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Frank Schorfheide

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. S. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP Measurement: A Forecast Combination Perspective," NBER Working Papers 17421, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Better GDP estimates
      by Economic Logician in Economic Logic on 2011-10-12 19:28:00
  2. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.

    Mentioned in:

    1. The Phillips Curve and Inflation
      by thebusinesscycleblog in The business cycle blog on 2016-05-21 23:08:29
  3. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.

    Mentioned in:

    1. What caused the Great Recession ?
      by Robert in Robert's Stochastic Thoughts on 2015-11-24 03:41:00
  4. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2011. "Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters," RCER Working Papers 566, University of Rochester - Center for Economic Research (RCER).

    Mentioned in:

    1. Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters
      by Christian Zimmermann in NEP-DGE blog on 2011-10-03 18:18:34
  5. Cristina Fuentes-Albero & Maxym Kryshko & José-Víctor Ríos-Rull & Raul Santaeulalia-Llopis & Frank Schorfheide, 2009. "Methods versus substance: measuring the effects of technology shocks on hours," Staff Report 433, Federal Reserve Bank of Minneapolis.

    Mentioned in:

    1. Technology shocks and hours: it is the identification, stupid!
      by Economic Logician in Economic Logic on 2009-10-13 19:05:00
  6. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," RCER Working Papers 556, University of Rochester - Center for Economic Research (RCER).

    Mentioned in:

    1. Labor-Market Heterogeneity, Aggregation, and the Lucas Critique
      by Christian Zimmermann in NEP-DGE blog on 2010-10-08 08:16:08
  7. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Mentioned in:

    1. Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
      by Christian Zimmermann in NEP-DGE blog on 2014-11-05 21:21:13
  8. Schorfheide, Frank & An, Sungbae, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.

    Mentioned in:

    1. Buiter, good macro critic?
      by pushmedia1 in The Ambrosini Critique on 2009-03-04 10:59:20
    2. The Statistical Implications of Common Identifying Restrictions for DSGE Models
      by Christian Zimmermann in NEP-DGE blog on 2015-02-05 22:29:18
  9. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.

    Mentioned in:

    1. Buiter, good macro critic?
      by pushmedia1 in The Ambrosini Critique on 2009-03-04 10:59:20
    2. The Statistical Implications of Common Identifying Restrictions for DSGE Models
      by Christian Zimmermann in NEP-DGE blog on 2015-02-05 22:29:18
  10. Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016. "Improving GDP measurement: A measurement-error perspective," Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.

    Mentioned in:

    1. Is the economy growing? Depends on how you measure it : GDP vs. GDI
      by ? in FRED blog on 2022-09-01 13:00:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Consequences > Macroeconomic
  2. Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016. "Dynamic prediction pools: An investigation of financial frictions and forecasting performance," Journal of Econometrics, Elsevier, vol. 192(2), pages 391-405.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  3. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
  4. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Health > Measurement
  5. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  6. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2007. "On the Fit of New Keynesian Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 123-143, April.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
    2. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  7. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
    2. > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)
  8. Edward P. Herbst & Frank Schorfheide, 2016. "Bayesian Estimation of DSGE Models," Economics Books, Princeton University Press, edition 1, number 10612.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
  9. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)
  10. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
  11. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Solution Methods for DSGE models

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. S Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2018. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 87-118.

    Mentioned in:

    1. Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries (REStud 2018) in ReplicationWiki ()
  2. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.

    Mentioned in:

    1. Inflation in the Great Recession and New Keynesian Models (AEJ:MA 2015) in ReplicationWiki ()
  3. Yongsung Chang & Joao F. Gomes & Frank Schorfheide, 2002. "Learning-by-Doing as a Propagation Mechanism," American Economic Review, American Economic Association, vol. 92(5), pages 1498-1520, December.

    Mentioned in:

    1. Learning-by-Doing as a Propagation Mechanism (AER 2002) in ReplicationWiki ()
  4. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.

    Mentioned in:

    1. Loss function-based evaluation of DSGE models (Journal of Applied Econometrics 2000) in ReplicationWiki ()
  5. S. Boragan Aruoba & Frank Schorfheide, 2011. "Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(1), pages 60-90, January.

    Mentioned in:

    1. Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs (AEJ:MA 2011) in ReplicationWiki ()

Working papers

  1. Minsu Chang & Frank Schorfheide, 2024. "On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity," NBER Working Papers 32166, National Bureau of Economic Research, Inc.

    Cited by:

    1. Florian Huber & Massimiliano Marcellino & Tommaso Tornese, 2024. "The Distributional Effects of Economic Uncertainty," Papers 2411.12655, arXiv.org.

  2. Xu Cheng & Frank Schorfheide & Peng Shao, 2023. "Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation," PIER Working Paper Archive 23-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Han, Qingyang, 2024. "Estimating labor market monopsony power from a forward-looking perspective," Economics Letters, Elsevier, vol. 244(C).

  3. Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2022. "Optimal Decision Rules when Payoffs are Partially Identified," Papers 2204.11748, arXiv.org, revised May 2023.

    Cited by:

    1. Gyungbae Park, 2024. "Debiased Machine Learning when Nuisance Parameters Appear in Indicator Functions," Papers 2403.15934, arXiv.org.

  4. Marko Mlikota & Frank Schorfheide, 2022. "Sequential Monte Carlo With Model Tempering," Papers 2202.07070, arXiv.org.

    Cited by:

    1. Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Sep 2024.

  5. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2021. "Forecasting with a Panel Tobit Model," Papers 2110.14117, arXiv.org, revised Jul 2022.

    Cited by:

    1. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    2. Chen, Mo & Xue, Wei-Xian & Zhao, Xin-Xin & Chang, Chun-Ping & Liu, Xiaoxia, 2024. "The impact of economic sanctions on the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 163-174.
    3. Timothy B. Armstrong & Michal Kolesár & Mikkel Plagborg-Møller, 2022. "Robust Empirical Bayes Confidence Intervals," Working Papers 2022-27, Princeton University. Economics Department..
    4. Hyeongwoo Kim & Jisoo Son, 2023. "What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?," Auburn Economics Working Paper Series auwp2023-06, Department of Economics, Auburn University.
    5. Timmermann, Allan & Zhu, Yinchu, 2019. "Comparing Forecasting Performance with Panel Data," CEPR Discussion Papers 13746, C.E.P.R. Discussion Papers.
    6. Antonio Pacifico, 2023. "Obesity and labour market outcomes in Italy: a dynamic panel data evidence with correlated random effects," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 24(4), pages 557-574, June.
    7. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
    8. Xin Sheng & Rangan Gupta & Qiang Ji, 2020. "Forecasting Charge-Off Rates with a Panel Tobit Model: The Role of Uncertainty," Working Papers 202092, University of Pretoria, Department of Economics.
    9. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Feb 2025.
    10. Bykhovskaya, Anna & Duffy, James A., 2024. "The local to unity dynamic Tobit model," Journal of Econometrics, Elsevier, vol. 241(2).
    11. Boyuan Zhang, 2020. "Forecasting with Bayesian Grouped Random Effects in Panel Data," Papers 2007.02435, arXiv.org, revised Oct 2020.
    12. Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2023. "Comparing forecasting performance in cross-sections," Journal of Econometrics, Elsevier, vol. 237(2).
    13. Anna Bykhovskaya & James A. Duffy, 2022. "The Local to Unity Dynamic Tobit Model," Papers 2210.02599, arXiv.org, revised May 2024.
    14. Zuoxiang Zhao & Hongjun Sun & Ding Han & Qiuyun Zhao, 2023. "Development strategy, technological progress, and regional environmental performance: empirical evidence from China," Economic Change and Restructuring, Springer, vol. 56(5), pages 3701-3732, October.
    15. Brezigar-Masten, Arjana & Masten, Igor & Volk, Matjaž, 2021. "Modelin-g credit risk with a Tobit model of days past due," Journal of Banking & Finance, Elsevier, vol. 122(C).
    16. Kim, Dohan & Sohn, Wook, 2024. "Loan growth and quality over the credit cycle," International Review of Economics & Finance, Elsevier, vol. 95(C).

  6. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.

    Cited by:

    1. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
    2. Schorfheide, Frank & Aruoba, Boragan & Cuba-Borda, Pablo & Hilga-Flores, Kenji & Villalvazo, Sergio, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," CEPR Discussion Papers 15388, C.E.P.R. Discussion Papers.
    3. Knut Are Aastveit & Jamie L. Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Working Papers No 04/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    4. Hakan Yilmazkuday, 2024. "Geopolitical Risks and Energy Uncertainty: Implications for Global and Domestic Energy Prices," Working Papers 2413, Florida International University, Department of Economics.
    5. Dubbert, Tore & Kempa, Bernd, 2024. "Nowcasting the output gap with shadow rates," Economics Letters, Elsevier, vol. 236(C).
    6. Stefania D'Amico & Thomas B. King, 2015. "What Does Anticipated Monetary Policy Do?," Working Paper Series WP-2015-10, Federal Reserve Bank of Chicago.
    7. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
    8. Kirstin Hubrich & Daniel F. Waggoner, 2022. "The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework," Finance and Economics Discussion Series 2022-034, Board of Governors of the Federal Reserve System (U.S.).
    9. Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).
    10. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
    11. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    12. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Online Appendices 20-14, Review of Economic Dynamics.
    13. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Feb 2025.
    14. James A. Duffy & Sophocles Mavroeidis, 2024. "Common Trends and Long-Run Identification in Nonlinear Structural VARs," Papers 2404.05349, arXiv.org, revised Sep 2024.
    15. Yoosoon Chang & Steven N. Durlauf & Bo Hu & Joon Y. Park, 2024. "Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility," Working Papers No 03/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    16. Bykhovskaya, Anna & Duffy, James A., 2024. "The local to unity dynamic Tobit model," Journal of Econometrics, Elsevier, vol. 241(2).
    17. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K van Dijk, 2024. "Asymmetric Gradualism in US Monetary Policy," Tinbergen Institute Discussion Papers 24-074/III, Tinbergen Institute.
    18. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.

  7. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Online Appendices 20-14, Review of Economic Dynamics.

    Cited by:

    1. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
    2. Wen, Jianghui & Hong, Lijiang & Dai, Min & Xiao, Xinping & Wu, Chaozhong, 2023. "A stochastic model for stop-and-go phenomenon in traffic oscillation: On the prospective of macro and micro traffic flow," Applied Mathematics and Computation, Elsevier, vol. 440(C).
    3. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    4. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2022. "Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States," CAMA Working Papers 2022-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    5. Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2025. "A general equilibrium approach to carbon permit banking," Journal of Environmental Economics and Management, Elsevier, vol. 129(C).
    6. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).
    7. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
    8. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    9. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
    10. Kase, Hanno & Melosi, Leonardo & Rottner, Matthias, 2022. "Estimating Nonlinear Heterogeneous Agents Models with Neural Networks," CEPR Discussion Papers 17391, C.E.P.R. Discussion Papers.
    11. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," National Institute of Economic and Social Research (NIESR) Discussion Papers 530, National Institute of Economic and Social Research.
    12. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Feb 2025.
    13. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    14. Rottner, Matthias, 2023. "Financial crises and shadow banks: A quantitative analysis," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 74-92.
    15. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    16. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.

  8. Schorfheide, Frank & Chang, Minsu & Chen, Xiaohong, 2021. "Heterogeneity and Aggregate Fluctuations," CEPR Discussion Papers 16183, C.E.P.R. Discussion Papers.

    Cited by:

    1. Yoosoon Chang & Fabio Gómez-Rodríguez & Christian Matthes, 2023. "The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve," CAMA Working Papers 2023-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Yoosoon Chang & Ana María Herrera & Elena Pesavento, 2023. "Oil prices uncertainty, endogenous regime switching, and inflation anchoring," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 820-839, September.
    3. Stephanie Ettmeier, 2023. "No Taxation Without Reallocation: The Distributional Effects of Tax Changes," CRC TR 224 Discussion Paper Series crctr224_2023_436, University of Bonn and University of Mannheim, Germany.
    4. Laura Liu & Mikkel Plagborg-M?ller, 2021. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," CAEPR Working Papers 2021-001 Classification- , Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    5. Yoosoon Chang & Yongok Choi & Chang Sik Kim & J. Isaac Miller & Joon Y. Park, 2024. "Common Trends and Country Specific Heterogeneities in Long-Run World Energy Consumption," CAMA Working Papers 2024-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Denis Koshelev & Alexey Ponomarenko & Sergei Seleznev, 2023. "Amortized Neural Networks for Agent-Based Model Forecasting," Bank of Russia Working Paper Series wps115, Bank of Russia.
    7. Bilbiie, F. & Primiceri, G. E. & Tambalotti, A., 2022. "Inequality and Business Cycles," Cambridge Working Papers in Economics 2275, Faculty of Economics, University of Cambridge.
    8. Hilde C. Bjornland & Yoosoon Chang & Jamie L. Cross, 2024. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAEPR Working Papers 2023-005 Classification-1, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    9. Matthew D. Cocci & Mikkel Plagborg-M{o}ller, 2021. "Standard Errors for Calibrated Parameters," Papers 2109.08109, arXiv.org, revised Jun 2024.
    10. Matthew D. Cocci & Mikkel Plagborg-Møller, 2021. "Standard Errors for Calibrated Parameters," Working Papers 2021-20, Princeton University. Economics Department..
    11. Laura Liu & Mikkel Plagborg‐Møller, 2023. "Full‐information estimation of heterogeneous agent models using macro and micro data," Quantitative Economics, Econometric Society, vol. 14(1), pages 1-35, January.
    12. Yoosoon Chang & Soyoung Kim & Joon Y. Park, 2025. "How Do Macroaggregates and Income Distribution Interact Dynamically? A Novel Structural Mixed Autoregression with Aggregate and Functional Variables," Working Papers No 01/2025, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.

  9. Schorfheide, Frank & Song, Dongho, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.

    Cited by:

    1. Christiane Baumeister & Pierre Guérin, 2020. "A Comparison of Monthly Global Indicators for Forecasting Growth," CESifo Working Paper Series 8656, CESifo.
    2. Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
    3. Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
    4. Evgenidis, Anastasios & Fasianos, Apostolos, 2023. "Modelling monetary policy’s impact on labour markets under Covid-19," Economics Letters, Elsevier, vol. 230(C).
    5. Frank Schorfheide & Dongho Song, 2024. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
    6. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Reconciled Estimates of Monthly GDP in the US," Working Papers 22-01, Federal Reserve Bank of Cleveland.
    7. Hwee Kwan Chow & Keen Meng Choy, 2023. "Economic forecasting in a pandemic: some evidence from Singapore," Empirical Economics, Springer, vol. 64(5), pages 2105-2124, May.
    8. Florian, Huber & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," JRC Working Papers in Economics and Finance 2021-01, Joint Research Centre, European Commission.
    9. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?," LIDAM Discussion Papers LFIN 2021002, Université catholique de Louvain, Louvain Finance (LFIN).
    10. Marco Flaccadoro, 2024. "The recent weakness in the German manufacturing sector," Questioni di Economia e Finanza (Occasional Papers) 902, Bank of Italy, Economic Research and International Relations Area.
    11. Ramis Khabibullin & Sergei Seleznev, 2022. "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Papers 2210.07154, arXiv.org.
    12. Buda, G & Carvalho, V. M. & Corsetti, G & Duarte, J. B. & Hansen, S. & Moura, A. S. & Ortiz, à . & Rodrigo, T. & Rodríguez Mora, J. V. & Alves da Silva, G., 2025. "The Short Lags of Monetary Policy," Janeway Institute Working Papers 2504, Faculty of Economics, University of Cambridge.
    13. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
    14. José R. Maria & Paulo Júlio, 2023. "Trends and cycles during the COVID-19 pandemic period," Working Papers w202311, Banco de Portugal, Economics and Research Department.
    15. Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
    16. Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2023. "Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails," CEPR Discussion Papers 17800, C.E.P.R. Discussion Papers.
    17. Paul Ho, 2021. "Forecasting in the Absence of Precedent," Working Paper 21-10, Federal Reserve Bank of Richmond.
    18. Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
    19. Zhang, Wen, 2022. "China’s government spending and global inflation dynamics: The role of the oil price channel," Energy Economics, Elsevier, vol. 110(C).
    20. Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
    21. Serena Ng, 2021. "Modeling Macroeconomic Variations after Covid-19," NBER Working Papers 29060, National Bureau of Economic Research, Inc.
    22. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2024. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," The Review of Economics and Statistics, MIT Press, vol. 106(5), pages 1403-1417, September.
    23. John Cotter & Mark Hallam & Kamil Yilmaz, 2020. "Macro-Financial Spillovers," Working Papers 202005, Geary Institute, University College Dublin.
    24. Roberta Cardani & Olga Croitorov & Massimo Giovannini & Philipp Pfeiffer & Marco Ratto & Lukas Vogel, 2021. "The Euro Area's Pandemic Recession: A DSGE-Based Interpretation," European Economy - Discussion Papers 153, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    25. Tino Berger & James Morley & Benjamin Wong, 2020. "Nowcasting the output gap," CAMA Working Papers 2020-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    26. Danilo Cascaldi-Garcia, 2022. "Pandemic Priors," International Finance Discussion Papers 1352, Board of Governors of the Federal Reserve System (U.S.).
    27. Antonio Musa, 2022. "Nowcasting Bosnia and Herzegovina GDP in Real Time," IHEID Working Papers 08-2022, Economics Section, The Graduate Institute of International Studies.
    28. Chen, Zhengyang & Valcarcel, Victor J., 2025. "Modeling inflation expectations in forward-looking interest rate and money growth rules," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 170, pages 1-21.
    29. Thomas B Götz & Klemens Hauzenberger, 2021. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 442-461.
    30. Valentina Aprigliano & Alessandro Borin & Francesco Paolo Conteduca & Simone Emiliozzi & Marco Flaccadoro & Sabina Marchetti & Stefania Villa, 2021. "Forecasting Italian GDP growth with epidemiological data," Questioni di Economia e Finanza (Occasional Papers) 664, Bank of Italy, Economic Research and International Relations Area.
    31. Marcellino, Massimiliano & Foroni, Claudia & Stevanovic, Dalibor, 2020. "Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis," CEPR Discussion Papers 15114, C.E.P.R. Discussion Papers.
    32. Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023. "Lessons from Nowcasting GDP across the World," International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System (U.S.).
    33. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    34. Vito Polito & Yunyi Zhang, 2021. "Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression," CESifo Working Paper Series 9395, CESifo.
    35. Larson, William D. & Sinclair, Tara M., 2022. "Nowcasting unemployment insurance claims in the time of COVID-19," International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
    36. Bhaghoe, Sailesh & Ooft, Gavin, 2021. "Nowcasting Quarterly GDP Growth in Suriname with Factor-MIDAS and Mixed-Frequency VAR Models," Studies in Applied Economics 176, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    37. Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
    38. Zeynep Kantur & Gülserim Özcan, 2022. "Dissecting Turkish inflation: theory, fact, and illusion," Economic Change and Restructuring, Springer, vol. 55(3), pages 1543-1553, August.
    39. John O’Trakoun, 2022. "Business forecasting during the pandemic," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 57(3), pages 95-110, July.
    40. Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
    41. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    42. Lin, Jiahe & Michailidis, George, 2024. "A multi-task encoder-dual-decoder framework for mixed frequency data prediction," International Journal of Forecasting, Elsevier, vol. 40(3), pages 942-957.
    43. Boriss Siliverstovs, 2021. "Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth," Working Papers 2021/01, Latvijas Banka.
    44. Buda, G & Carvalho, V. M. & Corsetti, G & Duarte, J. B. & Hansen, S. & Moura, A. S. & Ortiz, à . & Rodrigo, T. & Rodríguez Mora, J. V. & Alves da Silva, G., 2025. "The Short Lags of Monetary Policy," Cambridge Working Papers in Economics 2509, Faculty of Economics, University of Cambridge.
    45. Metiu, Norbert & Prieto, Esteban, 2023. "The macroeconomic effects of inflation uncertainty," Discussion Papers 32/2023, Deutsche Bundesbank.
    46. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Papers 2202.04146, arXiv.org, revised Oct 2024.
    47. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).

