Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles

DOI10.1016/J.JEDC.2012.01.008MaRDI QIDQ433696zbMATH OpenOpenAlexFDO

Authors Francisco J. Ruge-Murcia

Publication date 6 July 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.2012.01.008

zbMATH Keywords

method of momentsskewnessMonte Carlo analysisperturbation methodsasymmetric shocks

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Special types of economic equilibria (91B52)

Recommendations

• Methods to estimate dynamic stochastic general equilibrium models
• Tractable likelihood-based estimation of nonlinear DSGE models
• Bayesian Analysis of DSGE Models
• Estimation of dynamic latent variable models using simulated non-parametric moments
• Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices

Cites work

• scientific article; zbMATH DE number 1735137 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Accuracy of Simulations for Stochastic Dynamic Models
• An MCMC approach to classical estimation.
• Bayes estimation subject to uncertainty about parameter constraints
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Estimating Macroeconomic Models: A Likelihood Approach
• Impulse response analysis in nonlinear multivariate models
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Methods to estimate dynamic stochastic general equilibrium models
• Nonlinear Dynamic Structures
• Rare disasters and asset markets in the twentieth century
• Simulated Moments Estimation of Markov Models of Asset Prices
• Simulation and the Asymptotics of Optimization Estimators
• Simulation estimation of time-series models
• Solving dynamic general equilibrium models using a second-order approximation to the policy function

Cited in

(14)

• Fifth-order perturbation solution to DSGE models
• Valuation risk revalued
• ESTIMATION OF DYNAMIC DISCRETE CHOICE MODELS BY MAXIMUM LIKELIHOOD AND THE SIMULATED METHOD OF MOMENTS
• Incentive-driven inattention
• scientific article; zbMATH DE number 6746172 (Why is no real title available?)
• Risk matters: breaking certainty equivalence in linear approximations
• A Sieve-SMM Estimator for Dynamic Models
• Estimating nonlinear dynamic equilibrium models by matching impulse responses
• The extended perturbation method: With applications to the New Keynesian model and the zero lower bound
• Solving DSGE models with a nonlinear moving average
• Solvability of perturbation solutions in DSGE models
• Monetary policy when wages are downwardly rigid: Friedman meets Tobin
• Penalized indirect inference
• The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach

This page was built for publication: Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q433696)