Search Results - subject:"Dynamic macroeconomic models"

Bootstrap inference and diagnostics in state space models : with applications to dynamic macro models

Angelini, Giovanni; Cavaliere, Giuseppe; Fanelli, Luca - In: Journal of applied econometrics 37 (2022) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10013165161

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan - In: Econometric Reviews 28 (2009) 4, pp. 376-387

Methods for Applied Macroeconomics Research by Fabio Canova, and Structural Macroeconometrics by David N. DeJong and Chetan Dave are two outstanding new books that provide an excellent introduction to what is sometimes called the New Macroeconometrics. This area of empirical macroeconomics is...

Persistent link: https://www.econbiz.de/10005292364

Estimating Macroeconomic Models: A Likelihood Approach

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - C.E.P.R. Discussion Papers - 2006

This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic … models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate …

Persistent link: https://www.econbiz.de/10005504323