  10. Schorfheide, Frank & Aruoba, Boragan & Cuba-Borda, Pablo & Hilga-Flores, Kenji & Villalvazo, Sergio, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," CEPR Discussion Papers 15388, C.E.P.R. Discussion Papers.

    Cited by:

    1. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
    2. Wen, Jianghui & Hong, Lijiang & Dai, Min & Xiao, Xinping & Wu, Chaozhong, 2023. "A stochastic model for stop-and-go phenomenon in traffic oscillation: On the prospective of macro and micro traffic flow," Applied Mathematics and Computation, Elsevier, vol. 440(C).
    3. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
    4. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    5. Enrique Mendoza & Sergio Villalvazo, 2020. "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 81-102, July.
    6. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2022. "Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States," CAMA Working Papers 2022-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2025. "A general equilibrium approach to carbon permit banking," Journal of Environmental Economics and Management, Elsevier, vol. 129(C).
    8. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).
    9. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
    10. Linde, Jesper & Trabandt, Mathias, 2019. "Resolving the Missing Deflation Puzzle," CEPR Discussion Papers 13690, C.E.P.R. Discussion Papers.
    11. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    12. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
    13. Kase, Hanno & Melosi, Leonardo & Rottner, Matthias, 2022. "Estimating Nonlinear Heterogeneous Agents Models with Neural Networks," CEPR Discussion Papers 17391, C.E.P.R. Discussion Papers.
    14. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," National Institute of Economic and Social Research (NIESR) Discussion Papers 530, National Institute of Economic and Social Research.
    15. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Feb 2025.
    16. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    17. Damioli, Giacomo & Gregori, Wildmer Daniel, 2021. "Diplomatic relations and cross-border investments in the European Union," JRC Working Papers in Economics and Finance 2021-02, Joint Research Centre, European Commission.
    18. Rottner, Matthias, 2023. "Financial crises and shadow banks: A quantitative analysis," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 74-92.
    19. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    20. Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco, 2021. "Efficient and robust inference of models with occasionally binding constraints," JRC Working Papers in Economics and Finance 2021-03, Joint Research Centre, European Commission.
    21. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    22. Calo, Silvia & Gregori, Wildmer Daniel & Petracco Giudici, Marco & Rancan, Michela, 2021. "Has the Comprehensive Assessment made the European financial system more resilient?," JRC Working Papers in Economics and Finance 2021-08, Joint Research Centre, European Commission.

  11. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," Finance and Economics Discussion Series 2020-023, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ho, Paul, 2024. "Estimating the effects of demographics on interest rates: A robust Bayesian perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    2. Ettmeier, Stephanie & Kriwoluzky, Alexander, 2024. "Active or passive? Revisiting the role of fiscal policy during high inflation," European Economic Review, Elsevier, vol. 170(C).
    3. Ho, Paul, 2023. "Global robust Bayesian analysis in large models," Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
    4. Masashige Hamano & Munechika Katayama, 2021. "Epidemics and Macroeconomic Dynamics," Working Papers e162, Tokyo Center for Economic Research.
    5. Paul Ho & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2022. "Multilateral Comovement in a New Keynesian World: A Little Trade Goes a Long Way," Working Paper 22-10, Federal Reserve Bank of Richmond.
    6. Fasolo, Angelo M. & Araujo, Eurilton & Jorge, Marcos Valli & Kornelius, Alexandre & Marinho, Leonardo Sousa Gomes, 2024. "Brazilian macroeconomic dynamics redux: Shocks, frictions, and unemployment in SAMBA model," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(2).
    7. Jabeen, Fauzia & Kaur, Puneet & Talwar, Shalini & Malodia, Suresh & Dhir, Amandeep, 2022. "I love you, but you let me down! How hate and retaliation damage customer-brand relationship," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
    8. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.

  12. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Panel Forecasts of Country-Level Covid-19 Infections," NBER Working Papers 27248, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fernández-Villaverde, Jesús & Jones, Chad, 2020. "Estimating and Simulating a SIRD Model of COVID-19 for Many Countries, States, and Cities," CEPR Discussion Papers 14711, C.E.P.R. Discussion Papers.
    2. Cem Cakmakli & Yasin Simsek, 2023. "Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model," Papers 2301.13692, arXiv.org.
    3. Li, Shaoran & Linton, Oliver, 2021. "When will the Covid-19 pandemic peak?," Journal of Econometrics, Elsevier, vol. 220(1), pages 130-157.
    4. Yothin Jinjarak & Rashad Ahmed & Sameer Nair-Desai & Weining Xin & Joshua Aizenman, 2020. "Accounting for Global COVID-19 Diffusion Patterns, January-April 2020," NBER Working Papers 27185, National Bureau of Economic Research, Inc.
    5. Hwang, Eunju, 2022. "Prediction intervals of the COVID-19 cases by HAR models with growth rates and vaccination rates in top eight affected countries: Bootstrap improvement," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    6. Chaohua Dong & Jiti Gao & Oliver Linton & Bin Peng, 2020. "On the Time Trend of COVID-19: A Panel Data Study," Papers 2006.11060, arXiv.org, revised Jun 2020.
    7. Yanqing Yang & Xingcheng Xu & Jinfeng Ge & Yan Xu, 2024. "Machine Learning for Economic Forecasting: An Application to China's GDP Growth," Papers 2407.03595, arXiv.org.
    8. Leonardo Martins & Marcelo C. Medeiros, 2021. "The Impacts of Mobility on Covid-19 Dynamics: Using Soft and Hard Data," Papers 2110.00597, arXiv.org.
    9. Sokbae (Simon) Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020. "Sparse HP filter: Finding kinks in the COVID-19 contact rate," CeMMAP working papers CWP32/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. Paul Ho, 2021. "Forecasting in the Absence of Precedent," Working Paper 21-10, Federal Reserve Bank of Richmond.
    11. Julliard, Christian & Shi, Ran & Yuan, Kathy, 2023. "The spread of COVID-19 in London: Network effects and optimal lockdowns," Journal of Econometrics, Elsevier, vol. 235(2), pages 2125-2154.
    12. Hartl, Tobias, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242380, Verein für Socialpolitik / German Economic Association.
    13. Zubarev, Andrei & Kirillova, Maria, 2022. "Modeling COVID-19 spread in the Russian Federation using global VAR approach," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 117-138.
    14. Ho, Paul & Lubik, Thomas A. & Matthes, Christian, 2023. "How to go viral: A COVID-19 model with endogenously time-varying parameters," Journal of Econometrics, Elsevier, vol. 232(1), pages 70-86.
    15. Christian Aleman & Christopher Busch & Alexander Ludwig & Raul Santaeulalia-Llopis, 2022. "A Stage-Based Identification of Policy Effects," PIER Working Paper Archive 22-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    16. Difang Huang & Ying Liang & Boyao Wu & Yanyi Ye, 2024. "Estimating the Impact of Social Distance Policy in Mitigating COVID-19 Spread with Factor-Based Imputation Approach," Papers 2405.12180, arXiv.org.
    17. Guenette,Justin Damien & Yamazaki,Takefumi, 2021. "Projecting the Economic Consequences of the COVID-19 Pandemic," Policy Research Working Paper Series 9589, The World Bank.
    18. Pierluigi Vallarino, 2024. "Dynamic kernel models," Tinbergen Institute Discussion Papers 24-082/III, Tinbergen Institute.
    19. Sen, Anindya & Baker, John David & Zhang, Qihuang & Agarwal, Rishav Raj & Lam, Jean-Paul, 2023. "Do more stringent policies reduce daily COVID-19 case counts? Evidence from Canadian provinces," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 225-242.
    20. Otilia Boldea & Adriana Cornea-Madeira & João Madeira, 2023. "Disentangling the effect of measures, variants, and vaccines on SARS-CoV-2 infections in England: a dynamic intensity model," The Econometrics Journal, Royal Economic Society, vol. 26(3), pages 444-466.
    21. Tobias Hartl, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," Papers 2102.10067, arXiv.org.

  13. Schorfheide, Frank & Liu, Laura & Moon, Hyungsik Roger, 2020. "Panel Forecasts of Country-Level Covid-19 Infectionsliu," CEPR Discussion Papers 14790, C.E.P.R. Discussion Papers.

    Cited by:

    1. Guenette,Justin Damien & Yamazaki,Takefumi, 2021. "Projecting the Economic Consequences of the COVID-19 Pandemic," Policy Research Working Paper Series 9589, The World Bank.

  14. Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2018. "On the Comparison of Interval Forecasts," PIER Working Paper Archive 18-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 02 Aug 2018.

    Cited by:

    1. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    2. Hyndman, Rob J., 2020. "A brief history of forecasting competitions," International Journal of Forecasting, Elsevier, vol. 36(1), pages 7-14.
    3. Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2021. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates," Working Papers 21-06, Federal Reserve Bank of Philadelphia.
    4. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    5. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Shin, Minchul, 2023. "Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1054-1086.
    6. Nico Keilman, 2020. "Evaluating Probabilistic Population Forecasts," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 520-521, pages 49-64.
    7. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
    8. Sayar Karmakar & Marek Chudý & Wei Biao Wu, 2022. "Long‐term prediction intervals with many covariates," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 587-609, July.
    9. James Mitchell & Martin Weale, 2021. "Censored Density Forecasts: Production and Evaluation," Working Papers 21-12R, Federal Reserve Bank of Cleveland, revised 16 Aug 2022.
    10. Makridakis, Spyros & Hyndman, Rob J. & Petropoulos, Fotios, 2020. "Forecasting in social settings: The state of the art," International Journal of Forecasting, Elsevier, vol. 36(1), pages 15-28.
    11. Francisca Corpas-Burgos & Miguel A. Martinez-Beneito, 2021. "An Autoregressive Disease Mapping Model for Spatio-Temporal Forecasting," Mathematics, MDPI, vol. 9(4), pages 1-17, February.
    12. Spyros Makridakis & Chris Fry & Fotios Petropoulos & Evangelos Spiliotis, 2022. "The Future of Forecasting Competitions: Design Attributes and Principles," INFORMS Joural on Data Science, INFORMS, vol. 1(1), pages 96-113, April.

  15. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2017. "Forecasting with Dynamic Panel Data Models," Papers 1709.10193, arXiv.org.

    Cited by:

    1. Mihaela Simionescu & Javier Cifuentes-Faura, 2022. "Forecasting National and Regional Youth Unemployment in Spain Using Google Trends," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 164(3), pages 1187-1216, December.
    2. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    3. Laura Liu, 2020. "Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective," CAEPR Working Papers 2020-003, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    4. Andrew Y. Chen & Tom Zimmermann, 2018. "Publication Bias and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2018-033, Board of Governors of the Federal Reserve System (U.S.).
    5. Hyungsik Roger Moon & Frank Schorfheide & Boyuan Zhang, 2023. "Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity," PIER Working Paper Archive 23-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    6. Laura Liu & Hyungsik Moon & Frank Schorfheide, 2016. "Forecasting with Dynamic Panel Data Models," PIER Working Paper Archive 16-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 21 Dec 2016.
    7. Chinco, Alex & Neuhierl, Andreas & Weber, Michael, 2021. "Estimating the anomaly base rate," Journal of Financial Economics, Elsevier, vol. 140(1), pages 101-126.
    8. Seoyoung Yu & Donghyun Kim, 2021. "Changes in Regional Economic Resilience after the 2008 Global Economic Crisis: The Case of Korea," Sustainability, MDPI, vol. 13(20), pages 1-14, October.
    9. Timmermann, Allan & Zhu, Yinchu, 2019. "Comparing Forecasting Performance with Panel Data," CEPR Discussion Papers 13746, C.E.P.R. Discussion Papers.
    10. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
    11. Antonio Pacifico, 2023. "Obesity and labour market outcomes in Italy: a dynamic panel data evidence with correlated random effects," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 24(4), pages 557-574, June.
    12. Randal Verbrugge & Alan Dorfman & William Johnson & Fred Marsh III & Robert Poole & Owen Shoemaker, 2017. "Determinants of Differential Rent Changes: Mean Reversion versus the Usual Suspects," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 45(3), pages 591-627, July.
    13. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
    14. Pengyu Chen & Yiannis Karavias & Elias Tzavalis, 2021. "Panel Unit Root Tests with Structural Breaks," London Stata Conference 2021 19, Stata Users Group.
    15. Raffaella Giacomini & Sokbae Lee & Silvia Sarpietro, 2023. "A Robust Method for Microforecasting and Estimation of Random Effects," Working Paper Series WP 2023-26, Federal Reserve Bank of Chicago.
    16. Lin, Jilei & Eck, Daniel J., 2021. "Minimizing post-shock forecasting error through aggregation of outside information," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1710-1727.
    17. Fabio Canova, 2024. "Should we trust cross‐sectional multiplier estimates?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 589-606, June.
    18. Yugang He, 2024. "E-commerce and foreign direct investment: pioneering a new era of trade strategies," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-14, December.
    19. Woloszko, Nicolas, 2024. "Nowcasting with panels and alternative data: The OECD weekly tracker," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1302-1335.
    20. Oguzhan Cepni & Riza Demirer & Rangan Gupta & Ahmet Sensoy, 2020. "Interest Rate Uncertainty and the Predictability of Bank Revenues," Working Papers 202040, University of Pretoria, Department of Economics.
    21. Laura Liu, 2017. "Density Forecasts in Panel Models: A semiparametric Bayesian Perspective," PIER Working Paper Archive 17-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 28 Apr 2017.
    22. Wang, Siquan & Lin, Boqiang, 2024. "Performance linkage in renewable energy supply chain: A comparative analysis with coal power and the entire industry," Energy Policy, Elsevier, vol. 193(C).
    23. Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Robust Forecasting," PIER Working Paper Archive 20-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
      • Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Robust Forecasting," Papers 2011.03153, arXiv.org, revised Dec 2020.
    24. Moffo, Ahmadou Mustapha Fonton, 2024. "A machine learning approach in stress testing US bank holding companies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
    25. Andrew Y. Chen, 2022. "Do t-Statistic Hurdles Need to be Raised?," Papers 2204.10275, arXiv.org, revised Apr 2024.
    26. Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2023. "Comparing forecasting performance in cross-sections," Journal of Econometrics, Elsevier, vol. 237(2).
    27. Greenaway-McGrevy, Ryan, 2022. "Forecast combination for VARs in large N and T panels," International Journal of Forecasting, Elsevier, vol. 38(1), pages 142-164.
    28. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
    29. Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).
    30. Ullah, Atta & Nobanee, Haitham & Ullah, Saif & Iftikhar, Huma, 2024. "Renewable energy transition and regional integration: Energizing the pathway to sustainable development," Energy Policy, Elsevier, vol. 193(C).

  16. Eleonora Granziera & Hyungsik Roger Moon & Frank Schorfheide, 2017. "Inference for VARs Identified with Sign Restrictions," Papers 1709.10196, arXiv.org, revised Feb 2018.

    Cited by:

