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Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
16 references·16 citing·38 second hopsampled
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References

  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2007Bayesian Analysis of DSGE Models1,367 cited
  • 2002Solving Linear Rational Expectations Models1,104 cited
  • 2009Back to square one: Identification issues in DSGE models570 cited
  • 2001A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily535 cited
  • 1995A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily506 cited
  • 2009The Econometrics of DSGE Models402 cited
  • 1974Band Spectrum Regression351 cited
  • 2010Local identification in DSGE models308 cited
  • 1989Time-to-Build and Aggregate Fluctuations: Some New Evidence261 cited
  • 1991Measures of Fit for Calibrated Models257 cited
  • 1993Measures of Fit for Calibrated Models228 cited
  • 1993Seasonality and approximation errors in rational expectations models130 cited
  • 1987The Permanent Income Hypothesis Revisited125 cited
  • 1991The Permanent Income Hypothesis Revisited

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124 cited

Cited by

  • 2016Solution and Estimation Methods for DSGE Models198 cited
  • 2019Bayesian inference on structural impulse response functions63 cited
  • 2023Workers’ Bargaining Power and the Phillips Curve: A Micro–Macro Analysis58 cited
  • 2014CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS52 cited
  • 2019Testing DSGE Models by Indirect Inference: a Survey of Recent Findings44 cited
  • 2013The Relationship Between DSGE and VAR Models35 cited
  • 2021Does the Central Bank of Peru Respond to Exchange Rate Movements? A Bayesian Estimation of a New Keynesian DSGE Model with FX Interventions32 cited
  • 2014Inference in dynamic stochastic general equilibrium models with possible weak identification28 cited
  • 2023Does the Central Bank of Peru respond to exchange rate movements? A Bayesian estimation of a New Keynesian DSGE model with FX interventions27 cited
  • 2016Global Identification in DSGE Models Allowing for Indeterminacy23 cited
  • 2014Assessing Bayesian Model Comparison in Small Samples21 cited
  • 2023Optimal monetary policy under bounded rationality20 cited
  • 2015VARMA representation of DSGE models17 cited
  • 2012Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)15 cited
  • 2017A Monte Carlo procedure for checking identification in DSGE models13 cited
  • 2018On the slope and the persistence of the Italian Phillips curve13 cited