VARMA representation of DSGE models
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Recommendations
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- On weak identification in structural VARMA models
- Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
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Cites work
- Dynamic identification of dynamic stochastic general equilibrium models
- Frequency domain analysis of medium scale DSGE models with application to Smets and Wouters (2007)
- scientific article; zbMATH DE number 3181381 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 2230055 (Why is no real title available?)
- Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
- Identification in Parametric Models
- Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
- The Identification Problem for Multiple Equation Systems with Moving Average Errors
Cited in
(8)- On the identifiability of minimal VARMA representations
- DSGE pileups
- Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks
- A check for finite order VAR representations of DSGE models
- VARSOVIAN MODELS I
- Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
- VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS
- Modeling inflation expectations in forward-looking interest rate and money growth rules
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