    1. Raffaella Giacomini & Toru Kitagawa, 2014. "Inference about Non-Identi?ed SVARs," CeMMAP working papers CWP45/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Mayer, Eric & Rüth, Sebastian & Scharler, Johann, 2016. "Total factor productivity and the propagation of shocks: Empirical evidence and implications for the business cycle," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 335-346.
    3. Klug, Thorsten & Mayer, Eric & Schuler, Tobias, 2021. "The corporate saving glut and the current account in Germany," Working Paper Series 2586, European Central Bank.
    4. Isaiah Andrews & Timothy B. Armstrong, 2015. "Unbiased Instrumental Variables Estimation under Known First-Stage Sign," Cowles Foundation Discussion Papers 1984R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2015.
    5. Candelon, Bertrand & Lieb, Lenard, 2013. "Fiscal policy in good and bad times," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2679-2694.
    6. Mark W. Watson, 2019. "Comment on "On the Empirical (Ir)relevance of the Zero Lower Bound Constraint"," NBER Chapters, in: NBER Macroeconomics Annual 2019, volume 34, pages 182-193, National Bureau of Economic Research, Inc.
    7. Andreas Tryphonides, 2023. "Online Appendix to "Identifying Preferences when Households are Financially Constrained"," Online Appendices 21-242, Review of Economic Dynamics.
    8. IWATA, Yasuharu & IIBOSHI, Hirokuni, 2023. "The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter," MPRA Paper 116355, University Library of Munich, Germany.
    9. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2014. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," Dynare Working Papers 30, CEPREMAP.
    10. Bicu, A.C. & Lieb, L.M., 2015. "Cross-border effects of fiscal policy in the Eurozone," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
    11. Herwartz, Helmut & Plödt, Martin, 2014. "Sign restrictions and statistical identification under volatility breaks -- Simulation based evidence and an empirical application to monetary policy analysis," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100326, Verein für Socialpolitik / German Economic Association.
    12. Hyunseung Oh & Nicolas Crouzet, 2013. "Can news shocks account for the business-cycle dynamics of inventories?," 2013 Meeting Papers 504, Society for Economic Dynamics.
    13. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
    14. Pooyan Amir Ahmadi & Harald Uhlig, 2015. "Sign Restrictions in Bayesian FaVARs with an Application to Monetary Policy Shocks," NBER Working Papers 21738, National Bureau of Economic Research, Inc.
    15. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2022. "Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States," CAMA Working Papers 2022-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    16. Andrea Carriero & Alessio Volpicella, 2022. "Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty," School of Economics Discussion Papers 0322, School of Economics, University of Surrey.
    17. Kilian, Lutz & Murphy, Daniel, 2009. "Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models," CEPR Discussion Papers 7471, C.E.P.R. Discussion Papers.
    18. Jordi Brandts & Sabrine El Baroudi & Stefanie Huber & Christina Rott, 2022. "Gender Differences in Private and Public Goal Setting," Tinbergen Institute Discussion Papers 22-008/II, Tinbergen Institute.
    19. Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    20. Adam Lee & Geert Mesters, 2021. "Locally Robust Inference for Non-Gaussian Linear Simultaneous Equations Models," Working Papers 1278, Barcelona School of Economics.
    21. Sergio Ocampo & Norberto Rodríguez, 2011. "An Introductory Review of a Structural VAR-X Estimation and Applications," Borradores de Economia 686, Banco de la Republica de Colombia.
    22. Christiane Baumeister & James D. Hamilton, 2018. "Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," CESifo Working Paper Series 7048, CESifo.
    23. Gerald A. Carlino & Thorsten Drautzburg, 2017. "The Role of Startups for Local Labor Markets," Working Papers 17-31, Federal Reserve Bank of Philadelphia.
    24. Pooyan Amir‐Ahmadi & Christian Matthes & Mu‐Chun Wang, 2016. "Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century," Quantitative Economics, Econometric Society, vol. 7(2), pages 591-611, July.
    25. Christiane Baumeister & James D. Hamilton, 2015. "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," Econometrica, Econometric Society, vol. 83(5), pages 1963-1999, September.
    26. Sam Ouliaris & Adrian Pagan, 2022. "Three Basic Issues that Arise when Using Informational Restrictions in SVARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 1-20, February.
    27. Inoue, Atsushi & Kilian, Lutz, 2013. "Inference on impulse response functions in structural VAR models," Journal of Econometrics, Elsevier, vol. 177(1), pages 1-13.
    28. Kocięcki, Andrzej, 2017. "Fully Bayesian Analysis of SVAR Models under Zero and Sign Restrictions," MPRA Paper 81094, University Library of Munich, Germany.
    29. James H. Stock, 2010. "The Other Transformation in Econometric Practice: Robust Tools for Inference," Journal of Economic Perspectives, American Economic Association, vol. 24(2), pages 83-94, Spring.
    30. Matthew Read, 2023. "Estimating the Effects of Monetary Policy in Australia Using Sign‐restricted Structural Vector Autoregressions," The Economic Record, The Economic Society of Australia, vol. 99(326), pages 329-358, September.
    31. Fischer, Andreas & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," CEPR Discussion Papers 15777, C.E.P.R. Discussion Papers.
    32. Pooyan Amir-Ahmadi & Thorsten Drautzburg, 2017. "Identification through Heterogeneity," CESifo Working Paper Series 6359, CESifo.
    33. Matthew Read, 2021. "Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions," Papers 2109.10676, arXiv.org, revised Jan 2022.
    34. Danne, Christian, 2015. "VARsignR: Estimating VARs using sign restrictions in R," MPRA Paper 68429, University Library of Munich, Germany.
    35. Pooyan Amir-Ahmadi & Gustavo S. Cortes & Marc D. Weidenmier, 2020. "Regional Monetary Policies and the Great Depression," NBER Working Papers 26695, National Bureau of Economic Research, Inc.
    36. Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
    37. Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2020. "Uncertain Identification," CeMMAP working papers CWP33/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    38. Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
    39. Atsushi Inoue & Lutz Kilian, 2019. "The Uniform Validity of Impulse Response Inference in Autoregressions," Working Papers 1908, Federal Reserve Bank of Dallas.
    40. Gregory Bauer & Eleonora Granziera, 2016. "Monetary Policy, Private Debt and Financial Stability Risks," Staff Working Papers 16-59, Bank of Canada.
    41. Diegel, Max & Nautz, Dieter, 2021. "Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
    42. Pérez-Forero, Fernando & Vega, Marco, 2014. "The Dynamic Effects of Interest Rates and Reserve Requirements," Working Papers 2014-018, Banco Central de Reserva del Perú.
    43. Emanuele Bacchiocchi & Toru Kitagawa, 2020. "Locally- but not globally-identified SVARs," CeMMAP working papers CWP40/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    44. Francesca Molinari, 2020. "Microeconometrics with Partial Identi?cation," CeMMAP working papers CWP15/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    45. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
    46. Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2020. "Robust Bayesian inference in proxy SVARs," CeMMAP working papers CWP13/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    47. Njindan Iyke, Bernard, 2015. "Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa," MPRA Paper 69610, University Library of Munich, Germany, revised 01 Feb 2016.
    48. Raffaella Giacomini & Toru Kitagawa, 2018. "Robust Bayesian inference for set-identified models," CeMMAP working papers CWP61/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    49. Rüth, Sebastian & Mayer, Eric & Scharler, Johann, 2014. "TFP and the Transmission of Shocks," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100549, Verein für Socialpolitik / German Economic Association.
    50. Matthew Read, 2022. "The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions," RBA Research Discussion Papers rdp2022-04, Reserve Bank of Australia.
    51. Njindan Iyke, Bernard, 2016. "Are Monetary Policy Disturbances Important in Ghana? Some Evidence from Agnostic Identification," MPRA Paper 70205, University Library of Munich, Germany.
    52. IIBOSHI, Hirokuni & IWATA, Yasuharu, 2023. "The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter," MPRA Paper 116347, University Library of Munich, Germany.
    53. Keating, John W., 2013. "What do we learn from Blanchard and Quah decompositions of output if aggregate demand may not be long-run neutral?," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 203-217.
    54. Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Robust inference for non-Gaussian SVAR models," Economics Working Papers 1847, Department of Economics and Business, Universitat Pompeu Fabra.
    55. Adam Lee & Lukas Hoesch & Geert Mesters, 2022. "Locally Robust Inference for Non-Gaussian SVAR Models," Working Papers 1367, Barcelona School of Economics.
    56. Gan‐Ochir Doojav & Davaasukh Damdinjav, 2023. "The macroeconomic effects of unconventional monetary policies in a commodity‐exporting economy: Evidence from Mongolia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4627-4654, October.
    57. Matthew Read, 2024. "Sign Restrictions and Supply-demand Decompositions of Inflation," RBA Research Discussion Papers rdp2024-05, Reserve Bank of Australia.
    58. Giraitis, Liudas & Kapetanios, George & Theodoridis, Konstantinos & Yates, Tony, 2014. "Estimating time-varying DSGE models using minimum distance methods," Bank of England working papers 507, Bank of England.
    59. Paul Carrillo‐Maldonado, 2023. "Partial identification for growth regimes: The case of Latin American countries," Metroeconomica, Wiley Blackwell, vol. 74(3), pages 557-583, July.
    60. Pooyan Amir‐Ahmadi & Thorsten Drautzburg, 2021. "Identification and inference with ranking restrictions," Quantitative Economics, Econometric Society, vol. 12(1), pages 1-39, January.
    61. Breitenlechner, Max & Scharler, Johann, 2017. "Decomposing the U.S. Great Depression: How important were Loan Supply Shocks?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168208, Verein für Socialpolitik / German Economic Association.
    62. Breitenlechner, Max & Nuutilainen, Riikka, 2019. "China's monetary policy and the loan market: How strong is the credit channel in China?," BOFIT Discussion Papers 15/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    63. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2017. "Shock Restricted Structural Vector-Autoregressions," NBER Working Papers 23225, National Bureau of Economic Research, Inc.
    64. John W. Keating, 2013. "What Do We Learn from Blanchard and Quah Decompositions If Aggregate Demand May Not be Long-Run Neutral?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201302, University of Kansas, Department of Economics.
    65. Andreas Tryphonides, 2020. "Identifying Preferences when Households are Financially Constrained," Papers 2005.02010, arXiv.org, revised Feb 2023.
    66. Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).

  17. Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2016. "Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility," NBER Working Papers 22615, National Bureau of Economic Research, Inc.

    Cited by:

    1. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
    2. Ivashchenko, S., 2020. "Long-term growth sources for sectors of Russian economy," Journal of the New Economic Association, New Economic Association, vol. 48(4), pages 86-112.
    3. Jan Philipp Fritsche & Mathias Klein & Malte Rieth, 2020. "Government Spending Multipliers in (Un)certain Times," Discussion Papers of DIW Berlin 1901, DIW Berlin, German Institute for Economic Research.
    4. Jonathan Benchimol & Sergey Ivashchenko, 2020. "Switching Volatility in a Nonlinear Open Economy," CFDS Discussion Paper Series 2020/8, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    5. Gary Koop & Dimitris Korobilis, 2018. "Forecasting with High-Dimensional Panel VARs," Working Paper series 18-20, Rimini Centre for Economic Analysis.
    6. Sergey Ivashchenko, 2022. "Dynamic Stochastic General Equilibrium Model with Multiple Trends and Structural Breaks," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 46-72, March.
    7. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    8. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    9. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Liberty Street Economics 20190821, Federal Reserve Bank of New York.
    10. Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
    11. James Morley & Irina B Panovska, 2016. "Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?," Discussion Papers 2016-12, School of Economics, The University of New South Wales.
    12. Ramis Khabibullin & Sergei Seleznev, 2022. "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Papers 2210.07154, arXiv.org.
    13. Di Bartolomeo, Giovanni & Serpieri, Carolina, 2024. "Optimal monetary policy and the time-dependent price and wage Phillips curves: An international comparison," Journal of International Money and Finance, Elsevier, vol. 146(C).
    14. Angelini, Giovanni & Gorgi, Paolo, 2018. "DSGE Models with observation-driven time-varying volatility," Economics Letters, Elsevier, vol. 171(C), pages 169-171.
    15. Yantao Gao & Xilong Yao & Wenxi Wang & Xin Liu, 2019. "Dynamic effect of environmental tax on export trade: Based on DSGE mode," Energy & Environment, , vol. 30(7), pages 1275-1290, November.
    16. Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," CFS Working Paper Series 577, Center for Financial Studies (CFS).
    17. Siddhartha Chib & Minchul Shin & Fei Tan, 2020. "High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗," Working Papers 20-35, Federal Reserve Bank of Philadelphia.
    18. Farooq Akram & Andrew Binning & Junior Maih, 2016. "Joint prediction bands for macroeconomic risk management," Working Paper 2016/7, Norges Bank.
    19. Reifschneider, David & Tulip, Peter, 2019. "Gauging the uncertainty of the economic outlook using historical forecasting errors: The Federal Reserve’s approach," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1564-1582.
    20. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
    21. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
    22. Poledna, Sebastian & Miess, Michael Gregor & Hommes, Cars & Rabitsch, Katrin, 2023. "Economic forecasting with an agent-based model," European Economic Review, Elsevier, vol. 151(C).
    23. David Alaminos & M. Belén Salas & Manuel A. Fernández-Gámez, 2022. "Quantum Computing and Deep Learning Methods for GDP Growth Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 803-829, February.
    24. Cars Hommes & Mario He & Sebastian Poledna & Melissa Siqueira & Yang Zhang, 2022. "CANVAS: A Canadian Behavioral Agent-Based Model," Staff Working Papers 22-51, Bank of Canada.
    25. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021. "Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty," Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
    26. Jinshun Wu & Luyao Wu, 2024. "Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2437-2476, October.
    27. Yolanda S. Stander, 2023. "The Governance and Disclosure of IFRS 9 Economic Scenarios," JRFM, MDPI, vol. 16(1), pages 1-27, January.
    28. Sergey Ivashchenko & Semih Emre Cekin & Rangan Gupta & Chien-Chiang Lee, 2022. "Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form," Working Papers 202204, University of Pretoria, Department of Economics.
    29. Dmitry Kreptsev & Sergei Seleznev, 2018. "Forecasting for the Russian Economy Using Small-Scale DSGE Models," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 51-67, June.
    30. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.
    31. Bäurle Gregor & Kaufmann Daniel & Kaufmann Sylvia & Strachan Rodney, 2020. "Constrained interest rates and changing dynamics at the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-26, April.
    32. Michael P Clements & Ana Beatriz Galvao, 2017. "Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables," ICMA Centre Discussion Papers in Finance icma-dp2017-01, Henley Business School, University of Reading.
    33. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    34. Carriero, Andrea & Galvão, Ana Beatriz & Kapetanios, George, 2019. "A comprehensive evaluation of macroeconomic forecasting methods," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1226-1239.
    35. Musa Abdu & Adamu Jibir & Salihu Abdullahi & Aisha Adamu Hassan, 2021. "Drivers of manufacturing firms’ productivity: a micro-perspective to industrialization in Nigeria," SN Business & Economics, Springer, vol. 1(2), pages 1-17, February.
    36. David L. Reifschneider & Peter Tulip, 2017. "Gauging the Uncertainty of the Economic Outlook Using Historical Forecasting Errors : The Federal Reserve's Approach," Finance and Economics Discussion Series 2017-020, Board of Governors of the Federal Reserve System (U.S.).
    37. James Morley, 2019. "The business cycle: periodic pandemic or rollercoaster ride?," International Journal of Economic Policy Studies, Springer, vol. 13(2), pages 425-431, August.
    38. Sun Xiaojin & Tsang Kwok Ping, 2019. "What cycles? Data detrending in DSGE models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(3), pages 1-23, June.
    39. Sergey M. Ivashchenko, 2019. "DSGE Models: Problem of Trends," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 81-95, April.
    40. Xiao-Li Gong & Jin-Yan Lu & Xiong Xiong & Wei Zhang, 2022. "Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-22, December.

  18. Edward P. Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," Finance and Economics Discussion Series 2016-072, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Joshua C. C. Chan, 2024. "BVARs and stochastic volatility," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 3, pages 43-67, Edward Elgar Publishing.
    2. Mengheng Li & Siem Jan Koopman, 2021. "Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 614-627, August.
    3. Pablo A. Cuba-Borda & Luca Guerrieri & Matteo Iacoviello & Molin Zhong, 2019. "Likelihood Evaluation of Models with Occasionally Binding Constraints," Finance and Economics Discussion Series 2019-028, Board of Governors of the Federal Reserve System (U.S.).
    4. Wolf, Elias, 2022. "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers 2022/2, Free University Berlin, School of Business & Economics.
    5. Edward P. Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," Finance and Economics Discussion Series 2016-072, Board of Governors of the Federal Reserve System (U.S.).
    6. Sergei Seleznev, 2016. "Solving DSGE models with stochastic trends," Bank of Russia Working Paper Series wps15, Bank of Russia.
    7. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    8. Wolf, Elias, 2023. "Estimating Growth at Risk with Skewed Stochastic Volatility Models," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277696, Verein für Socialpolitik / German Economic Association.
    9. Umberto Picchini & Adeline Samson, 2018. "Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models," Computational Statistics, Springer, vol. 33(1), pages 179-212, March.
    10. Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2022. "Conditional density forecasting: a tempered importance sampling approach," Working Paper Series 2754, European Central Bank.
    11. Boehl, Gregor & Strobel, Felix, 2024. "The empirical performance of the financial accelerator since 2008," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
    12. Minsu Chang, 2019. "A House Without a Ring: The Role of Changing Marital Transitions for Housing Decisions," 2019 Meeting Papers 514, Society for Economic Dynamics.
    13. Sanha Noh, 2020. "Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 795-841, December.
    14. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.

  19. S. Boragan Aruoba & Pablo A. Cuba-Borda & Frank Schorfheide, 2016. "Macroeconomic Dynamics Near the ZLB : A Tale of Two Countries," International Finance Discussion Papers 1163, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. William T. Gavin & Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The stimulative effect of forward guidance," Working Papers 2013-38, Federal Reserve Bank of St. Louis.
    2. He Nie & Jordan Roulleau-Pasdeloup, 2022. "Online Appendix to "The promises (and perils) of control-contingent forward guidance"," Online Appendices 21-153, Review of Economic Dynamics.
    3. Robert Kollmann, 2021. "Effects of Covid-19 on Euro area GDP and inflation: demand vs. supply disturbances," International Economics and Economic Policy, Springer, vol. 18(3), pages 475-492, July.
    4. Pablo Cuba-Borda & Sanjay R. Singh, 2022. "Understanding Persistent ZLB: Theory and Assessment," Working Papers 346, University of California, Davis, Department of Economics.
    5. Kaufmann, Daniel & Bäurle, Gregor, 2013. "Exchange Rate and Price Dynamics at the Zero Lower Bound," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79872, Verein für Socialpolitik / German Economic Association.
    6. Leith, Campbell & Liu, Ding, 2016. "The inflation bias under Calvo and Rotemberg pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 283-297.
    7. Seppo Honkapohja & Kaushik Mitra & George Evans, 2017. "Expectations, Stagnation and Fiscal Policy," 2017 Meeting Papers 160, Society for Economic Dynamics.
    8. Mauro Napoletano & Andrea Roventini & Jean-Luc Gaffard, 2015. "Time-Varying Fiscal Multipliers in an Agent-Based Model with Credit Rationing," LEM Papers Series 2015/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    9. Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2022. "Monetary policy, rational confidence, and Neo‐Fisherian depressions," Metroeconomica, Wiley Blackwell, vol. 73(4), pages 1179-1199, November.
    10. Böhl, Gregor & Hommes, Cars H., 2021. "Rational vs. irrational beliefs in a complex world," IMFS Working Paper Series 156, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    11. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    12. Yasuo Hirose & Atsushi Inoue, 2013. "Zero Lower Bound and Parameter Bias in an Estimated DSGE Model," TERG Discussion Papers 308, Graduate School of Economics and Management, Tohoku University.
    13. Philip Coyle & Taisuke Nakata, 2020. "Optimal Inflation Target with Expectations-Driven Liquidity Traps," CARF F-Series CARF-F-485, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    14. De Grauwe, Paul & Ji, Yuemei, 2016. "Inflation Targets And The Zero Lower Bound In A Behavioral Macroeconomic Model," CEPR Discussion Papers 11320, C.E.P.R. Discussion Papers.
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    1. Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo, 2021. "Bargaining shocks and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    2. Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2017. "On weak identification in structural VARMA models," Economics Letters, Elsevier, vol. 156(C), pages 1-6.
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    4. Pablo A. Guerron-Quintana & Tomohiro Hirano & Ryo Jinnai, 2019. "Recurrent Bubbles and Economic Growth," CARF F-Series CARF-F-457, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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    Cited by:

