Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations

DOI10.1016/J.JEDC.2011.08.003zbMATH Open1241.91133OpenAlexW3121857346MaRDI QIDQ428002FDOQ428002

Oreste Tristani, Gianni Amisano

Publication date: 18 June 2012

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.2011.08.003

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zbMATH Keywords

regime switchingsecond-order approximationDSGE modelstime-varying volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Algorithm 795
• PHClab: a MATLAB/Octave interface to PHCpack
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Solving linear rational expectations models
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• Filtering via Simulation: Auxiliary Particle Filters
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• Estimating Macroeconomic Models: A Likelihood Approach
• Dynamic linear models with Markov-switching
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
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• The Solution of Linear Difference Models under Rational Expectations
• Equilibrium in a Production Economy with an Income Tax
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Euro area inflation persistence in an estimated nonlinear DSGE model
• Title not available (Why is that?)
• Welfare implications of Calvo vs. Rotemberg-pricing assumptions
• Second-order approximation of dynamic models without the use of tensors
• Computing second-order-accurate solutions for rational expectation models using linear solution methods

Cited In (4)

• Monetary policy and long‐term interest rates
• Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
• Euro area inflation persistence in an estimated nonlinear DSGE model
• Solving and estimating linearized DSGE models with VARMA shock processes and filtered data

Uses Software

• PHCpack
• PHClab
• bvarsv
• Gensys

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