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Robustness and pricing with uncertain growth

Cagetti, Marco; Hansen, Lars Peter; Sargent, Thomas J.; … - In: The review of financial studies 15 (2002) 2, pp. 363-404

Persistent link: https://www.econbiz.de/10001688775

Discussion of "Robustness and pricing with uncertain growth"

Maenhout, Pascal J. - In: The review of financial studies 15 (2002) 2, pp. 405-411

Persistent link: https://www.econbiz.de/10001688782

Robust control and model misspecification

Hansen, Lars Peter; Sargent, Thomas J.; Turmuhambetova, … - In: Journal of economic theory 128 (2006) 1, pp. 45-90

Persistent link: https://www.econbiz.de/10003335327

Confronting model misspecification in macroeconomics

Waggoner, Daniel F.; Zha, Tao - 2010

Persistent link: https://www.econbiz.de/10008747501

Confronting model misspecification in macroeconomics

Waggoner, Daniel F.; Zha, Tao - In: Journal of econometrics 171 (2012) 2, pp. 167-184

Persistent link: https://www.econbiz.de/10009691164

Confronting model misspecification in macroeconomics

Waggoner, Daniel F.; Zha, Tao - 2012

We estimate a Markov-switching mixture of two familiar macroeconomic models: a richly parameterized dynamic stochastic general equilibrium (DSGE) model and a corresponding Bayesian vector autoregression (BVAR) model. We show that the Markov-switching mixture model dominates both individual...

Persistent link: https://www.econbiz.de/10008773291