    1. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    2. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
    3. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    4. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
    5. George Papadopoulos & Savas Papadopoulos & Thomas Sager, 2016. "Credit risk stress testing for EU15 banks: a model combination approach," Working Papers 203, Bank of Greece.
    6. Pablo Cuba-Borda & Sanjay R. Singh, 2022. "Understanding Persistent ZLB: Theory and Assessment," Working Papers 346, University of California, Davis, Department of Economics.
    7. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
    8. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
    9. Tony Chernis & Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Predictive Density Combination Using a Tree-Based Synthesis Function," Working Papers 23-30, Federal Reserve Bank of Cleveland.
    10. Szabolcs Deák & Paul Levine & Afrasiab Mirza & Joseph Pearlman, 2019. "Designing Robust Monetary Policy Using Prediction Pools," School of Economics Discussion Papers 1219, School of Economics, University of Surrey.
    11. Čapek, Jan & Crespo Cuaresma, Jesús & Hauzenberger, Niko & Reichel, Vlastimil, 2023. "Macroeconomic forecasting in the euro area using predictive combinations of DSGE models," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1820-1838.
    12. Chris McDonald & Craig Thamotheram & Shaun P. Vahey & Elizabeth C. Wakerly, 2016. "Assessing the economic value of probabilistic forecasts in the presence of an inflation target," Reserve Bank of New Zealand Discussion Paper Series DP2016/10, Reserve Bank of New Zealand.
    13. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    14. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    15. Li Li & Yanfei Kang & Feng Li, 2021. "Bayesian forecast combination using time-varying features," Papers 2108.02082, arXiv.org, revised Jun 2022.
    16. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    17. Li, Bing & Pei, Pei & Tan, Fei, 2021. "Financial distress and fiscal inflation," Journal of Macroeconomics, Elsevier, vol. 70(C).
    18. Nalan Basturk & Agnieszka Borowska & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2018. "Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies," Working Paper 2018/10, Norges Bank.
    19. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Liberty Street Economics 20190821, Federal Reserve Bank of New York.
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    21. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
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    64. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
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    66. Wright, Jonathan H., 2019. "Some observations on forecasting and policy," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1186-1192.
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    69. Holden, Tom D. & Levine, Paul & Swarbrick, Jonathan M., 2017. "Credit crunches from occasionally binding bank borrowing constraints," EconStor Preprints 168441, ZBW - Leibniz Information Centre for Economics.
    70. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2017. "Model uncertainty in macroeconomics: On the implications of financial frictions," IMFS Working Paper Series 114, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    71. Anders Warne & Günter Coenen & Kai Christoffel, 2017. "Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
    72. Chernis Tony, 2024. "Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 293-317, April.
    73. Boriss Siliverstovs & Daniel S. Wochner, 2021. "State‐dependent evaluation of predictive ability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 547-574, April.
    74. Marco Del Negro, 2017. "EconomicDynamics Interview: Marco Del Negro about DSGE modelling in policy," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 18(1), April.
    75. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
    76. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2018. "Robust Macroprudential Policy Rules under Model Uncertainty," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181503, Verein für Socialpolitik / German Economic Association.
    77. Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Paper 2019/2, Norges Bank.
    78. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    79. Wang, Shengjie & Kang, Yanfei & Petropoulos, Fotios, 2024. "Combining probabilistic forecasts of intermittent demand," European Journal of Operational Research, Elsevier, vol. 315(3), pages 1038-1048.
    80. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
    81. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    82. Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
    83. Ben S. Bernanke, 2018. "The Real Effects of Disrupted Credit: Evidence from the Global Financial Crisis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 251-342.
    84. Luca Onorante & Adrian E. Raftery, 2014. "Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window," Papers 1410.7799, arXiv.org.
    85. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
    86. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
    87. McAlinn, Kenichiro & West, Mike, 2019. "Dynamic Bayesian predictive synthesis in time series forecasting," Journal of Econometrics, Elsevier, vol. 210(1), pages 155-169.
    88. Dmitry Kreptsev & Sergei Seleznev, 2018. "Forecasting for the Russian Economy Using Small-Scale DSGE Models," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 51-67, June.
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  22. Schorfheide, Frank & Wolpin, Kenneth I., 2014. "To Hold Out or Not to Hold Out," Working Papers 14-018, Rice University, Department of Economics.

    Cited by:

    1. Jia, Zhiyang & Vattø, Trine Engh, 2021. "Predicting the path of labor supply responses when state dependence matters," Labour Economics, Elsevier, vol. 71(C).
    2. John Rust, 2014. "The Limits of Inference with Theory: A Review of Wolpin (2013)," Journal of Economic Literature, American Economic Association, vol. 52(3), pages 820-850, September.
    3. de Bresser, Jochem, 2021. "Evaluating the Accuracy of Counterfactuals The Role of Heterogeneous Expectations in Life Cycle Models," Discussion Paper 2021-034, Tilburg University, Center for Economic Research.
    4. Maibom, Jonas, 2021. "The Danish Labor Market Experiments: Methods and Findings," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2021(1), pages 1-21.
    5. Sebastian Galiani & Juan Pantano, 2021. "Structural Models: Inception and Frontier," NBER Working Papers 28698, National Bureau of Economic Research, Inc.
    6. Banghua Zhu & Sai Praneeth Karimireddy & Jiantao Jiao & Michael I. Jordan, 2023. "Online Learning in a Creator Economy," Papers 2305.11381, arXiv.org.
    7. Banghua Zhu & Stephen Bates & Zhuoran Yang & Yixin Wang & Jiantao Jiao & Michael I. Jordan, 2022. "The Sample Complexity of Online Contract Design," Papers 2211.05732, arXiv.org, revised May 2023.
    8. de Bresser, Jochem, 2021. "Evaluating the Accuracy of Counterfactuals The Role of Heterogeneous Expectations in Life Cycle Models," Other publications TiSEM a7e2b4d8-fed0-4e86-926f-d, Tilburg University, School of Economics and Management.

  23. S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP measurement: a measurement-error perspective," Working Papers 13-16, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Jeremy J. Nalewaik, 2014. "Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression," Finance and Economics Discussion Series 2014-27, Board of Governors of the Federal Reserve System (U.S.).
    2. Reinelt, Timo & Meier, Matthias, 2020. "Monetary policy, markup dispersion, and aggregate TFP," Working Paper Series 2427, European Central Bank.
    3. Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe & Glenn D. Rudebusch & Boyuan Zhang, 2020. "Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach," Papers 2003.14276, arXiv.org, revised Aug 2020.
    4. Arabinda Basistha, 2023. "Estimation of short‐run predictive factor for US growth using state employment data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 34-50, January.
    5. Daniel Aaronson & Scott A. Brave & Michael Fogarty & Ezra Karger & Spencer D. Krane, 2021. "Tracking U.S. Consumers in Real Time with a New Weekly Index of Retail Trade," Working Paper Series WP-2021-05, Federal Reserve Bank of Chicago, revised 18 Jun 2021.
    6. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    7. Anesti, Nikoleta & Galvao, Ana Beatriz & Miranda-Agrippino, Silvia, 2018. "Uncertain kingdom: nowcasting GDP and its revisions," LSE Research Online Documents on Economics 90382, London School of Economics and Political Science, LSE Library.
    8. Nalewaik, Jeremy & Pinto, Eugénio, 2015. "The response of capital goods shipments to demand over the business cycle," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 62-80.
    9. Sekine, Toshitaka, 2022. "Looking from Gross Domestic Income: Alternative view of Japan’s economy," Japan and the World Economy, Elsevier, vol. 64(C).
    10. John C. Williams, 2015. "The recovery’s final frontier?," Speech 150, Federal Reserve Bank of San Francisco.
    11. Petrella, Ivan & Venditti, Fabrizio & Delle Monache, Davide, 2016. "Adaptive state space models with applications to the business cycle and financial stress," CEPR Discussion Papers 11599, C.E.P.R. Discussion Papers.
    12. Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
    13. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Reconciled Estimates of Monthly GDP in the US," Working Papers 22-01, Federal Reserve Bank of Cleveland.
    14. Tomaz Cajner & Leland D. Crane & Ryan A. Decker & Adrian Hamins-Puertolas & Christopher Kurz, 2019. "Improving the Accuracy of Economic Measurement with Multiple Data Sources: The Case of Payroll Employment Data," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 147-170, National Bureau of Economic Research, Inc.
    15. Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
    16. Peter A.G. van Bergeijk, 2017. "Making Data Measurement Errors Transparent: The Case of the IMF," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 18(3), pages 133-154, July.
    17. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
    18. Daniel Rees & David Lancaster & Richard Finlay, 2014. "A State-space Approach to Australian GDP Measurement," RBA Research Discussion Papers rdp2014-12, Reserve Bank of Australia.
    19. Tom Stark, 2014. "Real-time performance of GDPplus and alternative model-based measures of GDP: 2005—2014," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue Nov.
    20. Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2022. "GDP Solera: The Ideal Vintage Mix," CEPR Discussion Papers 17196, C.E.P.R. Discussion Papers.
    21. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP Measurement: A Forecast Combination Perspective," PIER Working Paper Archive 11-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    22. Jan-Benedict E. M. Steenkamp & Alberto Maydeu-Olivares, 2023. "Unrestricted factor analysis: A powerful alternative to confirmatory factor analysis," Journal of the Academy of Marketing Science, Springer, vol. 51(1), pages 86-113, January.
    23. Onno Kleen, 2024. "Scaling and measurement error sensitivity of scoring rules for distribution forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 833-849, August.
    24. Garciga, Christian & Knotek II, Edward S., 2019. "Forecasting GDP growth with NIPA aggregates: In search of core GDP," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1814-1828.
    25. Jiang, Fuwei & Kang, Jie & Meng, Lingchao, 2024. "Certainty of uncertainty for asset pricing," Journal of Empirical Finance, Elsevier, vol. 78(C).
    26. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
    27. Prydz, Espen Beer & Jolliffe, Dean & Serajuddin, Umar, 2021. "Mind the Gap," GLO Discussion Paper Series 944, Global Labor Organization (GLO).
    28. Eiji Goto & Jan P.A.M. Jacobs & Tara M. Sinclair & Simon van Norden, 2021. "Employment Reconciliation and Nowcasting," Working Papers 2021-007, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    29. Carriero, Andrea & Clements, Michael P. & Galvão, Ana Beatriz, 2015. "Forecasting with Bayesian multivariate vintage-based VARs," International Journal of Forecasting, Elsevier, vol. 31(3), pages 757-768.
    30. Geng, Pei, 2022. "Estimation of functional-coefficient autoregressive models with measurement error," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    31. John G. Fernald & J. Christina Wang, 2015. "Why has the cyclicality of productivity changed?: what does it mean?," Current Policy Perspectives 15-6, Federal Reserve Bank of Boston.
    32. Gospodinov, Nikolay & Komunjer, Ivana & Ng, Serena, 2017. "Simulated minimum distance estimation of dynamic models with errors-in-variables," Journal of Econometrics, Elsevier, vol. 200(2), pages 181-193.
    33. Lee, Hangyu & Kim, Tae Bong, 2023. "The effectiveness of labor market indicators for conducting monetary policy: Evidence from the Korean economy," Economic Modelling, Elsevier, vol. 118(C).
    34. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
    35. John C. Williams, 2015. "Looking forward, forward looking: the path for monetary policy," Speech 138, Federal Reserve Bank of San Francisco.
    36. John C. Williams, 2015. "Data is the new black: monetary policy by the numbers," Speech 140, Federal Reserve Bank of San Francisco.
    37. Pinkwart, Nicolas, 2018. "Short-term forecasting economic activity in Germany: A supply and demand side system of bridge equations," Discussion Papers 36/2018, Deutsche Bundesbank.
    38. Ben Zeev, Nadav & Pappa, Evi, 2015. "Multipliers of unexpected increases in defense spending: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 205-226.
    39. John C. Williams, 2015. "Looking forward: the path for monetary policy," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    40. Andrew C. Chang & Phillip Li, 2018. "Measurement Error In Macroeconomic Data And Economics Research: Data Revisions, Gross Domestic Product, And Gross Domestic Income," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1846-1869, July.
    41. Wankeun Oh & Jonghyun Yoo, 2020. "Long-Term Increases and Recent Slowdowns of CO 2 Emissions in Korea," Sustainability, MDPI, vol. 12(17), pages 1-13, August.
    42. Tom Stark, 2015. "First quarters in the national income and product accounts," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue May.
    43. Yannic Stucki, 2022. "Measuring Swiss employment growth: a measurement-error approach," Working Papers 2022-11, Swiss National Bank.
    44. Nikoleta Anesti & Ana Beatriz Galvão & Silvia Miranda‐Agrippino, 2022. "Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 42-62, January.
    45. Nikolay Gospodinov & Ivana Komunjer & Serena Ng, 2014. "Minimum Distance Estimation of Dynamic Models with Errors-In-Variables," FRB Atlanta Working Paper 2014-11, Federal Reserve Bank of Atlanta.
    46. van Bergeijk, P.A.G., 2017. "Measurement error of global production," ISS Working Papers - General Series 632, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague.
    47. Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper 559, Tor Vergata University, CEIS, revised 15 Jun 2023.
    48. Matthew Read, 2024. "Sign Restrictions and Supply-demand Decompositions of Inflation," RBA Research Discussion Papers rdp2024-05, Reserve Bank of Australia.
    49. Kurt Graden Lunsford, 2023. "The Discrepancy Between Expenditure- and Income-Side Estimates of US Output," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2023(01), pages 1-7, January.
    50. Ammi, Mehdi & Arpin, Emmanuelle & Allin, Sara, 2021. "Interpreting forty-three-year trends of expenditures on public health in Canada: Long-run trends, temporal periods, and data differences," Health Policy, Elsevier, vol. 125(12), pages 1557-1564.
    51. Alifatussaadah, Ardiana & Primariesty, Anindya Diva & Soleh, Agus Mohamad & Andriansyah, Andriansyah, 2019. "Nowcasting Indonesia's GDP Growth: Are Fiscal Data Useful?," MPRA Paper 105252, University Library of Munich, Germany.
    52. Hu, Yingyao & Yao, Jiaxiong, 2022. "Illuminating economic growth," Journal of Econometrics, Elsevier, vol. 228(2), pages 359-378.
    53. Jan P.A.M. Jacobs & Samad Sarferaz & Simon van Norden & Jan-Egbert Sturm, 2013. "Modeling Multivariate Data Revisions," CIRANO Working Papers 2013s-44, CIRANO.
    54. Florian Eckert & Nina Mühlebach, 2023. "Global and local components of output gaps," Empirical Economics, Springer, vol. 65(5), pages 2301-2331, November.
    55. Víctor M. Guerrero & Juan A. Mendoza, 2019. "On measuring economic growth from outer space: a single country approach," Empirical Economics, Springer, vol. 57(3), pages 971-990, September.
    56. Gyurkovics, Éva & Takács, Tibor, 2022. "Robust energy-to-peak filter design for a class of unstable polytopic systems with a macroeconomic application," Applied Mathematics and Computation, Elsevier, vol. 420(C).

  24. S. Boragan Aruoba & Frank Schorfheide, 2013. "Macroeconomic dynamics near the ZLB: a tale of two equilibria," Working Papers 13-29, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Gilles Dufrénot & Guillaume A. Khayat, 2017. "Monetary Policy Switching in the Euro Area and Multiple Steady States: An Empirical Investigation," Post-Print hal-01590000, HAL.
    2. Bernard Dumas & Marcel R. Savioz, 2020. "A theory of the nominal character of stock securities," Working Papers 2020-03, Swiss National Bank.
    3. William T. Gavin & Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The stimulative effect of forward guidance," Working Papers 2013-38, Federal Reserve Bank of St. Louis.
    4. Kaufmann, Daniel & Bäurle, Gregor, 2013. "Exchange Rate and Price Dynamics at the Zero Lower Bound," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79872, Verein für Socialpolitik / German Economic Association.
    5. Leith, Campbell & Liu, Ding, 2016. "The inflation bias under Calvo and Rotemberg pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 283-297.
    6. Viktor Tsyrennikov & Serguei Maliar & Lilia Maliar & Cristina Arellano, 2015. "Envelope Condition Method with an Application to Default Risk Models," 2015 Meeting Papers 1239, Society for Economic Dynamics.
    7. Mauro Napoletano & Andrea Roventini & Jean-Luc Gaffard, 2015. "Time-Varying Fiscal Multipliers in an Agent-Based Model with Credit Rationing," LEM Papers Series 2015/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    8. Howard Kung & Gonzalo Morales & Francesco Bianchi, 2015. "Monetary/Fiscal Policy Mix and Asset Prices," 2015 Meeting Papers 1224, Society for Economic Dynamics.
    9. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    10. Yasuo Hirose & Atsushi Inoue, 2013. "Zero Lower Bound and Parameter Bias in an Estimated DSGE Model," TERG Discussion Papers 308, Graduate School of Economics and Management, Tohoku University.
    11. De Grauwe, Paul & Ji, Yuemei, 2016. "Inflation Targets And The Zero Lower Bound In A Behavioral Macroeconomic Model," CEPR Discussion Papers 11320, C.E.P.R. Discussion Papers.
    12. M. Marx & B. Mojon & F. Velde, 2017. "Why Have Interest Rates Fallen far Below the Return on Capital," Working papers 630, Banque de France.
    13. Valerio Scalone, 2018. "Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound," Working papers 688, Banque de France.
    14. Nathaniel Throckmorton & Benjamin Keen & Alexander Richter & William Gavin, 2013. "Global Dynamics at the Zero Lower Bound," 2013 Meeting Papers 839, Society for Economic Dynamics.
    15. Roc Armenter, 2013. "The perils of nominal targets," Working Papers 14-2, Federal Reserve Bank of Philadelphia.
    16. Andrew Binning & Junior Maih, 2015. "Sigma Point Filters For Dynamic Nonlinear Regime Switching Models," Working Papers No 4/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    17. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
    18. Jean Barthélemy & Eric Mengus, 2016. "The Signaling Effect of Raising Inflation," SciencePo Working papers hal-03471880, HAL.
    19. Bianchi, Francesco & Melosi, Leonardo, 2013. "Escaping the Great Recession," CEPR Discussion Papers 9643, C.E.P.R. Discussion Papers.
    20. Ryan Niladri Banerjee & Fabrizio Zampolli, 2016. "What drives the short-run costs of fiscal consolidation? Evidence from OECD countries," BIS Working Papers 553, Bank for International Settlements.
    21. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2017. "Lower Bounds on Approximation Errors to Numerical Solutions of Dynamic Economic Models," Econometrica, Econometric Society, vol. 85, pages 991-1012, May.
    22. Gavin, William T. & Keen, Benjamin D. & Richter, Alexander W. & Throckmorton, Nathaniel A., 2015. "The zero lower bound, the dual mandate, and unconventional dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 14-38.
    23. Mitsuru Katagiri, 2016. "Forward Guidance as a Monetary Policy Rule," Bank of Japan Working Paper Series 16-E-6, Bank of Japan.
    24. Roc Armenter, 2014. "The Perils of Nominal Targets," 2014 Meeting Papers 428, Society for Economic Dynamics.
    25. Phuong Ngo & Jianjun Miao, 2015. "Does Calvo Meet Rotemberg at the Zero Lower Bound?," 2015 Meeting Papers 602, Society for Economic Dynamics.
    26. Chen, Han, 2017. "The effects of the near-zero interest rate policy in a regime-switching dynamic stochastic general equilibrium model," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 176-192.
    27. Gilles Dufrénot & Anwar Khayat, 2014. "Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation," Working Papers halshs-00973504, HAL.
    28. Paul Grauwe & Yuemei Ji, 2018. "Behavioural Economics is Useful Also in Macroeconomics: The Role of Animal Spirits," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(2), pages 203-216, June.
    29. Sohei Kaihatsu & Koichiro Kamada & Mitsuru Katagiri, 2016. "Theoretical Foundations for Quantitative Easing," IMES Discussion Paper Series 16-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
    30. Alexander W. Richter & Nathaniel A. Throckmorton, 2014. "The Zero Lower Bound: Frequency, Duration, and Numerical Convergence," Auburn Economics Working Paper Series auwp2014-09, Department of Economics, Auburn University.
    31. Valerie A. Ramey & Sarah Zubairy, 2018. "Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data," Journal of Political Economy, University of Chicago Press, vol. 126(2), pages 850-901.
    32. Francois Velde & Benoït Mojon & Magali Marx, 2017. "Why Are Real Interest Rates So Low?," 2017 Meeting Papers 1292, Society for Economic Dynamics.
    33. Robert Amano & Thomas J. Carter & Rhys R. Mendes, 2016. "Comparing Forward Guidance and Neo-Fisherianism as Strategies for Escaping Liquidity Traps," Staff Analytical Notes 16-16, Bank of Canada.
    34. Ragna Alstadheim, 2010. "The zero lower bound on the interest rate and a Neo-Classical Phillips curve," Working Paper 2010/13, Norges Bank.
    35. Roulleau-Pasdeloup, Jordan, 2020. "Optimal monetary policy and determinacy under active/passive regimes," European Economic Review, Elsevier, vol. 130(C).
    36. Luigi Bocola, 2014. "The Pass-Through of Sovereign Risk," 2014 Meeting Papers 1286, Society for Economic Dynamics.
    37. Ngo, Phuong V., 2021. "Fiscal Multipliers At The Zero Lower Bound: The Role Of Government Spending Persistence," Macroeconomic Dynamics, Cambridge University Press, vol. 25(4), pages 970-997, June.
    38. Alexander Richter & Nathaniel Throckmorton & Todd Walker, 2014. "Accuracy, Speed and Robustness of Policy Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 445-476, December.
    39. Hirose, Yasuo, 2020. "An Estimated Dsge Model With A Deflation Steady State," Macroeconomic Dynamics, Cambridge University Press, vol. 24(5), pages 1151-1185, July.
    40. Volker Hahn, 2017. "Policy Effects in a Simple Fully Non-Linear New Keynesian Model of the Liquidity Trap," Working Paper Series of the Department of Economics, University of Konstanz 2017-05, Department of Economics, University of Konstanz.
    41. Devereux, Michael B. & Young, Eric R. & Yu, Changhua, 2019. "Capital controls and monetary policy in sudden-stop economies," Journal of Monetary Economics, Elsevier, vol. 103(C), pages 52-74.
    42. Piero Ferri & Fabio Tramontana, 2022. "Autonomous demand, multiple equilibria and unemployment dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 209-223, January.
    43. Albertini, Julien & Poirier, Arthur, 2014. "Unemployment benefits extensions at the zero lower bound on nominal interest rate," SFB 649 Discussion Papers 2014-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    44. James Morley, 2016. "Macro-Finance Linkages," Journal of Economic Surveys, Wiley Blackwell, vol. 30(4), pages 698-711, September.
    45. Eo, Yunjong & McClung, Nigel, 2021. "Determinacy and E-stability with interest rate rules at the zero lower bound," Bank of Finland Research Discussion Papers 14/2021, Bank of Finland.
    46. Mathieu Boullot, 2017. "Secular Stagnation, Liquidity Trap and Rational Asset Price Bubbles," Working Papers halshs-01295012, HAL.
    47. Albertini, Julien & Lan, Hong, 2016. "The importance of time-varying parameters in new Keynesian models with zero lower bound," SFB 649 Discussion Papers 2016-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    48. Tim Hursey & Alexander Wolman & Andreas Hornstein, 2014. "Monetary Policy and Global Equilibria in an Economy with Capital," 2014 Meeting Papers 733, Society for Economic Dynamics.
    49. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2014. "Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate?," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    50. Fernando M. Duarte & Anna Zabai, 2015. "An interest rate rule to uniquely implement the optimal equilibrium in a liquidity trap," Staff Reports 745, Federal Reserve Bank of New York.

