRIUM MODELS
• A dynamic network model of the unsecured interbank lending market
• Multiple filtering devices for the estimation of cyclical DSGE models
• DSGE models in macroeconometrics: an introduction to the minimal econometric interpretation and its application
• Penalized indirect inference
• Monetary policy and sunspot fluctuations in the United States and the euro area
• The extended perturbation method: With applications to the New Keynesian model and the zero lower bound
• Data revisions and DSGE models
• Dynamic valuation decomposition within stochastic economies
• Information criteria for impulse response function matching estimation of DSGE models
• Monte Carlo evidence on the estimation method for industry dynamics
• DSGE models, detrending, and the method of moments
• Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices
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• Estimating dynamic equilibrium models with stochastic volatility
• Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models
• Dynamic General Equilibrium Modelling
• Estimating DSGE models using seasonally adjusted and unadjusted data

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