[go: up one dir, main page]
create a website
Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter. (2008). Andreasen, Martin.
In: CREATES Research Papers.
RePEc:aah:create:2008-33.

Full description at Econpapers || Download paper

Cited: 10

Citations received by this document

Cites: 40

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets. (2015). Ledenyov, Dimitri.
    In: MPRA Paper.
    RePEc:pra:mprapa:67470.

    Full description at Econpapers || Download paper

  2. DSGE Model Estimation on the Basis of Second-Order Approximation. (2014). Ivashchenko, Sergey.
    In: Computational Economics.
    RePEc:kap:compec:v:43:y:2014:i:1:p:71-82.

    Full description at Econpapers || Download paper

  3. Forecasting in a Non-Linear DSGE Model. (2014). Ivashchenko, Sergey.
    In: EUSP Department of Economics Working Paper Series.
    RePEc:eus:wpaper:ec2014_02.

    Full description at Econpapers || Download paper

  4. Forecasting in a Non-Linear DSGE Model. (2014). Ivashchenko, Sergey.
    In: EUSP Department of Economics Working Paper Series.
    RePEc:eus:wpaper:ec0214.

    Full description at Econpapers || Download paper

  5. Estimating nonlinear DSGE models with moments based methods. (2014). Ivashchenko, Sergey.
    In: Dynare Working Papers.
    RePEc:cpm:dynare:032.

    Full description at Econpapers || Download paper

  6. On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks. (2013). Ledenyov, Dimitri.
    In: MPRA Paper.
    RePEc:pra:mprapa:50235.

    Full description at Econpapers || Download paper

  7. Estimating Nonlinear DSGE Models with Moments Based Methods. (2013). Ivashchenko, Sergey.
    In: EUSP Department of Economics Working Paper Series.
    RePEc:eus:wpaper:ec2013_03.

    Full description at Econpapers || Download paper

  8. Nonlinear and stable perturbation-based approximations. (2012). de Wind, Joris ; den Haan, Wouter J..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:10:p:1477-1497.

    Full description at Econpapers || Download paper

  9. DSGE Model Estimation on Base of Second Order Approximation. (2011). Ivashchenko, Sergey.
    In: EUSP Department of Economics Working Paper Series.
    RePEc:eus:wpaper:ec2011_07.

    Full description at Econpapers || Download paper

  10. Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model. (2008). Andreasen, Martin.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-43.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Altig, D., Christiano, L. J., Eichenbaum, M. & Linde, J. (2005), `Firm-specific capital, nominal rigidities and the business cycle, NBER Working Paper no 11034, 1-SO.

  2. An, 5. (2005), `Bayesian estimation of DSGE-models: Lessons from second-order approximations , Working Paper.
    Paper not yet in RePEc: Add citation now

  3. An, S. & Schorfheide, F. (2007), `Bayesian analysis of DSGE models, Econometric Review.

  4. Andreasen, M. M. (2008a), `Ensuring the validity of the micro foundation in DSGE models, Working Paper.

  5. Andreasen, M. M. (2008b), `How to maximize the likelihood function for a DSGE model, Working Paper.

  6. Bekaert, G., Cho, S. & Moreno, A. (2005), `New-keynesian macroeconomics and the term structure , NBER Working Paper Nr. 11340.

  7. Berzuini, C., Best, N. G., Gilks, W. R. & Larizza, C. (1997), `Dynamic conditional independence models and markov chain monte carlo methods, American Statistical Association 92(440), 1403-1412.
    Paper not yet in RePEc: Add citation now
  8. Bollerslev, T. & Wooldrigde, J. M. (1992), `Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometrics Reviews 11(2), 143-172.
    Paper not yet in RePEc: Add citation now

  9. Christiano, L. J., Eichenbaum, M. & Evans, C. L. (2005), `Nominal rigidities and the dynamic effects of a shock to monetary policy, Journal of Political Economy 113, 1-45.