  25. Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2013. "Shrinkage estimation of high-dimensional factor models with structural instabilities," Working Papers 14-4, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Badi Baltagi & Qu Feng & Chihwa Kao, 2019. "Structural Changes in Heterogeneous Panels with Endogenous Regressors," Center for Policy Research Working Papers 214, Center for Policy Research, Maxwell School, Syracuse University.
    2. Laurent Callot & Johannes Tang Kristensen, 2016. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 437-479, Emerald Group Publishing Limited.
    3. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2024.
    4. Duan, Jiangtao & Bai, Jushan & Han, Xu, 2023. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 233(1), pages 209-236.
    5. Yohei Yamamoto, 2016. "Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 81-106, January.
    6. Wang, Lu & Zhou, Ruichao & Wu, Jianhong, 2021. "Determining the number of breaks in large dimensional factor models with structural changes," Economics Letters, Elsevier, vol. 199(C).
    7. Han, Xu & Inoue, Atsushi, 2015. "Tests For Parameter Instability In Dynamic Factor Models," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1117-1152, October.
    8. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
    9. Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2020. "Macroeconomic forecasting using approximate factor models with outliers," International Journal of Forecasting, Elsevier, vol. 36(2), pages 267-291.
    10. Hyungsik Roger Moon & Martin Weidner, 2019. "Nuclear norm regularized estimation of panel regression models," CeMMAP working papers CWP14/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. Badi H. Baltagi & Chihwa Kao & Fa Wang, 2016. "The Identification and Estimation of a Large Factor Model with Structural Instability," Center for Policy Research Working Papers 194, Center for Policy Research, Maxwell School, Syracuse University.
    12. Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
    13. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
    14. Jongrim Ha & M. Ayhan Kose & Franziska Ohnsorge, 2021. "One-stop source: A global database of inflation," CAMA Working Papers 2021-59, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    15. Matteo Barigozzi & Lorenzo Trapani, 2018. "Sequential testing for structural stability in approximate factor models," Discussion Papers 18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
    16. Maxime Leroux & Rachidi Kotchoni & Dalibor Stevanovic, 2017. "Forecasting economic activity in data-rich environment," Working Papers hal-04141668, HAL.
    17. Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations," Textos para discussão 636, Department of Economics PUC-Rio (Brazil).
    18. Bai, Jushan & Han, Xu & Shi, Yutang, 2020. "Estimation and inference of change points in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 219(1), pages 66-100.
    19. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," LSE Research Online Documents on Economics 88110, London School of Economics and Political Science, LSE Library.
    20. Jaeheon Jung, 2019. "Estimating a Large Covariance Matrix in Time-varying Factor Models," Papers 1910.11965, arXiv.org.
    21. Marcellino, Massimiliano & Aastveit, Knut Are & Carriero, Andrea & Clark, Todd, 2016. "Have Standard VARs Remained Stable Since the Crisis?," CEPR Discussion Papers 11558, C.E.P.R. Discussion Papers.
    22. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
    23. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    24. Zhou, Ruichao & Wu, Jianhong, 2023. "Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion," Economics Letters, Elsevier, vol. 232(C).
    25. Matthew F. Dixon & Nicholas G. Polson & Kemen Goicoechea, 2022. "Deep Partial Least Squares for Empirical Asset Pricing," Papers 2206.10014, arXiv.org.
    26. Simon Freyaldenhoven, 2020. "Identification Through Sparsity in Factor Models," Working Papers 20-25, Federal Reserve Bank of Philadelphia.
    27. Han, Chirok & Kim, Dukpa, 2020. "Testing for the null of block zero restrictions in common factor models," Economics Letters, Elsevier, vol. 188(C).
    28. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
    29. Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).
    30. Wang, Lu & Wu, Jianhong, 2022. "Estimation of high-dimensional factor models with multiple structural changes," Economic Modelling, Elsevier, vol. 108(C).
    31. Urga, Giovanni & Wang, Fa, 2022. "Estimation and inference for high dimensional factor model with regime switching," MPRA Paper 113172, University Library of Munich, Germany.
    32. Tatsushi Oka & Pierre Perron, 2018. "Testing for common breaks in a multiple equations system," Monash Econometrics and Business Statistics Working Papers 3/18, Monash University, Department of Econometrics and Business Statistics.
    33. Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-Switching Three-Pass Regression Filter," Staff Working Papers 17-13, Bank of Canada.
    34. Ryo Okui & Wendun Wang, 2018. "Heterogeneous structural breaks in panel data models," Papers 1801.04672, arXiv.org, revised Nov 2018.
    35. Jushan Bai & Jiangtao Duan & Xu Han, 2022. "Likelihood ratio test for structural changes in factor models," Papers 2206.08052, arXiv.org, revised Dec 2023.
    36. Chen, Sanpan & Cui, Guowei & Zhang, Jianhua, 2017. "On testing for structural break of coefficients in factor-augmented regression models," Economics Letters, Elsevier, vol. 161(C), pages 141-145.
    37. Lumsdaine, Robin L. & Okui, Ryo & Wang, Wendun, 2023. "Estimation of panel group structure models with structural breaks in group memberships and coefficients," Journal of Econometrics, Elsevier, vol. 233(1), pages 45-65.
    38. Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic forecast accuracy in a data‐rich environment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1050-1072, November.
    39. Markus Pelger & Ruoxuan Xiong, 2022. "State-Varying Factor Models of Large Dimensions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1315-1333, June.
    40. Ma, Shujie & Su, Liangjun, 2018. "Estimation of large dimensional factor models with an unknown number of breaks," Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
    41. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
    42. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    43. Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
    44. Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
    45. Chen, Liang, 2015. "Estimating the common break date in large factor models," Economics Letters, Elsevier, vol. 131(C), pages 70-74.
    46. Boudt, Kris & Heyndels, Ewoud, 2024. "Robust interactive fixed effects," Econometrics and Statistics, Elsevier, vol. 29(C), pages 206-223.
    47. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
    48. M. Chudý & S. Karmakar & W. B. Wu, 2020. "Long-term prediction intervals of economic time series," Empirical Economics, Springer, vol. 58(1), pages 191-222, January.
    49. Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2016. "Estimating and testing high dimensional factor models with multiple structural changes," MPRA Paper 98489, University Library of Munich, Germany, revised 26 Jul 2019.
    50. Urga, Giovanni & Wang, Fa, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," MPRA Paper 117012, University Library of Munich, Germany, revised 10 Apr 2023.
    51. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
    52. Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
    53. Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2023. "Comparing forecasting performance in cross-sections," Journal of Econometrics, Elsevier, vol. 237(2).
    54. Wu, Jianhong, 2021. "Estimation of high dimensional factor model with multiple threshold-type regime shifts," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    55. Cui, Junfeng & Wang, Guanghui & Zou, Changliang & Wang, Zhaojun, 2023. "Change-point testing for parallel data sets with FDR control," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
    56. Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2017. "Risk evaluations with robust approximate factor models," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 244-264.
    57. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2017. "Dynamic semiparametric factor model with a common break," SFB 649 Discussion Papers 2017-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    58. Bai, Jushan & Li, Kunpeng & Lu, Lina, 2014. "Estimation and inference of FAVAR models," MPRA Paper 60960, University Library of Munich, Germany.
    59. Ma, Chenchen & Tu, Yundong, 2023. "Shrinkage estimation of multiple threshold factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1876-1892.
    60. Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
    61. Urga, Giovanni & Wang, Fa, 2024. "Estimation and inference for high dimensional factor model with regime switching," Journal of Econometrics, Elsevier, vol. 241(2).
    62. Ma, Chenchen & Tu, Yundong, 2023. "Group fused Lasso for large factor models with multiple structural breaks," Journal of Econometrics, Elsevier, vol. 233(1), pages 132-154.

  26. Marco Del Negro & Marc Giannoni & Frank Schorfheide, 2013. "Inflation in the Great Recession and New Keynesian models," Staff Reports 618, Federal Reserve Bank of New York.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    2. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
    3. Engin Kara & Ahmed Pirzada, 2020. "A Possible Explanation Of The Missing Deflation Puzzle," Economic Inquiry, Western Economic Association International, vol. 58(1), pages 361-373, January.
    4. Kathryn Holston & Thomas Laubach & John C. Williams, 2016. "Measuring the Natural Rate of Interest: International Trends and Determinants," Working Paper Series 2016-11, Federal Reserve Bank of San Francisco.
    5. Nautz, Dieter & Netšunajev, Aleksei & Strohsal, Till, 2016. "The anchoring of inflation expectations in the short and in the long run," SFB 649 Discussion Papers 2016-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Elfsbacka Schmöller, Michaela & Spitzer, Martin, 2022. "Lower for longer under endogenous technology growth," Working Paper Series 2714, European Central Bank.
    7. Jannsen, Nils & Wolters, Maik H., 2016. "Zu Produktionspotenzial und Produktionslücke in den Vereinigten Staaten," Kiel Insight 2016.2, Kiel Institute for the World Economy (IfW Kiel).
    8. Callum Jones & Mariano Kulish & Daniel M. Rees, 2018. "International Spillovers of Forward Guidance Shocks," IMF Working Papers 2018/114, International Monetary Fund.
    9. Mark Gertler, 2015. "Comment," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 354-365.
    10. Callum Jones, 2018. "Household Leverage and the Recession," 2018 Meeting Papers 933, Society for Economic Dynamics.
    11. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    12. Johannes Ströbel & Joseph Vavra, 2015. "House Prices, Local Demand, and Retail Prices," CESifo Working Paper Series 5607, CESifo.
    13. Chafwehé, Boris & Oikonomou, Rigas & Priftis, Romanos & Vogel, Lukas, 2023. "Optimal Monetary Policy with and without Debt," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277596, Verein für Socialpolitik / German Economic Association.
    14. Čapek, Jan & Crespo Cuaresma, Jesús & Hauzenberger, Niko & Reichel, Vlastimil, 2023. "Macroeconomic forecasting in the euro area using predictive combinations of DSGE models," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1820-1838.
    15. Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022. "The financial accelerator mechanism: does frequency matter?," Working Papers 22-29, Federal Reserve Bank of Cleveland.
    16. Michael T. Belongia & Peter N. Ireland, 2013. "Instability: Monetary and Real," Boston College Working Papers in Economics 830, Boston College Department of Economics.
    17. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1352-1370, November.
    18. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    19. Luminita Stevens, 2020. "Coarse Pricing Policies," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 420-453.
    20. Li, Bing & Pei, Pei & Tan, Fei, 2021. "Financial distress and fiscal inflation," Journal of Macroeconomics, Elsevier, vol. 70(C).
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    167. P. Clerc, 2015. "Credible Wage Bargaining and the Joint Dynamics of Unemployment and Inflation," Working papers 568, Banque de France.
    168. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
    169. Bianca Barbaro & Giorgio Massari & Patrizio Tirelli, 2022. "Who killed business dynamism in the U.S.?," Working Papers 494, University of Milano-Bicocca, Department of Economics, revised Aug 2022.
    170. Juan Carlos Berganza & Pedro del Río & Fructuoso Borrallo, 2016. "Determinants and implications of low global inflation rates," Occasional Papers 1608, Banco de España.
    171. Pablo Guerróon‐Quintana & Molin Zhong, 2023. "Macroeconomic forecasting in times of crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 295-320, April.
    172. Malovaná Simona & Tesařová Žaneta, 2021. "What is the Sustainable Level of Banks’ Credit Losses and Provisions?," Review of Economic Perspectives, Sciendo, vol. 21(3), pages 235-258, September.
    173. Bofinger, Peter & Schnabel, Isabel & Feld, Lars P. & Schmidt, Christoph M. & Wieland, Volker, 2017. "Für eine zukunftsorientierte Wirtschaftspolitik. Jahresgutachten 2017/18 [Towards a Forward-Looking Economic Policy. Annual Report 2017/18]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201718, September.
    174. Huh, Sungjun & Kim, Insu, 2021. "Real estate and relative risk aversion with generalized recursive preferences," Journal of Macroeconomics, Elsevier, vol. 68(C).
    175. Erceg, Christopher J. & Jakab, Zoltan & Lindé, Jesper, 2021. "Monetary policy strategies for the European Central Bank," Journal of Economic Dynamics and Control, Elsevier, vol. 132(C).
    176. Naohisa Hirakata & Kazutoshi Kan & Akihiro Kanafuji & Yosuke Kido & Yui Kishaba & Tomonori Murakoshi & Takeshi Shinohara, 2019. "The Quarterly Japanese Economic Model (Q-JEM): 2019 version," Bank of Japan Working Paper Series 19-E-7, Bank of Japan.
    177. Khalil, Makram & Strobel, Felix, 2024. "US trade policy and the US dollar," Journal of International Economics, Elsevier, vol. 151(C).
    178. Brand, Thomas & Isoré, Marlène & Tripier, Fabien, 2017. "Uncertainty shocks and firm dynamics: Search and monitoring in the credit market," Bank of Finland Research Discussion Papers 34/2017, Bank of Finland.
    179. Angelos Liapis & Stylianos Artsidakis & Christos Galanos, 2023. "Forecasting Methods of Key Ratios and Their Impact in Company’s Value," JRFM, MDPI, vol. 16(3), pages 1-17, February.
    180. Simona Malovana & Zaneta Tesarova, 2019. "Banks' Credit Losses and Provisioning over the Business Cycle: Implications for IFRS 9," Working Papers 2019/4, Czech National Bank.
    181. S. S. Lazaryan & I. V. Nikonov & S. S. Sudakov, 2024. "Impact of Accounting for Financial Market Imperfections on the Predictive Power of the DSGE Model of the Russian Economy," Studies on Russian Economic Development, Springer, vol. 35(4), pages 530-539, August.
    182. Friedrich, Christian, 2016. "Global inflation dynamics in the post-crisis period: What explains the puzzles?," Economics Letters, Elsevier, vol. 142(C), pages 31-34.
    183. Matteo Richiardi, 2015. "The future of agent-based modelling," Economics Papers 2015-W06, Economics Group, Nuffield College, University of Oxford.
    184. Boehl, Gregor & Strobel, Felix, 2024. "The empirical performance of the financial accelerator since 2008," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
    185. Robert Amano & Thomas Carter & Sylvain Leduc, 2019. "Precautionary Pricing: The Disinflationary Effects of ELB Risk," Working Paper Series 2019-26, Federal Reserve Bank of San Francisco.
    186. Andrew Glover, 2018. "Aggregate Effects of Minimum Wage Regulation at the Zero Lower Bound," 2018 Meeting Papers 1285, Society for Economic Dynamics.
    187. Severin Reissl, 2022. "Fiscal multipliers, expectations and learning in a macroeconomic agent‐based model," Economic Inquiry, Western Economic Association International, vol. 60(4), pages 1704-1729, October.
    188. Ahmed Jamal Pirzada, 2017. "Price Stickiness and Intermediate Materials Prices," Bristol Economics Discussion Papers 17/686, School of Economics, University of Bristol, UK.
    189. Böhl, Gregor & Strobel, Felix, 2018. "Forward Guidance at the Zero Lower Bound: Curse and Blessing of Time-Inconsistency," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181526, Verein für Socialpolitik / German Economic Association.
    190. Dück, Alexander & Verona, Fabio, 2023. "Monetary policy rules: model uncertainty meets design limits," Bank of Finland Research Discussion Papers 12/2023, Bank of Finland.
    191. Bareith, Tibor & Varga, József, 2022. "Az inflációs célt követő rendszer hozzájárulása az infláció mérsékléséhez Magyarországon [The contribution of the inflation targeting system to reducing inflation in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 989-1008.
    192. Konstantin Platonov, 2024. "Inflation targeting, output stabilization, and real indeterminacy in monetary models with an interest rate rule," Economic Inquiry, Western Economic Association International, vol. 62(4), pages 1467-1493, October.
    193. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    194. Colombo, Emilio & Furceri, Davide & Pizzuto, Pietro & Tirelli, Patrizio, 2024. "Public expenditure multipliers and informality," European Economic Review, Elsevier, vol. 164(C).
    195. McAdam, Peter & Warne, Anders, 2018. "Euro area real-time density forecasting with financial or labor market frictions," Working Paper Series 2140, European Central Bank.
    196. López-Salido, J David & Loria, Francesca, 2019. "Inflation at Risk," CEPR Discussion Papers 14074, C.E.P.R. Discussion Papers.
    197. Marc P. Giannoni, 2019. "Comment on "Optimal Inflation and the Identification of the Phillips Curve"," NBER Chapters, in: NBER Macroeconomics Annual 2019, volume 34, pages 256-266, National Bureau of Economic Research, Inc.
    198. Roberto Duncan & Enrique Martínez‐García, 2023. "Forecasting inflation in open economies: What can a NOEM model do?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 481-513, April.
    199. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Papers 2202.04146, arXiv.org, revised Oct 2024.
    200. López-Salido, David & Loria, Francesca, 2024. "Inflation at risk," Journal of Monetary Economics, Elsevier, vol. 145(S).
    201. Joshua Brault & Louis Phaneuf, 2021. "Higher Order Interest-Smoothing, Time-Varying Inflation Target and the Prospect of Indeterminacy," Working Papers 21-10, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    202. Dück, Alexander & Le, Anh H., 2023. "Transition risk uncertainty and robust optimal monetary policy," IMFS Working Paper Series 187, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    203. Harashima, Taiji, 2018. "Why Are Inflation and Real Interest Rates So Low? A Mechanism of Low and Floating Real Interest and Inflation Rates," MPRA Paper 84311, University Library of Munich, Germany.
    204. Yui Kishaba & Tatsushi Okuda, 2023. "The Slope of the Phillips Curve for Service Prices in Japan: Regional Panel Data Approach," Bank of Japan Working Paper Series 23-E-8, Bank of Japan.
    205. Garcés Díaz Daniel, 2020. "On the Drivers of Inflation in Different Monetary Regimes," Working Papers 2020-16, Banco de México.
    206. Meggiorini, Greta, 2023. "Behavioral New Keynesian Models: An empirical assessment," Journal of Macroeconomics, Elsevier, vol. 77(C).
    207. Kshama Dwarakanath & Svitlana Vyetrenko & Peyman Tavallali & Tucker Balch, 2024. "ABIDES-Economist: Agent-Based Simulation of Economic Systems with Learning Agents," Papers 2402.09563, arXiv.org.
    208. Martin Harding & Rafael Wouters, 2022. "Risk and State-Dependent Financial Frictions," Staff Working Papers 22-37, Bank of Canada.

