Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)

DOI10.1108/S0731-9053(2012)0000028011zbMath1452.91193OpenAlexW1487682549MaRDI QIDQ5133567

Zhongjun Qu, Denis Tkachenko

Publication date: 10 November 2020

Published in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2012)0000028011

zbMATH Keywords

identificationfrequency domainspectrumMCMCmodel diagnosticsdynamic stochastic general equilibrium models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

Related Items (3)

VARMA representation of DSGE models ⋮ Bayesian inference on structural impulse response functions ⋮ DSGE model with financial frictions over subsets of business cycle frequencies

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