  10. Doh, T. (2007), `Yield curve in an estimated nonlinear macro model, Working Paper.
    Paper not yet in RePEc: Add citation now
  11. Doucet, A., de Freitas, N. & Gordon, N. (2001a), `An introduction to sequential monte carlo methods, Sequential Monte Carlo Methods in Practice, Springer, editors: Arnaud Doucet, Nando de Freitas and Neil Gordon.
    Paper not yet in RePEc: Add citation now
  12. Doucet, A., de Freitas, N. & Gordon, N. (2001b), `Sequential monte carlo methods in practice, Springer.
    Paper not yet in RePEc: Add citation now
  13. Doucet, A., Godsill, S. & Andrieu, C. (2000), `On sequential monte carlo sampling methods for bayesian filtering, Statistics and Computing 10, 197-208.
    Paper not yet in RePEc: Add citation now

  14. Duffie, D. & Singleton, K. J. (1993), `Simulated moments estimation of markov models of asset prices, Econometrica 61(4), 929-952.

  15. Dunik, J. & Simandl, M. (2006), `Design of square-root derivative-free smoothers, Working Paper.
    Paper not yet in RePEc: Add citation now

  16. Fernández-Villaverde, J. & Rubio-Ramfrez, J. F. (2005 a), `Convergence properties of the likelihood of computed dynamic models, NBER working paper nr. 315.

  17. Fernández-Villaverde, J. & Rubio-Ramfrez, J. F. (2005b), `Estimating dynamic equilibrium economies: Linear versus nonlinear likelihood, Journal of Applied Econometrics 20, 891910.
    Paper not yet in RePEc: Add citation now
  18. Fernández-Villaverde, J. & Rubio-Ramfrez, J. F. (2007a), `Estimating macroeconomic models: A likelihood approach, Review of Economic Studies pp. i-46.
    Paper not yet in RePEc: Add citation now
  19. Fernández-Villaverde, J. & Rubio-Ramirez, J. F. (2007b), `How structural are structural parameters ?, Working Paper Fox, D. (2001), `KLD-sampling: Adaptive particle filters, Advances in Neural Information Processing Systems 14, 713-720.
    Paper not yet in RePEc: Add citation now
  20. Gordon, N. J., Salmond, D. J. & Smith, A. F. M. (1993), `Novel approach fo nonlinear/nongaussian bayesian state estimation, lEE Proceedings-F 140(2), 107-113.
    Paper not yet in RePEc: Add citation now

  21. Hamilton, J. D. (1994), `Time series analysis, Princeton University Press, Princeton New Jersey Hansen, L. P. (1982), `Large sample properties of generalized method of moments estimators, Econometrica 50(4), 1029-1054.

  22. Jazwinski, A. H. (1970), `Stochastic processes and filtering theory, Academic Press, Inc. (London) Ltd.
    Paper not yet in RePEc: Add citation now
  23. Julier, S. J., Uhlmann, J. K. & Durrant-Whyte, H. F. (1995), `A new approach for filtering nonlinear systems, In The Proceedings of the American Control Conference pp. 1628-1632.
    Paper not yet in RePEc: Add citation now
  24. Justiniano, A. & Primiceri, G. E. (2008), `The time varying volatility of macroeconomic flucturations , The American Economic Review pp. 604-641.
    Paper not yet in RePEc: Add citation now

  25. Kim, J., Kim, S., Schaumburg, E. & Sims, C. A. (2003), `Calculating and using second order accurate solutions of discrete time dynamic quilibrium models, Working Paper.

