DSGE models in macroeconomics : estimation, evaluation, and new developments / edited by Nathan Balke [and others].
2012
HB172.5 .D74 2012
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Details
Title
DSGE models in macroeconomics : estimation, evaluation, and new developments / edited by Nathan Balke [and others].
ISBN
9781781903063 (electronic bk.)
1781903069 (electronic bk.)
9781781903056
1781903050
1781903069 (electronic bk.)
9781781903056
1781903050
Imprint
Bingley, U.K. : Emerald, 2012.
Language
English
Description
1 online resource (xii, 467 pages) : illustrations.
Call Number
HB172.5 .D74 2012
System Control No.
(OCoLC)822967874
Summary
This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analyzing a variety of issues in empirical macroeconomics. The research articles make contributions in several key areas in DSGE modeling and estimation. In particular, papers cover the modeling and role of expectations, the study of optimal monetary policy in two-country models, and the problem of non-invertibility. Other interesting areas of inquiry include the analysis of parameter identification in new open economy macroeconomic models and the modeling of trend inflation shocks. The second part of the volume is devoted to articles that offer innovations in econometric methodology. These papers advance new techniques for addressing major inferential problems and include discussion and applications of Laplace-type, frequency domain, empirical likelihood and method of moments estimators.
Formatted Contents Note
Introduction / Juan Carlos Escanciano [and others]
The modeling of expectations in empirical DSGE models : a survey / Fabio Milani
Optimal monetary policy in an estimated local currency pricing model / Eiji Okano [and others]
News, non-invertibility, and structural VARs / Eric R. Sims
Bayesian estimation of NOEM models : identification and inference in small samples / Enrique Martínez-García, Diego Vilán, Mark A. Wynne
Fitting U.S. trend inflation : a rolling-window approach / Efrem Castelnuovo
Expectation formation and monetary DSGE models : beyond the rational expectations paradigm / Fabio Milani, Ashish Rajbhandari
Approximation properties of Laplace-type estimators / Anna Kormilitsina, Denis Nekipelov
Frequency domain analysis of medium scale DSGE models with application to Smets and Wouters (2007) / Denis Tkachenko, Zhongjun Qu
On the estimation of dynamic stochastic general equilibrium models : an empirical likelihood approach / Sara Riscado
Structural estimation of the new-Keynesian model : a formal test of backward- and forward-looking behavior / Tae-Seok Jang.
The modeling of expectations in empirical DSGE models : a survey / Fabio Milani
Optimal monetary policy in an estimated local currency pricing model / Eiji Okano [and others]
News, non-invertibility, and structural VARs / Eric R. Sims
Bayesian estimation of NOEM models : identification and inference in small samples / Enrique Martínez-García, Diego Vilán, Mark A. Wynne
Fitting U.S. trend inflation : a rolling-window approach / Efrem Castelnuovo
Expectation formation and monetary DSGE models : beyond the rational expectations paradigm / Fabio Milani, Ashish Rajbhandari
Approximation properties of Laplace-type estimators / Anna Kormilitsina, Denis Nekipelov
Frequency domain analysis of medium scale DSGE models with application to Smets and Wouters (2007) / Denis Tkachenko, Zhongjun Qu
On the estimation of dynamic stochastic general equilibrium models : an empirical likelihood approach / Sara Riscado
Structural estimation of the new-Keynesian model : a formal test of backward- and forward-looking behavior / Tae-Seok Jang.
Series
Advances in econometrics ; v. 28.
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