  27. Frank Schorfheide & Dongho Song & Amir Yaron, 2013. "Identifying long-run risks: a bayesian mixed-frequency approach," Working Papers 13-39, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
    2. Jaroslav Borovička & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," NBER Working Papers 24162, National Bureau of Economic Research, Inc.
    3. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
    4. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," NBER Working Papers 28693, National Bureau of Economic Research, Inc.
    5. Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
    6. Drew D. Creal & Jing Cynthia Wu, 2020. "Bond risk premia in consumption‐based models," Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
    7. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    8. Jaroslav Borovicka & John Stachurski, 2019. "Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition," Papers 1910.00778, arXiv.org, revised Feb 2021.
    9. Rhys M. Bidder & Matthew E. Smith, 2013. "Doubts and Variability: A Robust Perspective on Exotic Consumption Series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
    10. Segal, Gill & Shaliastovich, Ivan, 2023. "Uncertainty, risk, and capital growth," SAFE Working Paper Series 388, Leibniz Institute for Financial Research SAFE.
    11. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    12. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.
    13. de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
    14. Pooyan Amir‐Ahmadi & Christian Matthes & Mu‐Chun Wang, 2016. "Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century," Quantitative Economics, Econometric Society, vol. 7(2), pages 591-611, July.
    15. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
    16. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2022. "Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Around It," Working Papers 22-14, Federal Reserve Bank of Cleveland.
    17. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
    18. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
    19. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
    20. Ji Zhang & Jing Cynthia Wu, 2017. "A shadow rate New Keynesian model," 2017 Meeting Papers 11, Society for Economic Dynamics.
    21. Elmar Mertens & James M. Nason, 2018. "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers 713, Bank for International Settlements.
    22. Ascari, Guido & Magnusson, Leandro M. & Mavroeidis, Sophocles, 2021. "Empirical evidence on the Euler equation for consumption in the US," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 129-152.
    23. Patrick J. Kehoe & Pierlauro Lopez & Virgiliu Midrigan & Elena Pastorino, 2020. "Asset Prices and Unemployment Fluctuations," Working Papers 20-10, Federal Reserve Bank of Cleveland.
    24. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    25. Ljungqvist, Lars & Sargent, Thomas, 2021. "The Fundamental Surplus Strikes Again," CEPR Discussion Papers 16077, C.E.P.R. Discussion Papers.
    26. Guy P. Nason & Ben Powell & Duncan Elliott & Paul A. Smith, 2017. "Should we sample a time series more frequently?: decision support via multirate spectrum estimation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 353-407, February.
    27. Jing Guo & Xue Dong He, 2021. "Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence," Papers 2107.05163, arXiv.org.
    28. Dongho Song & Jenny Tang, 2018. "News-driven uncertainty fluctuations," Working Papers 18-3, Federal Reserve Bank of Boston.
    29. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    30. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
    31. Gregory, Richard P., 2021. "Climate disasters, carbon dioxide, and financial fundamentals," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 45-58.
    32. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
    33. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
    34. Rey, Hélène & Coimbra, Nuno & Kim, Daisoon, 2021. "Central Bank Policy and the Concentration of Risk: Empirical Estimates," CEPR Discussion Papers 16221, C.E.P.R. Discussion Papers.
    35. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    36. Sun, Yulong, 2024. "Prices and returns: Role of inflation," Journal of International Money and Finance, Elsevier, vol. 147(C).
    37. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    38. Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
    39. Ankargren, Sebastian & Jonéus, Paulina, 2021. "Simulation smoothing for nowcasting with large mixed-frequency VARs," Econometrics and Statistics, Elsevier, vol. 19(C), pages 97-113.
    40. Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
    41. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
    42. Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
    43. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    44. GUERRON-QUINTANA, Pablo A. & JINNAI, Ryo & 陣内, 了, 2015. "Financial Frictions, Trends, and the Great Recession," Discussion paper series HIAS-E-14, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    45. Myroslav Pidkuyko & Raffaele Rossi & Klaus Reiner Schenk-Hoppé, 2019. "The Resolution of Long-Run Risk," Economics Discussion Paper Series 1908, Economics, The University of Manchester.
    46. Timothy M. Christensen, 2020. "Existence and uniqueness of recursive utilities without boundedness," Papers 2008.00963, arXiv.org, revised Aug 2021.
    47. Gouri roux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
    48. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2017. "Model uncertainty in macroeconomics: On the implications of financial frictions," IMFS Working Paper Series 114, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    49. Horvath, Jaroslav, 2020. "Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    50. G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
    51. Davide Pettenuzzo & Rossen Valkanov & Allan Timmermann, 2014. "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," Working Papers 76, Brandeis University, Department of Economics and International Business School.
    52. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
    53. Ma, Qingyin & Stachurski, John & Toda, Alexis Akira, 2020. "The income fluctuation problem and the evolution of wealth," Journal of Economic Theory, Elsevier, vol. 187(C).
    54. John Stachurski & Junnan Zhang, 2019. "Dynamic Programming with State-Dependent Discounting," Papers 1908.08800, arXiv.org, revised Oct 2020.
    55. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
    56. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
    57. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    58. Flint O'Neil, 2020. "Existence and Uniqueness of Recursive Utility Models in $L_p$," Papers 2005.07067, arXiv.org.
    59. Anmol Bhandari & David Evans & Mikhail Golosov & Thomas Sargent, 2019. "The Optimal Maturity of Government Debt," 2019 Meeting Papers 1011, Society for Economic Dynamics.
    60. Nam Gang Lee, 2019. "Trend Growth Shocks and Asset Prices," Working Papers 2019-4, Economic Research Institute, Bank of Korea.
    61. Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.
    62. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    63. Pablo Guerróon‐Quintana & Molin Zhong, 2023. "Macroeconomic forecasting in times of crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 295-320, April.
    64. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
    65. Guanlong Ren & John Stachurski, 2018. "Dynamic Programming with Recursive Preferences: Optimality and Applications," Papers 1812.05748, arXiv.org, revised Jun 2020.
    66. Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (U.S.).
    67. David Feldman & Xin Xu, 2018. "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, vol. 262(2), pages 493-518, March.
    68. Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
    69. Liu, Yang, 2023. "Government debt and risk premia," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 18-34.
    70. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
    71. Stachurski, John & Wilms, Ole & Zhang, Junnan, 2024. "Asset pricing with time preference shocks: Existence and uniqueness," Journal of Economic Theory, Elsevier, vol. 216(C).
    72. S. Boragan Aruoba, 2016. "Term structures of inflation expectations and real interest rates," Working Papers 16-9, Federal Reserve Bank of Philadelphia.
    73. Bretscher, Lorenzo & Malkhozov, Aytek & Tamoni, Andrea, 2021. "Expectations and aggregate risk," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 91-108.
    74. Andreas Tryphonides, 2018. "Tilting Approximate Models," Papers 1805.10869, arXiv.org, revised Mar 2024.
    75. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
    76. Taeyoung Doh & Shu Wu, 2015. "Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences," Research Working Paper RWP 15-12, Federal Reserve Bank of Kansas City.
    77. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    78. Leippold, Markus & Yang, Hanlin, 2019. "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, vol. 12(C), pages 25-41.
    79. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.

  28. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Koh, Dongya & Santaeulà lia-Llopis, Raül, 2022. "Countercyclical Elasticity of Substitution," CEPR Discussion Papers 17246, C.E.P.R. Discussion Papers.
    2. Jinill Kim & Francisco Ruge‐Murcia, 2019. "Extreme Events And Optimal Monetary Policy," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 60(2), pages 939-963, May.
    3. Pablo Cuba-Borda & Sanjay R. Singh, 2022. "Understanding Persistent ZLB: Theory and Assessment," Working Papers 346, University of California, Davis, Department of Economics.
    4. Boyarchenko, Nina & Adrian, Tobias & Giannone, Domenico, 2020. "Multimodality in Macro-Financial Dynamics," CEPR Discussion Papers 15088, C.E.P.R. Discussion Papers.
    5. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    6. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    7. Nadav Ben Zeev, 2019. "Asymmetric Business Cycles In Emerging Market Economies," Working Papers 1909, Ben-Gurion University of the Negev, Department of Economics.
    8. Lindé, Jesper & Trabandt, Mathias, 2017. "Should We Use Linearized Models To Calculate Fiscal Multipliers?," Working Paper Series 350, Sveriges Riksbank (Central Bank of Sweden).
    9. Philippe Goulet Coulombe, 2020. "The Macroeconomy as a Random Forest," Papers 2006.12724, arXiv.org, revised Mar 2021.
    10. Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," "Marco Fanno" Working Papers 0275, Dipartimento di Scienze Economiche "Marco Fanno".
    11. Mineyama, Tomohide, 2022. "Revisiting the optimal inflation rate with downward nominal wage rigidity: The role of heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    12. James Morley & Irina B Panovska, 2016. "Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?," Discussion Papers 2016-12, School of Economics, The University of New South Wales.
    13. Yasuo Hirose & Takeki Sunakawa, 2019. "Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound," The Japanese Economic Review, Japanese Economic Association, vol. 70(1), pages 51-104, March.
    14. Loretta J. Mester, 2016. "Recent Inflation Developments and Challenges for Research and Monetary Policymaking : The 47th Konstanz Seminar on Monetary Theory and Monetary Policy, Insel Reichenau, Germany 5-12-2016," Speech 71, Federal Reserve Bank of Cleveland.
    15. Nadav Ben Zeev, 2019. "Identification of Sign-Dependency of Impulse Responses," Working Papers 1907, Ben-Gurion University of the Negev, Department of Economics.
    16. Philippe Goulet Coulombe, 2024. "The macroeconomy as a random forest," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 401-421, April.
    17. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the zero lower bound," Bank of Finland Research Discussion Papers 6/2017, Bank of Finland.
    18. Philippe Goulet Coulombe, 2021. "The Macroeconomy as a Random Forest," Working Papers 21-05, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    19. Iwasaki, Yuto & Muto, Ichiro & Shintani, Mototsugu, 2021. "Missing wage inflation? Estimating the natural rate of unemployment in a nonlinear DSGE model," European Economic Review, Elsevier, vol. 132(C).
    20. Giovanni Pellegrino, 2017. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Melbourne Institute Working Paper Series wp2017n06, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    21. Linde, Jesper & Trabandt, Mathias, 2019. "Resolving the Missing Deflation Puzzle," CEPR Discussion Papers 13690, C.E.P.R. Discussion Papers.
    22. Luigi Bocola, 2014. "The Pass-Through of Sovereign Risk," 2014 Meeting Papers 1286, Society for Economic Dynamics.
    23. Yuriy Gorodnichenko & Serena Ng, 2017. "Level and Volatility Factors in Macroeconomic Data," NBER Working Papers 23672, National Bureau of Economic Research, Inc.
    24. Gasteiger, Emanuel & Grimaud, Alex, 2023. "Price setting frequency and the Phillips curve," European Economic Review, Elsevier, vol. 158(C).
    25. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2023. "Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States," Working Papers 202331, University of Pretoria, Department of Economics.
    26. Sanjay R. Singh & Pablo Cuba-Borda, 2019. "Understanding Persistent Stagnation," Working Papers 329, University of California, Davis, Department of Economics.
    27. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
    28. Arčabić, Vladimir & Panovska, Irina & Tica, Josip, 2024. "Business cycle synchronization and asymmetry in the European Union," Economic Modelling, Elsevier, vol. 139(C).
    29. Andreasen, Martin M. & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2024. "Does risk matter more in recessions than in expansions? Implications for monetary policy," Journal of Monetary Economics, Elsevier, vol. 143(C).
    30. Yugang He & Zhuoqi Teng, 2024. "Navigating Uncharted Waters: The Transformation of the Bank of Korea’s Monetary Policy in Response to Global Economic Uncertainty," Mathematics, MDPI, vol. 12(11), pages 1-24, May.
    31. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
    32. Stefano Fasani, 2021. "On the Long-run Unemployment, Inflation, and Volatility," Working Papers 924, Queen Mary University of London, School of Economics and Finance.
    33. Jean-François Rouillard, 2017. "Credit Crunch and Downward Nominal Wage Rigidities," Cahiers de recherche 17-05, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, revised Apr 2019.
    34. Chen, Peng & Miao, Xinru, 2024. "Understanding the role of China's factors in international commodity price fluctuations: A perspective of monetary-fiscal policy interaction," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1464-1483.
    35. Yuto Iwasaki & Ichiro Muto & Mototsugu Shintani, 2018. "Missing Wage Inflation? Downward Wage Rigidity and the Natural Rate of Unemployment," Bank of Japan Research Laboratory Series 18-E-3, Bank of Japan.
    36. Leland E. Farmer, 2021. "The discretization filter: A simple way to estimate nonlinear state space models," Quantitative Economics, Econometric Society, vol. 12(1), pages 41-76, January.
    37. Filippo Ippolito & Alessandro Villa, 2022. "Levered Returns and Capital Structure Imbalances," Working Paper Series WP 2022-42, Federal Reserve Bank of Chicago.
    38. James Morley, 2019. "The business cycle: periodic pandemic or rollercoaster ride?," International Journal of Economic Policy Studies, Springer, vol. 13(2), pages 425-431, August.
    39. Martin Harding & Rafael Wouters, 2022. "Risk and State-Dependent Financial Frictions," Staff Working Papers 22-37, Bank of Canada.

