Search Results - subject:"dynamic stochastic"

Estimating DSGE Models with Long Memory Dynamics

Moretti, Gianluca; Nicoletti, Giulio - 2008

. We study the implications of this high degree of persistence on the estimation of Dynamic Stochastic General Equilibrium …

Persistent link: https://www.econbiz.de/10014217880

On the application of automatic differentiation to the likelihood function for dynamic general equilibrium models

Bastani, Houtan; Guerrieri, Luca - 2008

Persistent link: https://www.econbiz.de/10003997766

Competitive search equilibrium in a DSGE model

Arseneau, David M.; Chugh, Sanjay K. - 2008

Persistent link: https://www.econbiz.de/10003997784

Estimating the parameters of a small open economy DSGE model : indentifiability and inferential validity

Beltran, Daniel O.; Draper, David - 2008

Persistent link: https://www.econbiz.de/10009269041

Exchange rates and fundamentals : a generalization

Nason, James Michael; Rogers, John H. - 2008

Persistent link: https://www.econbiz.de/10009269047

The cross-section of output and inflation in a dynamic stochastic general equilibrium model with sticky prices

Döpke, Jörg; Funke, Michael; Holly, Sean; Weber, Sebastian - 2008

Persistent link: https://www.econbiz.de/10003851119

Exchange rates and fundamentals : a generalization

Nason, James Michael (contributor); … - 2008

) hypothesis to the larger class of open economy dynamic stochastic general equilibrium (DSGE) models. The EW hypothesis is shown … economy dynamic stochastic general equilibrium (DSGE) models. The Engel and West hypothesis is shown to hold for a canonical … EW hypothesis is generalized using a canonical two-country monetary dynamic stochastic general equilibrium (DSGE) model …

Persistent link: https://www.econbiz.de/10003732186

An Estimated DSGE Model for Monetary Policy Analysis in Low-Income Countries

Peiris, Shanaka J. - 2008

This paper evaluates monetary policy trade-offs in low-income countries using a dynamic stochastic general equilibrium …

Persistent link: https://www.econbiz.de/10012773143

Ensuring the Validity of the Micro Foundation in DSGE Models

Andreasen, Martin M. - 2008

The presence of i) stochastic trends, ii) deterministic trends, and/or iii) stochastic volatility in DSGE models may imply that the agents' objective functions attain infinite values. We say that such models do not have a valid micro foundation. The paper derives sufficient conditions which...

Persistent link: https://www.econbiz.de/10012723986

Non-Linear DSGE Models, the Central Difference Kalman Filter, and the Mean Shifted Particle Filter

Andreasen, Martin M. - 2008

This paper shows how non-linear DSGE models with potential non-normal shocks can be estimated by Quasi-Maximum Likelihood based on the Central Difference Kalman Filter (CDKF). The advantage of this estimator is that evaluating the quasi log-likelihood function only takes a fraction of a second....

Persistent link: https://www.econbiz.de/10012724001