  26. Klaas, M., Freitas, N. D. & Doucet, A. (2005), `Towards practical n-squared monte carlo: The marginal particle filter, Working Paper.
    Paper not yet in RePEc: Add citation now
  27. Lewis, F. L. (1986), `Optimal estimation - with an introduction to stochastic control theory, John Wiley and Sons.
    Paper not yet in RePEc: Add citation now
  28. Liu, J. S. & Chen, R. (1998), `Sequential monte carlo methods for dynamic systems, Journal of the American Statistical Association 93(443), 1032-1044.
    Paper not yet in RePEc: Add citation now
  29. Merwe, R. V. D. (2004), `Sigma-point kalman filters for probabilistic inference in dynamic statespace models, Thesis Merwe, R. V. D., Doucet, A., de Freitas, N. & Wan, E. (2000), `The unscented particle filter, Working Paper.
    Paper not yet in RePEc: Add citation now
  30. Merwe, R. V. D. & Wan, E. (2003), `Sigma-point kalman filters for probabilistic inference in dynamic state-space models, Working Paper.
    Paper not yet in RePEc: Add citation now
  31. Musso, C., Oudjane, N. & LeGland, F. (2001), `Improving regularised particle filters, Sequential Monte Carlo Methods in Practice Norgaard, M., Poulsen, N. K. & Ravn, 0. (2000), `Advances in derivative-free state estimation for nonlinear systems, Automatica 36:11, 1627-1638.
    Paper not yet in RePEc: Add citation now
  32. Särkkä, 5. (2008), `Unscented rauch-tung-striebel smoother, IEEE Transactions on Automatic Control.
    Paper not yet in RePEc: Add citation now

  33. Schmitt-Grohé, S. & Uribe, M. (2004), `Solving dynamic general equilibrium models using a second-order approximation to the policy function, Journal of Economic Dynamics and Control 28, 755-775.

  34. Schmitt-Grohé, S. & Uribe, M. (2006), `Optimal inflation stabilization in a medium-scale macroeconomic model, Working Paper pp. i-59.

  35. Simon J. Godsill, A. D. & West, M. (2004), `Monte carlo smoothing for nonlinear time series, Journal of the American Statistical Association 99(465), 156-168.

  36. Smets, F. & Wouters, R. (2003), `Shocks and frictions in US business cycles: A bayesian DSGE approach, Working Paper pp. i-27.
    Paper not yet in RePEc: Add citation now

  37. Smith, J. A. A. (1993), `Estimating nonlinear time-series models using simulated vector autoregressions , Journal of Applied Econometrics 8, Supplement: Special Issue on Econometric Inference Using Simulation Techniques, 563-584.

  38. Soto, A. (2005), `Self adaptive particle filter, Working Paper.
    Paper not yet in RePEc: Add citation now

  39. Strid, I. (2006), `Parallel particle filters for likelihood evaluation in DSGE models: An assessment , Working Paper.

  40. Tanizaki, H. (1996), `Nonlinear filters, estimation and applications (second, revised and enlarged edition), Springer.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Investment Shocks and Business Cycles. (2008). Tambalotti, Andrea ; Primiceri, Giorgio ; Justiniano, Alejandro.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6739.

    Full description at Econpapers || Download paper

  2. Has globalisation changed the Phillips curve? Firm-level evidence on the effect of activity on prices. (2008). Gaiotti, Eugenio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_676_08.

    Full description at Econpapers || Download paper

  3. A Hybrid Sticky-Price and Sticky-Information Model. (2007). Bruchez, Pierre-Alain.
    In: MPRA Paper.
    RePEc:pra:mprapa:3540.

    Full description at Econpapers || Download paper

  4. Asset pricing implications for a New Keynesian model. (2007). De Paoli, Bianca.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:156.

    Full description at Econpapers || Download paper

  5. An estimated DSGE model for the United Kingdom. (2007). Nelson, Edward ; DiCecio, Riccardo.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-006.

    Full description at Econpapers || Download paper

  6. Money and the natural rate of interest: structural estimates for the United States and the Euro area. (2007). Nelson, Edward ; Lopez-Salido, David ; Andrés, Javier ; Andres, Javier.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-005.

    Full description at Econpapers || Download paper

  7. Macroeconomic implications of changes in the term premium. (2007). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:241-270:n:v.89no.4.

    Full description at Econpapers || Download paper

  8. An estimated DSGE model for the United Kingdom. (2007). Nelson, Edward ; DiCecio, Riccardo.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:215-232:n:v.89no.4.

    Full description at Econpapers || Download paper

  9. Optimal simple and implementable monetary and fiscal rules. (2007). Uribe, Martín ; Schmitt-Grohe, Stephanie.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2007-24.

    Full description at Econpapers || Download paper

  10. Real price and wage rigidities in a model with matching frictions. (2007). Kuester, Keith.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007720.

