VARMA representation of DSGE models
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Publication:1667985
DOI10.1016/J.ECONLET.2015.11.027zbMATH Open1396.91418OpenAlexW3125158373MaRDI QIDQ1667985FDOQ1667985
Authors: Stephen Morris 
Publication date: 31 August 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2015.11.027
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamic stochastic general equilibrium theory (91B51)
Cites Work
- Title not available (Why is that?)
- Identification in Parametric Models
- Title not available (Why is that?)
- Title not available (Why is that?)
- Dynamic identification of dynamic stochastic general equilibrium models
- The Identification Problem for Multiple Equation Systems with Moving Average Errors
- Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
- Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
- Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)
Cited In (5)
- VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS
- DSGE pileups
- Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks
- VARSOVIAN MODELS I
- Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
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