VARMA representation of DSGE models

DOI10.1016/j.econlet.2015.11.027zbMath1396.91418OpenAlexW3125158373MaRDI QIDQ1667985

Stephen D. Morris

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.11.027

zbMATH Keywords

identificationvarma

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamic stochastic general equilibrium theory (91B51)

Related Items (3)

DSGE pileups ⋮ VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS ⋮ Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks

Cites Work

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• Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
• Dynamic Identification of Dynamic Stochastic General Equilibrium Models
• Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
• Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)
• Identification in Parametric Models
• The Identification Problem for Multiple Equation Systems with Moving Average Errors

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