Solving and estimating linearized DSGE models with VARMA shock processes and filtered data

DOI10.1016/j.econlet.2015.05.024zbMath1364.91089OpenAlexW1842125053MaRDI QIDQ529789

Alexander Meyer-Gohde, Daniel Neuhoff

Publication date: 9 June 2017

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.05.024

zbMATH Keywords

VARlikelihood functionARMADSGE models

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic stochastic general equilibrium theory (91B51)

Related Items

VARMA representation of DSGE models

Uses Software

• Uhlig Toolkit
• Gensys

Cites Work

• Unnamed Item
• Evaluating the sample likelihood of linearized DSGE models without the use of the Kalman filter
• Linear rational-expectations models with lagged expectations: a synthetic method
• A reliable and computationally efficient algorithm for imposing the saddle point property in dynamic models
• Low frequency filtering and real business cycles
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Solving linear rational expectations models
• Solvability of perturbation solutions in DSGE models