Perturbations in DSGE models: An odd derivatives theorem
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2019.103722
Abstract: When testing a theory, we should ask not just whether its predictions match what we see in the data, but also about its “completeness†: how much of the predictable variation in the data does… read more here.
Keywords: models odd; odd derivatives; derivatives theorem; completeness ... See more keywords
Estimating DSGE models with zero interest rate policy
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Monetary Economics"
DOI: 10.1016/j.jmoneco.2017.05.003
Abstract: We propose estimating DSGE models in which the central bank fixes the policy rate for an extended period of time and apply our approach to estimate expected durations of the Federal Reserve’s zero interest rate… read more here.
Keywords: policy; dsge models; rate; zero interest ... See more keywords
A Composite Likelihood Framework for Analyzing Singular DSGE Models
Sign Up to like & getrecommendations! Published in 2018 at "Review of Economics and Statistics"
DOI: 10.1162/rest_a_00718
Abstract: Abstract This paper builds on the composite likelihood concept of Lindsay (1988) to develop a framework for parameter identification, estimation, inference, and forecasting in dynamic stochastic general equilibrium (DSGE) models allowing for stochastic singularity. The… read more here.
Keywords: framework analyzing; framework; composite likelihood; likelihood framework ... See more keywords