    Full description at Econpapers || Download paper

  11. US imbalances: the role of technology and policy. (2007). Smets, Frank ; Dedola, Luca ; Bems, Rudolfs.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007719.

    Full description at Econpapers || Download paper

  12. Strategic Complementarities and Optimal Monetary Policy. (2007). Yun, Tack ; Lopez-Salido, David ; Levin, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6423.

    Full description at Econpapers || Download paper

  13. Labour Market Dynamics and the Business Cycle: Structural Evidence for the United States. (2007). Simonelli, Saverio ; Ravn, Morten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6409.

    Full description at Econpapers || Download paper

  14. US Imbalances: The Role of Technology and Policy. (2007). Smets, Frank ; Dedola, Luca ; Bems, Rudolfs.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6110.

    Full description at Econpapers || Download paper

  15. Investment adjustment costs: evidence from UK and US industries. (2007). Khan, Hashmat ; Groth, Charlotta.
    In: Bank of England working papers.
    RePEc:boe:boeewp:332.

    Full description at Econpapers || Download paper

  16. Asset pricing implications of a New Keynesian model. (2007). De Paoli, Bianca ; Scott, Alasdair ; Weeken, Olaf .
    In: Bank of England working papers.
    RePEc:boe:boeewp:326.

    Full description at Econpapers || Download paper

  17. Identifying the role of labor markets for monetary policy in an estimated DSGE model. (2006). Linzert, Tobias ; Kuester, Keith ; Christoffel, Kai ; Kuster, Keith.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4356.

    Full description at Econpapers || Download paper

  18. Back to square one: Identification issues in DSGE models. (2006). Sala, Luca ; Canova, Fabio.
    In: Economics Working Papers.
    RePEc:upf:upfgen:927.

    Full description at Econpapers || Download paper

  19. Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model. (2006). Rabanal, Pau.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:87.

    Full description at Econpapers || Download paper

  20. The Great Moderation and the ‘Bernanke Conjecture’. (2006). Benati, Luca ; Bank of England, .
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:158.

    Full description at Econpapers || Download paper

  21. Specific factors meet intermediate inputs: implications for the persistence problem. (2006). Huang, Kevin.
    In: Review of Economic Dynamics.
    RePEc:red:issued:05-16.

    Full description at Econpapers || Download paper

  22. Comparing Two Variants of Calvo-Type Wage Stickiness. (2006). Uribe, Martín ; Schmitt-Grohe, Stephanie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12740.

    Full description at Econpapers || Download paper

  23. Optimal Simple and Implementable Monetary and Fiscal Rules: Expanded Version. (2006). Uribe, Martín ; Schmitt-Grohe, Stephanie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12402.

    Full description at Econpapers || Download paper

  24. The Time Varying Volatility of Macroeconomic Fluctuations. (2006). Primiceri, Giorgio ; Justiniano, Alejandro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12022.

    Full description at Econpapers || Download paper

  25. Revisiting the Delegation Problem in a Sticky Price and Wage Economy.. (2006). Givens, Gregory.
    In: Working Papers.
    RePEc:mts:wpaper:200601.

    Full description at Econpapers || Download paper

  26. Firm-Specific Production Factors in a DSGE Model with Taylor Price Setting. (2006). Wouters, Raf ; Smets, Frank ; de Walque, Grégory.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2006:q:3:a:4.

    Full description at Econpapers || Download paper

  27. Trend inflation and inflation persistence in the New Keynesian Phillips curve. (2006). Sbordone, Argia ; Cogley, Timothy.
    In: Staff Reports.
    RePEc:fip:fednsr:270.

    Full description at Econpapers || Download paper

  28. Real rigidities and nominal price changes. (2006). Willis, Jonathan ; Klenow, Pete.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp06-03.

    Full description at Econpapers || Download paper

  29. Macroeconomic implications of changes in the term premium. (2006). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-46.

    Full description at Econpapers || Download paper

  30. The frequency of price adjustment and New Keynesian business cycle dynamics. (2006). Dennis, Richard.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-22.

    Full description at Econpapers || Download paper

  31. Forming priors for DSGE models (and how it affects the assessment of nominal rigidities). (2006). Schorfheide, Frank ; Del Negro, Marco.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2006-16.

