Estimating Macroeconomic Models: A Likelihood Approach

DOI10.1111/j.1467-937X.2007.00437.xzbMath1206.91064OpenAlexW2048398684MaRDI QIDQ5427682

Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramıŕez

Publication date: 21 November 2007

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-937x.2007.00437.x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items

On the statistical identification of DSGE models, Structural estimation of jump-diffusion processes in macroeconomics, Estimating dynamic equilibrium models using mixed frequency macro and financial data, Bandwidth selection in pre-smoothed particle filters, Stability of noisy Metropolis-Hastings, Three types of robust Ramsey problems in a linear-quadratic framework, DSGE pileups, Envelope condition method with an application to default risk models, Assessing DSGE model nonlinearities, Estimation of agent-based models using sequential Monte Carlo methods, Nonlinear adventures at the zero lower bound, Identification of DSGE models -- the effect of higher-order approximation and pruning, Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation, A Survey of Sequential Monte Carlo Methods for Economics and Finance, An auxiliary particle filter for nonlinear dynamic equilibrium models, Dynamic time series smoothing for symbolic interval data applied to neuroscience, Euro area inflation persistence in an estimated nonlinear DSGE model, Real-time forecast evaluation of DSGE models with stochastic volatility, The extended perturbation method: With applications to the New Keynesian model and the zero lower bound, The origins and effects of macroeconomic uncertainty, Semiparametric estimation of latent variable asset pricing models, Hamiltonian sequential Monte Carlo with application to consumer choice behavior, Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations, Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles, Iterated filtering, Combining VAR and DSGE forecast densities, Non-linear DSGE models and the optimized central difference particle filter, Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach, Risk premia in general equilibrium, Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models, Learning, confidence, and option prices, Tempered particle filtering, Learning and time-varying macroeconomic volatility, Particle filters and Bayesian inference in financial econometrics, Nonparametric identification of dynamic models with unobserved state variables, On some properties of Markov chain Monte Carlo simulation methods based on the particle filter, Euro-dollar real exchange rate dynamics in an estimated two-country model: an assessment, The implications of inflation in an estimated New Keynesian model, Yield curve in an estimated nonlinear macro model, Stochastic volatility and DSGE models, Marginal likelihood for Markov-switching and change-point GARCH models, Particle filters for continuous likelihood evaluation and maximisation, Bayesian averaging, prediction and nonnested model selection, Risk matters: breaking certainty equivalence in linear approximations, Dynamically Rescaled Hamiltonian Monte Carlo for Bayesian Hierarchical Models, BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS, Particle Markov Chain Monte Carlo Methods, Estimating dynamic equilibrium models with stochastic volatility, Through the looking glass: indirect inference via simple equilibria, Of Particles and Molecules: Application of Particle Filtering to Irrigated Agriculture in Punjab, India, On particle methods for parameter estimation in state-space models