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Estimation of continuous-time linear DSGE models from discrete-time measurements

Christensen, Bent Jesper; Neri, Luca; Parra-Alvarez, … - 2023

Persistent link: https://www.econbiz.de/10014280884

Common factors, trends, and cycles in large datasets

Barigozzi, Matteo; Luciani, Matteo - 2017

This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic...

Persistent link: https://www.econbiz.de/10011803273

The macro-economy and non-performing loans in Ghana : a BVAR approach

Asafo, Shuffield Seyram - In: International journal of business and economic sciences … 11 (2018) 3, pp. 65-72

Purpose: The purpose of the paper was to estimate the interdependence between selected macroeconomic variables and non-performing loans in Ghana using a Bayesian Vector autoregressive approach. Design/methodology/approach: This paper used annual series from 2008-2017 which was interpolated into...

Persistent link: https://www.econbiz.de/10012023559

Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle

Herwartz, Helmut; Lange, Alexander; Maxand, Simone - 2019

back to underlying orthogonal structural shocks. In homoskedastic Gaussian models the identification of these linkages …-Gaussian independent components) allow for unique identification. Studying distinct covariance changes and distributional frameworks, we … compare alternative data-driven identification procedures and identification by means of sign restrictions. The application of …

Persistent link: https://www.econbiz.de/10012027359

Understanding Unemployment Hysteresis : A System-Based Econometric Approach to Changing Equilibria and Slow Adjustment

Møller, Niels Framroze - 2013

What explains the persistence of unemployment? The literature on hysteresis, which is based on unit root testing in autoregressive models, consists of a vast number of univariate studies, i.e. that analyze unemployment series in isolation, but few multivariate analyses that focus on the sources...

Persistent link: https://www.econbiz.de/10013077496

The discretization filter : a simple way to estimate nonlinear state space models

Farmer, Leland E. - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 41-76

Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of...

Persistent link: https://www.econbiz.de/10012432773

Model-based measurement of latent risk in time series with applications

Bijleveld, Frits; Commandeur, Jacques Jean François; … - 2005

Risk is at the center of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments in planning counter- measures, the risk and severity of counterparty default concerns bank risk managers on a daily basis and the risk of...

Persistent link: https://www.econbiz.de/10011348356

Multiple filtering devices for the estimation of cyclical DSGE model

Canova, Fabio; Ferroni, Filippo - In: Quantitative economics : QE ; journal of the … 2 (2011) 1, pp. 73-98

We propose a method to estimate time invariant cyclical dynamic stochastic general equilibrium models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural...

Persistent link: https://www.econbiz.de/10011755937

DSGE models with observation-driven time-varying parameters

Angelini, Giovanni; Gorgi, Paolo - 2018

This paper proposes a novel approach to introduce time-variation in structural parameters of DSGE models. Structural parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE model can be easily performed by maximum likelihood...

Persistent link: https://www.econbiz.de/10011813395

Real and financial cycles in EU countries : stylised facts and modelling implications

Rünstler, Gerhard (contributor); … - European System of Central Banks / Working Group on … - 2018

This paper studies the cyclical properties of real GDP, house prices, credit, and nominal liquid financial assets in 17 EU countries, by applying several methods to extract cycles. The estimates confirm earlier findings of large medium-term cycles in credit volumes and house prices. GDP appears...

Persistent link: https://www.econbiz.de/10011779865