    Full description at Econpapers || Download paper

  32. How Well Does a Small Structural Model with Sticky Prices and Wages Fit Postwar U.S. Data?. (2006). Poilly, Céline ; Matheron, Julien.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2006-11.

    Full description at Econpapers || Download paper

  33. Identifying the role of labor markets for monetary policy in an estimated DSGE model. (2006). Kuester, Keith ; Christoffel, Kai ; Linzert, Tobias .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006635.

    Full description at Econpapers || Download paper

  34. Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not. (2006). Tuesta, Vicente ; Rabanal, Pau ; Reategui, Vicente Tuesta.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5957.

    Full description at Econpapers || Download paper

  35. Monetary Persistence, Imperfect Competition and Staggering Complementarities. (2006). Snower, Dennis ; Merkl, Christian.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5658.

    Full description at Econpapers || Download paper

  36. Has Monetary Policy Become More Effective?. (2006). Giannoni, Marc ; Boivin, Jean.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5463.

    Full description at Econpapers || Download paper

  37. Measures of Potential Output from an Estimated DSGE Model of the United States. (2006). Laxton, Douglas ; Kumhof, Michael ; Kamenik, Ondra ; Juillard, Michel.
    In: Working Papers.
    RePEc:cnb:wpaper:2006/11.

    Full description at Econpapers || Download paper

  38. Labour Markets and Firm-Specific Capital in New Keynesian General Equilibrium Models. (2005). Thoenissen, Christoph ; Nolan, Charles.
    In: CDMA Working Paper Series.
    RePEc:san:cdmawp:0501.

    Full description at Econpapers || Download paper

  39. Firm-Specific Capital and the New Keynesian Phillips Curve. (2005). Woodford, Michael.
    In: MPRA Paper.
    RePEc:pra:mprapa:825.

    Full description at Econpapers || Download paper

  40. Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model. (2005). Uribe, Martín ; Schmitt-Grohe, Stephanie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11854.

    Full description at Econpapers || Download paper

  41. Firm-Specific Capital and the New-Keynesian Phillips Curve. (2005). Woodford, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11149.

    Full description at Econpapers || Download paper

  42. The Impact of Labor Markets on the Transmission of Monetary Policy in an Estimated DSGE Model. (2005). Linzert, Tobias ; Kuester, Keith ; Christoffel, Kai.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1902.

    Full description at Econpapers || Download paper

  43. Firm-Specific Capital and the New Keynesian Phillips Curve. (2005). Woodford, Michael.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2005:q:3:a:1.

    Full description at Econpapers || Download paper

  44. Optimal Sticky Prices under Rational Inattention. (2005). Wiederholt, Mirko ; Maćkowiak, Bartosz.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2005-040.

    Full description at Econpapers || Download paper

  45. Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through. (2005). Villani, Mattias ; Lindé, Jesper ; Laséen, Stefan ; Adolfson, Malin ; Linde, Jesper ; Laseen, Stefan .
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0179.

    Full description at Econpapers || Download paper

  46. Heterogeneous beliefs and inflation dynamics: a general equilibrium approach. (2005). Gumbau-Brisa, Fabià.
    In: Working Papers.
    RePEc:fip:fedbwp:05-16.

    Full description at Econpapers || Download paper

  47. When did unsystematic monetary policy have an effect on inflation?. (2005). Mojon, Benoit.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005559.

    Full description at Econpapers || Download paper

  48. Inflation persistence in structural macroeconomic models (RG10). (2005). Morgan, Julian ; Mestre, Ricardo ; Berben, Robert-Paul ; Zonzilos, Nikolaos G ; Mitrakos, Theodoros .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005521.

    Full description at Econpapers || Download paper

  49. Optimal Inflation Stabilization in a Medium-Scale Macroeonomic Model. (2005). Uribe, Martín ; Schmitt-Grohe, Stephanie.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5424.

    Full description at Econpapers || Download paper

  50. Prices and Market Shares in a Menu Cost Model (March 2007, with Ariel Burstein). (). Hellwig, Christian.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:415.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 00:48:21 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.