Assessing DSGE model nonlinearities

DOI10.1016/J.JEDC.2017.07.006MaRDI QIDQ1655751zbMATHOpenAlexFDO

Authors S. Borağan Aruoba, Luigi Bocola, Frank Schorfheide

Publication date 9 August 2018

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.2017.07.006

zbMATH Keywords

Bayesian analysisperturbation solutionasymmetric adjustment costseconometric model evaluationpredictive checksquadratic autoregressions

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51)

Recommendations

• Solving DSGE models with a nonlinear moving average
• Tractable likelihood-based estimation of nonlinear DSGE models
• Solving and estimating indeterminate DSGE models
• Nonlinear effects in economic dynamic models
• Model checks for nonlinear cointegrating regression
• Analyzing linear DSGE models: the method of undetermined Markov states
• Evaluating DSGE model forecasts of comovements
• On the application and use of DSGE models
• scientific article; zbMATH DE number 3945222
• scientific article; zbMATH DE number 1168350

Cites work

• scientific article; zbMATH DE number 3742451 (Why is no real title available?)
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• scientific article; zbMATH DE number 798177 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A model for long memory conditional heteroscedasticity.
• An introduction to modern Bayesian econometrics.
• Bayesian Analysis of DSGE Models
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Contemporary Bayesian Econometrics and Statistics
• Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century
• Estimating Macroeconomic Models: A Likelihood Approach
• Estimating dynamic equilibrium models with stochastic volatility
• Merging simulation and projection approaches to solve high-dimensional problems with an application to a New Keynesian model
• Modeling nonlinear processes with generalized autoregressions
• Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.
• Nonlinear adventures at the zero lower bound
• Particle Markov Chain Monte Carlo Methods
• Quantile Autoregression
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Solving DSGE models with a nonlinear moving average
• Specification, estimation, and evaluation of smooth transition autoregressive models
• The Oxford handbook of Bayesian econometrics
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(7)

• Natural rate measures in an estimated DSGE model of the U.S. Economy
• Revisiting the optimal inflation rate with downward nominal wage rigidity: the role of heterogeneity
• Sequential Monte Carlo with model tempering
• Solving DSGE models with a nonlinear moving average
• Agent based-stock flow consistent macroeconomics: towards a benchmark model
• The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
• Euro area inflation persistence in an estimated nonlinear DSGE model

This page was built for publication: Assessing DSGE model nonlinearities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1655751)