  29. Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo sampling for DSGE models," Finance and Economics Discussion Series 2013-43, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ho, Paul, 2024. "Estimating the effects of demographics on interest rates: A robust Bayesian perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    2. Isabelle Salle & Murat Yıldızoğlu, 2014. "Efficient Sampling and Meta-Modeling for Computational Economic Models," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 507-536, December.
    3. Arnaud Dufays, 2014. "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research 263, National Bank of Belgium.
    4. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
    5. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers CWP43/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Thorsten Drautzburg, 2016. "A narrative approach to a fiscal DSGE model," Working Papers 16-11, Federal Reserve Bank of Philadelphia.
    7. Daniele Siena, 2020. "Online Appendix to "The Euro Area Periphery and Imbalances: Is it an Anticipation Story?"," Online Appendices 18-141, Review of Economic Dynamics.
    8. EO, Yunjong & LIE, Denny, 2017. "The Role of Inflation Target Adjustment in Stabilization Policy," Discussion paper series HIAS-E-58, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    9. Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022. "The financial accelerator mechanism: does frequency matter?," Working Papers 22-29, Federal Reserve Bank of Cleveland.
    10. Maheu, John M & Song, Yong, 2017. "An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series," MPRA Paper 79211, University Library of Munich, Germany.
    11. Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers REM 2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    12. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Liberty Street Economics 20190821, Federal Reserve Bank of New York.
    13. Gregor Boehl & Gavin Goy & Felix Strobel, 2020. "A Structural Investigation of Quantitative Easing," CRC TR 224 Discussion Paper Series crctr224_2020_193, University of Bonn and University of Mannheim, Germany.
    14. Ettmeier, Stephanie & Kriwoluzky, Alexander, 2024. "Active or passive? Revisiting the role of fiscal policy during high inflation," European Economic Review, Elsevier, vol. 170(C).
    15. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    16. Ascari, Guido & Bonomolo, Paolo & Haque, Qazi, 2024. "The Long-Run Phillips Curve is ... a Curve," CEPR Discussion Papers 19069, C.E.P.R. Discussion Papers.
    17. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
    18. Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2018. "Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan," Working Papers e120, Tokyo Center for Economic Research.
    19. Zhang, Bo & Dai, Wei, 2020. "Trend inflation and macroeconomic stability in a small open economy," Economic Modelling, Elsevier, vol. 91(C), pages 769-778.
    20. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    21. Qazi Haque & Nicolas Groshenny & Mark Weder, 2019. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Discussion / Working Papers 19-11, The University of Western Australia, Department of Economics.
    22. Arnaud Dufays, 2016. "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, vol. 4(1), pages 1-33, March.
    23. Yasuo Hirose & Takeki Sunakawa, 2019. "Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound," The Japanese Economic Review, Japanese Economic Association, vol. 70(1), pages 51-104, March.
    24. Ettmeier, Stephanie & Kriwoluzky, Alexander, 2019. "Active, or passive? Revisiting the role of fiscal policy in the Great Inflation," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203609, Verein für Socialpolitik / German Economic Association.
    25. Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
    26. Zhongjun Qu & Denis Tkachenko, 2023. "Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 644-667, June.
    27. Willi Mutschler, 2014. "Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning," CQE Working Papers 3314, Center for Quantitative Economics (CQE), University of Muenster.
    28. Elmar Mertens & James M. Nason, 2018. "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers 713, Bank for International Settlements.
    29. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    30. Michal Andrle & Miroslav Plašil, 2016. "System Priors for Econometric Time Series," IMF Working Papers 2016/231, International Monetary Fund.
    31. Kirstin Hubrich & Daniel F. Waggoner, 2022. "The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework," Finance and Economics Discussion Series 2022-034, Board of Governors of the Federal Reserve System (U.S.).
    32. Hess Chung & Edward Herbst & Michael T. Kiley, 2014. "Effective Monetary Policy Strategies in New Keynesian Models: A Re-examination," NBER Working Papers 20611, National Bureau of Economic Research, Inc.
    33. Edward P. Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," Finance and Economics Discussion Series 2016-072, Board of Governors of the Federal Reserve System (U.S.).
    34. Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2020. "Monetary Policy and Macroeconomic Stability Revisited," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 255-274, July.
    35. Jørgensen, Peter L. & Ravn, Søren H., 2022. "The inflation response to government spending shocks: A fiscal price puzzle?," European Economic Review, Elsevier, vol. 141(C).
    36. Fabian Goessling, 2018. "Randomized Quasi Sequential Markov Chain Monte Carlo²," CQE Working Papers 7018, Center for Quantitative Economics (CQE), University of Muenster.
    37. Mark Bognanni & Edward P. Herbst, 2014. "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Working Papers (Old Series) 1427, Federal Reserve Bank of Cleveland.
    38. Böhl, Gregor, 2022. "Ensemble MCMC sampling for robust Bayesian inference," IMFS Working Paper Series 177, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    39. Eric M. Leeper & Nora Traum & Todd B. Walker, 2011. "Clearing Up the Fiscal Multiplier Morass," NBER Working Papers 17444, National Bureau of Economic Research, Inc.
    40. Thuy Lan Nguyen & Wataru Miyamoto, 2014. "News shocks and Business cycles: Evidence from forecast data," 2014 Meeting Papers 259, Society for Economic Dynamics.
    41. Fabio Franco, 2019. "Likelihood Induced by Moment Functions Using Particle Filter: a Comparison of Particle GMM and Standard MCMC Methods," CEIS Research Paper 477, Tor Vergata University, CEIS, revised 04 Dec 2019.
    42. Radu Titus MARINESCU & Madalina Gabriela ANGHEL & Aurelian DIACONU, 2016. "Theoretical and Practical Aspects of Analysis of Investment’s Sensitivity," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(8), pages 37-47, August.
    43. Kapetanios, George & Price, Simon & Theodoridis, Konstantinos, 2015. "A new approach to multi-step forecasting using dynamic stochastic general equilibrium models," Economics Letters, Elsevier, vol. 136(C), pages 237-242.
    44. Takefumi Yamazaki, 2018. "Financial friction sources in emerging economies: Structural estimation of sovereign default models," Discussion papers ron303, Policy Research Institute, Ministry of Finance Japan.
    45. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," National Institute of Economic and Social Research (NIESR) Discussion Papers 530, National Institute of Economic and Social Research.
    46. Ho, Paul, 2023. "Global robust Bayesian analysis in large models," Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
    47. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022. "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-013/III, Tinbergen Institute.
    48. Zhang, Jinyu & Zhang, Qiaosen & Li, Yong & Wang, Qianchao, 2023. "Sequential Bayesian inference for agent-based models with application to the Chinese business cycle," Economic Modelling, Elsevier, vol. 126(C).
    49. Tyler Atkinson & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "The Zero Lower Bound and Estimation Accuracy," Working Papers 1804, Federal Reserve Bank of Dallas.
    50. Kiley, Michael T. & Sim, Jae, 2017. "Optimal monetary and macroprudential policies: Gains and pitfalls in a model of financial intermediation," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 232-259.
    51. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    52. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
    53. Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
    54. Paul Ho & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2022. "Multilateral Comovement in a New Keynesian World: A Little Trade Goes a Long Way," Working Paper 22-10, Federal Reserve Bank of Richmond.
    55. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers 43/17, Institute for Fiscal Studies.
    56. Wolf, Elias, 2023. "Estimating Growth at Risk with Skewed Stochastic Volatility Models," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277696, Verein für Socialpolitik / German Economic Association.
    57. Edward P. Herbst, 2012. "Using the \"Chandrasekhar Recursions\" for likelihood evaluation of DSGE models," Finance and Economics Discussion Series 2012-35, Board of Governors of the Federal Reserve System (U.S.).
    58. Xiaohong Chen & Matthew Gentry & Tong Li & Jingfeng Lu, 2020. "Identification and Inference in First-Price Auctions with Risk Averse Bidders and Selective Entry," Cowles Foundation Discussion Papers 2257, Cowles Foundation for Research in Economics, Yale University.
    59. Zhongjun Qu, 2018. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 916-932, December.
    60. Kukacka, Jiri & Sacht, Stephen, 2021. "Estimation of Heuristic Switching in Behavioral Macroeconomic Models," Economics Working Papers 2021-01, Christian-Albrechts-University of Kiel, Department of Economics.
    61. Fernando J. Pérez Forero & Fabio Canova, 2015. "Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs," Working Papers 637, Barcelona School of Economics.
    62. Eric M. Leeper & Nora Traum & Todd B. Walker, 2015. "Clearing Up the Fiscal Multiplier Morass: Prior and Posterior Analysis," NBER Working Papers 21433, National Bureau of Economic Research, Inc.
    63. Martin Bruns & Michele Piffer, 2018. "Bayesian Structural VAR models: a new approach for prior beliefs on impulse responses," Working Papers 878, Queen Mary University of London, School of Economics and Finance.
    64. Markku Lanne & Jani Luoto, 2015. "Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints," CREATES Research Papers 2015-37, Department of Economics and Business Economics, Aarhus University.
    65. Markku Lanne & Jani Luoto, 2018. "Data†Driven Identification Constraints for DSGE Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(2), pages 236-258, April.
    66. Jensen, Henrik & Santoro, Emiliano & Ravn, Søren Hove, 2015. "Changing Credit Limits, Changing Business Cycles," CEPR Discussion Papers 10462, C.E.P.R. Discussion Papers.
    67. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    68. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.
    69. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
    70. Christopher D. Walker, 2024. "Semiparametric Bayesian Inference for a Conditional Moment Equality Model," Papers 2410.16017, arXiv.org.
    71. Martin Burda & Remi Daviet, 2023. "Hamiltonian sequential Monte Carlo with application to consumer choice behavior," Econometric Reviews, Taylor & Francis Journals, vol. 42(1), pages 54-77, January.
    72. Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2022. "Conditional density forecasting: a tempered importance sampling approach," Working Paper Series 2754, European Central Bank.
    73. Garland Durham & John Geweke, 2013. "Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments," Working Paper Series 9, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    74. Joshua Brault, 2024. "Parallel Tempering for DSGE Estimation," Staff Working Papers 24-13, Bank of Canada.
    75. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
    76. Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
    77. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    78. Gianluca Cubadda & Francesco Giancaterini & Stefano Grassi, 2025. "Sequential Monte Carlo for Noncausal Processes," Papers 2501.03945, arXiv.org.
    79. Yin, Ming, 2015. "Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation," MPRA Paper 88111, University Library of Munich, Germany, revised 2018.
    80. Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2021. "Adaptive Importance Sampling for DSGE Models," BEMPS - Bozen Economics & Management Paper Series BEMPS84, Faculty of Economics and Management at the Free University of Bozen.
    81. Joshua Brault & Louis Phaneuf, 2021. "Higher Order Interest-Smoothing, Time-Varying Inflation Target and the Prospect of Indeterminacy," Working Papers 21-10, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    82. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers 14200, C.E.P.R. Discussion Papers.
    83. Geweke, John & Durham, Garland, 2019. "Sequentially adaptive Bayesian learning algorithms for inference and optimization," Journal of Econometrics, Elsevier, vol. 210(1), pages 4-25.
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    85. Li, Yong & Zhang, Mingzhi & Zhang, Yonghui, 2022. "Sequential Bayesian bandwidth selection for multivariate kernel regression with applications," Economic Modelling, Elsevier, vol. 112(C).

  30. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," Working Papers 12-09, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in Transaction-Level Asset Price Models," Working Papers hal-00756372, HAL.
    2. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    3. Peter Akioyamen & Yi Zhou Tang & Hussien Hussien, 2021. "A Hybrid Learning Approach to Detecting Regime Switches in Financial Markets," Papers 2108.05801, arXiv.org.
    4. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    5. Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023. "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers 10523, Center for Quantitative Economics (CQE), University of Muenster.
    6. Xin-Lan Fu & Xing-Lu Gao & Zheng Shan & Zhi-Qiang Jiang & Wei-Xing Zhou, 2018. "Multifractal characteristics and return predictability in the Chinese stock markets," Papers 1806.07604, arXiv.org.
    7. Zikes, Filip & Barunik, Jozef & Shenai, Nikhil, 2015. "Modeling and forecasting persistent financial durations," FinMaP-Working Papers 36, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    8. Abdelhakim Aknouche & Christian Francq, 2022. "Stationarity and ergodicity of Markov switching positive conditional mean models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 436-459, May.
    9. Jeffrey R. Black & Pankaj K. Jain & Wei Sun, 2023. "Trade-time clustering," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1209-1242, April.
    10. Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    11. Zhicheng Li & Haipeng Xing, 2022. "High-Frequency Quote Volatility Measurement Using a Change-Point Intensity Model," Mathematics, MDPI, vol. 10(4), pages 1-24, February.
    12. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
    13. Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018. "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 295-321, February.
    14. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
    15. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2022. "Approximate maximum likelihood for complex structural models," Journal of Econometrics, Elsevier, vol. 231(2), pages 432-456.
    16. Herrera, Rodrigo & Rodriguez, Alejandro & Pino, Gabriel, 2017. "Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model," Energy Economics, Elsevier, vol. 63(C), pages 129-143.
    17. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
    18. Kuosmanen, Petri & Nabulsi, Nasib & Vataja, Juuso, 2015. "Financial variables and economic activity in the Nordic countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 368-379.
    19. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
    20. Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
    21. Augustyniak, Maciej & Dufays, Arnaud, 2018. "Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space," Economics Letters, Elsevier, vol. 170(C), pages 122-126.
    22. de Bruijn, L.P. & Franses, Ph.H.B.F., 2015. "Stochastic levels and duration dependence in US unemployment," Econometric Institute Research Papers EI2015-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    23. Marcin Wątorek & Jarosław Kwapień & Stanisław Drożdż, 2022. "Multifractal Cross-Correlations of Bitcoin and Ether Trading Characteristics in the Post-COVID-19 Time," Future Internet, MDPI, vol. 14(7), pages 1-15, July.
    24. Veronika Czellar & David T. Frazier & Eric Renault, 2020. "Approximate Maximum Likelihood for Complex Structural Models," Papers 2006.10245, arXiv.org.
    25. Lux, Thomas, 2013. "Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model," Kiel Working Papers 1871, Kiel Institute for the World Economy (IfW Kiel).
    26. Suh, Jong Hwan, 2015. "Forecasting the daily outbreak of topic-level political risk from social media using hidden Markov model-based techniques," Technological Forecasting and Social Change, Elsevier, vol. 94(C), pages 115-132.
    27. Brownlees Christian T. & Vannucci Marina, 2013. "A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 21-46, February.
    28. Farzad Alavi Fard, 2014. "Optimal Bid-Ask Spread in Limit-Order Books under Regime Switching Framework," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 33-48, November.
    29. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2021. "Approximate Maximum Likelihood for Complex Structural Models," The Warwick Economics Research Paper Series (TWERPS) 1337, University of Warwick, Department of Economics.
    30. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2022. "Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time," Papers 2208.01445, arXiv.org.
    31. Renault, Eric & van der Heijden, Thijs & Werker, Bas J.M., 2014. "The dynamic mixed hitting-time model for multiple transaction prices and times," Journal of Econometrics, Elsevier, vol. 180(2), pages 233-250.
    32. Kang, Bo Soo & Ryu, Doojin & Ryu, Doowon, 2014. "Phase-shifting behaviour revisited: An alternative measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 167-173.

  31. Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers 701, Federal Reserve Bank of Minneapolis.

    Cited by:

    1. Philipp Gersing & Leopold Soegner & Manfred Deistler, 2022. "Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR," Papers 2204.05952, arXiv.org, revised Jul 2023.
    2. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2018. "Using low frequency information for predicting high frequency variables," International Journal of Forecasting, Elsevier, vol. 34(4), pages 774-787.
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    139. Heinisch, Katja, 2016. "A real-time analysis on the importance of hard and soft data for nowcasting German GDP," VfS Annual Conference 2016 (Augsburg): Demographic Change 145864, Verein für Socialpolitik / German Economic Association.
    140. Zheng, Tingguo & Fan, Xinyue & Jin, Wei & Fang, Kuangnan, 2024. "Words or numbers? Macroeconomic nowcasting with textual and macroeconomic data," International Journal of Forecasting, Elsevier, vol. 40(2), pages 746-761.
    141. Sebastian Ankargren & Paulina Jon'eus, 2019. "Estimating Large Mixed-Frequency Bayesian VAR Models," Papers 1912.02231, arXiv.org.
    142. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    143. Claudia Foroni & Massimiliano Marcellino, 2014. "Mixed frequency structural VARs," Working Paper 2014/01, Norges Bank.
    144. Giusto Andrea & İşcan Talan B., 2018. "The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(4), pages 1-16, September.
    145. Ling Lin & Qiumei Li & Jin Li & Zuominyang Zhang & Xuan Zhong, 2023. "Industry Volatility and Employment Extreme Risk Transmission: Evidence from China," Sustainability, MDPI, vol. 15(17), pages 1-22, August.
    146. Carriero, Andrea & Galvão, Ana Beatriz & Kapetanios, George, 2019. "A comprehensive evaluation of macroeconomic forecasting methods," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1226-1239.
    147. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo.
    148. Pirschel, Inske, 2015. "Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113031, Verein für Socialpolitik / German Economic Association.
    149. Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
    150. Jürgen Antony & D. Broer, 2015. "Euro area financial shocks and economic activity in The Netherlands," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 571-595, August.
    151. Heiner Mikosch & Ying Zhang, 2014. "Forecasting Chinese GDP Growth with Mixed Frequency Data," KOF Working papers 14-359, KOF Swiss Economic Institute, ETH Zurich.
    152. Sebastian Ankargren & Måns Unosson & Yukai Yang, 2018. "A mixed-frequency Bayesian vector autoregression with a steady-state prior," CREATES Research Papers 2018-32, Department of Economics and Business Economics, Aarhus University.
    153. Homolka, Lubor & Ngo, Vu Minh & Pavelková, Drahomíra & Le, Bach Tuan & Dehning, Bruce, 2020. "Short- and medium-term car registration forecasting based on selected macro and socio-economic indicators in European countries," Research in Transportation Economics, Elsevier, vol. 80(C).
    154. Nataliia Ostapenko, 2022. "Do output gap estimates improve inflation forecasts in Slovakia?," Working and Discussion Papers WP 4/2022, Research Department, National Bank of Slovakia.
    155. Ruey Yau & C. James Hueng, 2019. "Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 177-198, June.
    156. Jan P.A.M. Jacobs & Samad Sarferaz & Simon van Norden & Jan-Egbert Sturm, 2013. "Modeling Multivariate Data Revisions," CIRANO Working Papers 2013s-44, CIRANO.
    157. Trujillo-Barrera, Andres & Pennings, Joost M.E., 2013. "Energy and Food Commodity Prices Linkage: An Examination with Mixed-Frequency Data," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150465, Agricultural and Applied Economics Association.
    158. Consolo, Agostino & Foroni, Claudia & Martínez Hernández, Catalina, 2021. "A mixed frequency BVAR for the euro area labour market," Working Paper Series 2601, European Central Bank.
    159. Yun-Yeong Kim, 2016. "Dynamic Analyses Using VAR Model with Mixed Frequency Data through Observable Representation," Korean Economic Review, Korean Economic Association, vol. 32, pages 41-75.
    160. Leippold, Markus & Yang, Hanlin, 2019. "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, vol. 12(C), pages 25-41.

  32. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.

