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DSGE Model Estimation on the Basis of Second-Order Approximation

Ivashchenko, Sergey - In: Computational Economics 43 (2014) 1, pp. 71-82

This article compares the properties of different non-linear Kalman filters: the well-known Unscented Kalman filter (UKF), the central difference Kalman filter (CDKF) and the new Quadratic Kalman filter (QKF). A small financial DSGE model is repeatedly estimated by several quasi-likelihood...

Persistent link: https://www.econbiz.de/10010866845

Forecasting using a nonlinear DSGE model

Ivashchenko, Sergey; Gupta, Rangan - In: Journal of central banking theory and practice 7 (2018) 2, pp. 73-98

Persistent link: https://www.econbiz.de/10011895436

Forecasting with second-order approximations and Markov-switching DSGE models

Ivashchenko, Sergey; Çekin, Semih Emre; Kotzé, Kevin; … - In: Computational economics 56 (2020) 4, pp. 747-771

Persistent link: https://www.econbiz.de/10012390465

The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models

Ivashchenko, Sergey; Mutschler, Willi - In: Economic modelling 88 (2020), pp. 280-292

Persistent link: https://www.econbiz.de/10012417223

Switching volatility in a nonlinear open economy

Benchimol, Jonathan; Ivashchenko, Sergey - In: Journal of international money and finance 110 (2021), pp. 1-31

Persistent link: https://www.econbiz.de/10012795525

Real-time forecast of DSGE models with time-varying volatility in GARCH form

Çekin, Semih Emre; Ivashchenko, Sergey; Gupta, Rangan; … - In: International review of financial analysis 93 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014543555