    Cited by:

    1. Oxana Babecka Kucharcukova & Jan Bruha, 2016. "Nowcasting the Czech Trade Balance," Working Papers 2016/11, Czech National Bank.
    2. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    3. Wieland, Volker & Wolters, Maik, 2013. "Forecasting and Policy Making," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 239-325, Elsevier.
    4. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2018. "Using low frequency information for predicting high frequency variables," International Journal of Forecasting, Elsevier, vol. 34(4), pages 774-787.
    5. Jannsen, Nils & Wolters, Maik H., 2016. "Zu Produktionspotenzial und Produktionslücke in den Vereinigten Staaten," Kiel Insight 2016.2, Kiel Institute for the World Economy (IfW Kiel).
    6. Luci Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon M. Potter, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Staff Reports 680, Federal Reserve Bank of New York.
    7. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
    8. Inske Pirschel & Maik H. Wolters, 2018. "Forecasting with large datasets: compressing information before, during or after the estimation?," Empirical Economics, Springer, vol. 55(2), pages 573-596, September.
    9. Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
    10. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    11. Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2020. "Time-Varying Influence of Household Debt on Inequality in United Kingdom," Working Papers 202017, University of Pretoria, Department of Economics.
    12. Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022. "The financial accelerator mechanism: does frequency matter?," Working Papers 22-29, Federal Reserve Bank of Cleveland.
    13. Minchul Shin & Molin Zhong, 2015. "Does Realized Volatility Help Bond Yield Density Prediction?," Finance and Economics Discussion Series 2015-115, Board of Governors of the Federal Reserve System (U.S.).
    14. Gelfer, Sacha & Gibbs, Christopher G., 2023. "Measuring the effects of large-scale asset purchases: The role of international financial markets and the financial accelerator," Journal of International Money and Finance, Elsevier, vol. 131(C).
    15. Altug, Sumru & Çakmaklı, Cem, 2015. "Forecasting Inflation using Survey Expectations and Target Inflation: Evidence for Brazil and Turkey," CEPR Discussion Papers 10419, C.E.P.R. Discussion Papers.
    16. Edward S. Knotek & Saeed Zaman, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
    17. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
    18. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    19. Michał Rubaszek, 2019. "Forecasting crude oil prices with DSGE models," GRU Working Paper Series GRU_2019_024, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    20. Edward P. Herbst & Frank Schorfheide, 2012. "Sequential Monte Carlo sampling for DSGE models," Working Papers 12-27, Federal Reserve Bank of Philadelphia.
    21. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers 1413, Koc University-TUSIAD Economic Research Forum.
    22. Berg Tim Oliver, 2017. "Forecast accuracy of a BVAR under alternative specifications of the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(2), pages 1-29, April.
    23. Gianni Amisano & John Geweke, 2017. "Prediction Using Several Macroeconomic Models," The Review of Economics and Statistics, MIT Press, vol. 99(5), pages 912-925, December.
    24. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Liberty Street Economics 20190821, Federal Reserve Bank of New York.
    25. Gulan, Adam, 2018. "Paradise lost? A brief history of DSGE macroeconomics," Bank of Finland Research Discussion Papers 22/2018, Bank of Finland.
    26. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    27. Gelfer, Sacha, 2021. "Evaluating the forecasting power of an open-economy DSGE model when estimated in a data-Rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    28. Prieto, Esteban & Eickmeier, Sandra & Marcellino, Massimiliano, 2013. "Time variation in macro-financial linkages," Discussion Papers 13/2013, Deutsche Bundesbank.
    29. Maik Wolters, 2017. "How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates," Jena Economics Research Papers 2017-008, Friedrich-Schiller-University Jena.
    30. Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2020. "Online Appendix to "Output Gap, Monetary Policy Trade-offs, and Financial Frictions"," Online Appendices 20-29, Review of Economic Dynamics.
    31. Warne, Anders, 2023. "DSGE model forecasting: rational expectations vs. adaptive learning," Working Paper Series 2768, European Central Bank.
    32. Iversen, Jens & Laséen, Stefan & Lundvall, Henrik & Söderström, Ulf, 2016. "Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank," Working Paper Series 318, Sveriges Riksbank (Central Bank of Sweden).
    33. Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
    34. José R. Maria & Paulo Júlio, 2018. "An integrated financial amplifier: the role of defaulted loans and occasionally binding constraints in output fluctuations," Working Papers w201813, Banco de Portugal, Economics and Research Department.
    35. Solis-Garcia, Mario, 2017. "Yes we can! Teaching DSGE models to undergraduate students," MPRA Paper 81754, University Library of Munich, Germany.
    36. Nalban, Valeriu, 2018. "Forecasting with DSGE models: What frictions are important?," Economic Modelling, Elsevier, vol. 68(C), pages 190-204.
    37. Júlio, Paulo & Maria, José R., 2024. "The magnifying role of the banking sector during depressions," Journal of Macroeconomics, Elsevier, vol. 79(C).
    38. Claudio Borio & Piti Disyatat & Mikael Juselius, 2014. "A parsimonious approach to incorporating economic information in measures of potential output," BIS Working Papers 442, Bank for International Settlements.
    39. Shirai, Daichi, 2016. "Persistence and Amplification of Financial Frictions," MPRA Paper 72187, University Library of Munich, Germany.
    40. Villa, Stefania, 2016. "Financial Frictions In The Euro Area And The United States: A Bayesian Assessment," Macroeconomic Dynamics, Cambridge University Press, vol. 20(5), pages 1313-1340, July.
    41. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    42. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    43. Ca' Zorzi, Michele & Kolasa, Marcin & Rubaszek, Michał, 2016. "Exchange rate forecasting with DSGE models," Working Paper Series 1905, European Central Bank.
    44. Luca Sala, 2013. "DSGE models in the frequency domain," Working Papers 504, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    45. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    46. Ángel Estrada & Luis Guirola & Iván Kataryniuk & Jaime Martínez-Martín, 2020. "The use of BVARs in the analysis of emerging economies," Occasional Papers 2001, Banco de España.
    47. Fabian Kr ger & Todd E. Clark & Francesco Ravazzolo, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Papers No 8/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    48. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
    49. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 141-194, Elsevier.
    50. Reicher Christopher Phillip & Utlaut Johannes Friederich, 2013. "Monetary policy shocks and real commodity prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 715-749, October.
    51. Petrella, Ivan & Antolin-Diaz, Juan & Rubio-Ramírez, Juan Francisco, 2018. "Structural Scenario Analysis with SVARs," CEPR Discussion Papers 12579, C.E.P.R. Discussion Papers.
    52. Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2014. "Exploiting the monthly data-flow in structural forecasting," LSE Research Online Documents on Economics 57998, London School of Economics and Political Science, LSE Library.
    53. Stefania D'Amico & Thomas B. King, 2015. "What Does Anticipated Monetary Policy Do?," Working Paper Series WP-2015-10, Federal Reserve Bank of Chicago.
    54. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    55. Lars Winkelmann & Wenying Yao, 2024. "Tests for Jumps in Yield Spreads," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 946-957, July.
    56. Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers CWP41/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    57. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Open Access publications 10197/7322, School of Economics, University College Dublin.
    58. Todd E. Clark & Michael W. McCracken, 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers 2014-25, Federal Reserve Bank of St. Louis.
    59. Jaakko Kuorikoski & Aki Lehtinen, 2018. "Model selection in macroeconomics: DSGE and ad hocness," Journal of Economic Methodology, Taylor & Francis Journals, vol. 25(3), pages 252-264, July.
    60. Kang, Hyunju & Park, Jaevin & Suh, Hyunduk, 2020. "The rise of part-time employment in the great recession: Its causes and macroeconomic effects," Journal of Macroeconomics, Elsevier, vol. 66(C).
    61. Cars Hommes & Sebastian Poledna, 2023. "Analyzing and forecasting economic crises with an agent-based model of the euro area," Tinbergen Institute Discussion Papers 23-013/II, Tinbergen Institute.
    62. Chen, Han, 2017. "The effects of the near-zero interest rate policy in a regime-switching dynamic stochastic general equilibrium model," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 176-192.
    63. Carlo Altavilla & Domenico Giannone, 2014. "The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data," Working Papers ECARES ECARES 2014-30, ULB -- Universite Libre de Bruxelles.
    64. Nalan Baştürk & Cem Çakmakli & S. Pinar Ceyhan & Herman K. Van Dijk, 2014. "Posterior‐Predictive Evidence On Us Inflation Using Extended New Keynesian Phillips Curve Models With Non‐Filtered Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1164-1182, November.
    65. Hess Chung & Edward Herbst & Michael T. Kiley, 2014. "Effective Monetary Policy Strategies in New Keynesian Models: A Re-examination," NBER Working Papers 20611, National Bureau of Economic Research, Inc.
    66. Angelini, Elena & Lalik, Magdalena & Lenza, Michele & Paredes, Joan, 2019. "Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1658-1668.
    67. Hikaru Saijo & Cosmin Ilut, 2015. "Learning, Confidence, and Business Cycles," 2015 Meeting Papers 917, Society for Economic Dynamics.
    68. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2019. "Forecasting with instabilities: an application to DSGE models with financial frictions," Temi di discussione (Economic working papers) 1234, Bank of Italy, Economic Research and International Relations Area.
    69. Sylvain Barde, 2019. "Macroeconomic simulation comparison with a multivariate extension of the Markov Information Criterion," Studies in Economics 1908, School of Economics, University of Kent.
    70. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2019. "Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods," Journal of Asian Economics, Elsevier, vol. 60(C), pages 45-68.
    71. Ivashchenko, S., 2013. "Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms," Journal of the New Economic Association, New Economic Association, vol. 19(3), pages 27-50.
    72. Canova, Fabio & Ferroni, Filippo, 2020. "A hitchhiker guide to empirical macro models," CEPR Discussion Papers 15446, C.E.P.R. Discussion Papers.
    73. Gern, Klaus-Jürgen & Hauber, Philipp & Jannsen, Nils & Kooths, Stefan & Plödt, Martin & Wolters, Maik H., 2016. "Weltkonjunktur im Frühjahr 2016 - Getrübte Aussichten für die Weltkonjunktur [World Economy Spring 2016 - Clouded outlook for the world economy]," Kieler Konjunkturberichte 15, Kiel Institute for the World Economy (IfW Kiel).
    74. Daragh Clancy & Rossana Merola, 2016. "ÉIRE Mod: A DSGE Model for Ireland," The Economic and Social Review, Economic and Social Studies, vol. 47(1), pages 1-31.
    75. Fritz Breuss, 2016. "Would DSGE Models have Predicted the Great Recession in Austria?," WIFO Working Papers 530, WIFO.
    76. Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," CFS Working Paper Series 577, Center for Financial Studies (CFS).
    77. Döpke Jörg & Fritsche Ulrich & Waldhof Gabi, 2019. "Theories, Techniques and the Formation of German Business Cycle Forecasts : Evidence from a survey of professional forecasters," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(2), pages 203-241, April.
    78. Dmitry Kreptsev & Sergei Seleznev, 2017. "DSGE Model of the Russian Economy with the Banking Sector," Bank of Russia Working Paper Series wps27, Bank of Russia.
    79. Marcelo Arbex & Sidney Caetano & Wilson Correa, 2018. "Macroeconomic Effects of Inflation Target Uncertainty Shocks," Working Papers 1804, University of Windsor, Department of Economics.
    80. Rodríguez, Aldo, 2020. "Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario," Dynare Working Papers 52, CEPREMAP.
    81. Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2018. "Inflation, real economic growth and unemployment expectations: an empirical analysis based on the ECB survey of professional forecasters," Applied Economics, Taylor & Francis Journals, vol. 50(42), pages 4540-4555, September.
    82. Smets, Frank & Villa, Stefania, 2016. "Slow recoveries: Any role for corporate leverage?," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 54-85.
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    84. Francesco Furlanetto & Paolo Gelain & Marzie Sanjani, 2020. "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Working Papers 20-05, Federal Reserve Bank of Cleveland.
    85. Böhl, Gregor, 2022. "Endogenous Money, Excess Reserves and Unconventional Monetary Policy," VfS Annual Conference 2022 (Basel): Big Data in Economics 264141, Verein für Socialpolitik / German Economic Association.
    86. Chamon Wieles & Jan Kwakkel & Willem L. Auping & Jan Willem van den End, 2024. "Scenario discovery to address deep uncertainty in monetary policy," Working Papers 818, DNB.
    87. Paolo Gelain & Simone Manganelli, 2020. "Monetary Policy with Judgment," Working Papers 20-14, Federal Reserve Bank of Cleveland.
    88. Burçin Kısacıkoğlu, 2020. "Real Term Structure and New Keynesian Models," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 95-139, June.
    89. Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers 41/14, Institute for Fiscal Studies.
    90. Elias, Christopher J., 2022. "Adaptive learning with heterogeneous expectations in an estimated medium-scale New Keynesian model," Journal of Macroeconomics, Elsevier, vol. 71(C).
    91. Takuma Tanaka, 2018. "Thermodynamic structure of a macroeconomic model," Discussion Papers CRR Discussion Paper Series A: General 30, Shiga University, Faculty of Economics,Center for Risk Research.
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    93. Kapetanios, George & Price, Simon & Theodoridis, Konstantinos, 2015. "A new approach to multi-step forecasting using dynamic stochastic general equilibrium models," Economics Letters, Elsevier, vol. 136(C), pages 237-242.
    94. Carlos Benavides & Luis Gonzales & Manuel Diaz & Rodrigo Fuentes & Gonzalo García & Rodrigo Palma-Behnke & Catalina Ravizza, 2015. "The Impact of a Carbon Tax on the Chilean Electricity Generation Sector," Energies, MDPI, vol. 8(4), pages 1-27, April.
    95. Pop, Raluca-Elena, 2017. "A small-scale DSGE-VAR model for the Romanian economy," Economic Modelling, Elsevier, vol. 67(C), pages 1-9.
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    98. Rangan Gupta & Xiaojin Sun, 2022. "Time-Varying Parameter Four-Equation DSGE Model," Working Papers 202234, University of Pretoria, Department of Economics.
    99. Sacha Gelfer, 2019. "Data-Rich DSGE Model Forecasts of the Great Recession and its Recovery," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 32, pages 18-41, April.
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    102. Giovanni Caggiano & Efrem Castelnuovo & Silvia Delrio & Richard Kima, 2020. "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," CESifo Working Paper Series 8426, CESifo.
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    106. Anders Warne & Günter Coenen & Kai Christoffel, 2017. "Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
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    108. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
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    115. Ganics, Gergely & Odendahl, Florens, 2021. "Bayesian VAR forecasts, survey information, and structural change in the euro area," International Journal of Forecasting, Elsevier, vol. 37(2), pages 971-999.
    116. Berg, Tim Oliver, 2015. "Multivariate Forecasting with BVARs and DSGE Models," MPRA Paper 62405, University Library of Munich, Germany.
    117. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    118. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data," Koç University-TUSIAD Economic Research Forum Working Papers 1321, Koc University-TUSIAD Economic Research Forum.
    119. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    120. Michael P. Clements, 2014. "Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment," ICMA Centre Discussion Papers in Finance icma-dp2014-02, Henley Business School, University of Reading.
    121. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
    122. Smets, Frank & Warne, Anders & Wouters, Rafael, 2014. "Professional forecasters and real-time forecasting with a DSGE model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 981-995.
    123. Gelfer, Sacha & Gibbs, Christopher, 2021. "Comparing Monetary Policy Tools in an Estimated DSGE model with International Financial Markets," Working Papers 2021-13, University of Sydney, School of Economics.
    124. Sokol, Andrej, 2021. "Fan charts 2.0: flexible forecast distributions with expert judgement," Working Paper Series 2624, European Central Bank.
    125. Gelfer, Sacha, 2024. "Examining business cycles and optimal monetary policy in a regional DSGE model," Economic Modelling, Elsevier, vol. 136(C).
    126. Markku Lanne & Jani Luoto, 2015. "Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints," CREATES Research Papers 2015-37, Department of Economics and Business Economics, Aarhus University.
    127. Anastasios Evgenidis & Anastasios G. Malliaris, 2022. "Monetary policy, financial shocks and economic activity," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 429-456, August.
    128. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
    129. Pan Tang & Yuwei Zhang, 2024. "China's business cycle forecasting: a machine learning approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2783-2811, November.
    130. Markku Lanne & Jani Luoto, 2018. "Data†Driven Identification Constraints for DSGE Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(2), pages 236-258, April.
    131. Sergey Ivashchenko & Semih Emre Cekin & Rangan Gupta & Chien-Chiang Lee, 2022. "Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form," Working Papers 202204, University of Pretoria, Department of Economics.
    132. Hauber, Philipp, 2022. "Real-time nowcasting with sparse factor models," EconStor Preprints 251551, ZBW - Leibniz Information Centre for Economics.
    133. Bluwstein, Kristina, 2017. "Asymmetric Macro-Financial Spillovers," Working Paper Series 337, Sveriges Riksbank (Central Bank of Sweden).
    134. Andreas Tryphonides, 2017. "Set Identified Dynamic Economies and Robustness to Misspecification," Papers 1712.03675, arXiv.org, revised Jan 2018.
    135. Pablo Guerróon‐Quintana & Molin Zhong, 2023. "Macroeconomic forecasting in times of crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 295-320, April.
    136. Bowen Fu, Ivan Mendieta-Muñoz, 2023. "Structural shocks and trend inflation," Working Paper Series, Department of Economics, University of Utah 2023_04, University of Utah, Department of Economics.
    137. S. Boragan Aruoba & Frank Schorfheide, 2013. "Macroeconomic dynamics near the ZLB: a tale of two equilibria," Working Papers 13-29, Federal Reserve Bank of Philadelphia.
    138. Pami Dua, 2023. "Macroeconomic Modelling and Bayesian Methods," Springer Books, in: Pami Dua (ed.), Macroeconometric Methods, chapter 0, pages 19-37, Springer.
    139. Jörg Breitung & Sandra Eickmeier, 2014. "Analyzing business and financial cycles using multi-level factor models," CAMA Working Papers 2014-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    140. Breitung, Jörg & Eickmeier, Sandra, 2015. "Analyzing business cycle asymmetries in a multi-level factor model," Economics Letters, Elsevier, vol. 127(C), pages 31-34.
    141. Boehl, Gregor & Strobel, Felix, 2024. "The empirical performance of the financial accelerator since 2008," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
    142. Bahram Adrangi & Juan Nicolás D’Amico, 2023. "Equity Returns and the Output Shocks in a Dynamic Stochastic General Equilibrium Framework," JRFM, MDPI, vol. 16(5), pages 1-14, April.
    143. Smets, Frank & Warne, Anders & Wouters, Raf, 2013. "Professional forecasters and the real-time forecasting performance of an estimated new keynesian model for the euro area," Working Paper Series 1571, European Central Bank.
    144. Shaun de Jager & Michael Johnston & Rudi Steinbach, 2015. "A Revised Quarterly Projection Model for South Africa," Working Papers 6839, South African Reserve Bank.
    145. Bretscher, Lorenzo & Malkhozov, Aytek & Tamoni, Andrea, 2021. "Expectations and aggregate risk," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 91-108.
    146. Edward S. Knotek & Saeed Zaman, 2014. "On the Relationships between Wages, Prices, and Economic Activity," Economic Commentary, Federal Reserve Bank of Cleveland, issue Aug.
    147. Emme, Verena & Henze, Justus & Reichmann, Werner & Weinig, Max, 2021. "Economics in Action – die Erstellung von Wirtschaftsprognosen in der (Corona-)Krise," WiSo-HH Working Paper Series 63, University of Hamburg, Faculty of Business, Economics and Social Sciences, WISO Research Laboratory.
    148. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    149. McAdam, Peter & Warne, Anders, 2018. "Euro area real-time density forecasting with financial or labor market frictions," Working Paper Series 2140, European Central Bank.
    150. Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
    151. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    152. Han Chen, 2014. "Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model," Finance and Economics Discussion Series 2014-38, Board of Governors of the Federal Reserve System (U.S.).
    153. Caraiani, Petre, 2016. "The role of money in DSGE models: a forecasting perspective," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 315-330.
    154. Andreas Tryphonides, 2019. "Qualitative Surveys And Margins Of Adjustment In Heterogeneous Agent Economies," 2019 Meeting Papers 1415, Society for Economic Dynamics.
    155. Christiano, Lawrence, 2022. "Financial frictions in macroeconomics," Journal of International Money and Finance, Elsevier, vol. 122(C).
    156. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series 1536, European Central Bank.
    157. Dario Caldara & Chiara Scotti & Molin Zhong, 2021. "Macroeconomic and Financial Risks: A Tale of Mean and Volatility," International Finance Discussion Papers 1326, Board of Governors of the Federal Reserve System (U.S.).
    158. Martin Harding & Rafael Wouters, 2022. "Risk and State-Dependent Financial Frictions," Staff Working Papers 22-37, Bank of Canada.

  33. Edward P. Herbst & Frank Schorfheide, 2012. "Evaluating DSGE model forecasts of comovements," Finance and Economics Discussion Series 2012-11, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    2. Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
    3. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
    4. Michał Rubaszek, 2019. "Forecasting crude oil prices with DSGE models," GRU Working Paper Series GRU_2019_024, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    5. Michal Andrle & Jan Bruha & Serhat Solmaz, 2016. "On the Sources of Business Cycles: Implications for DSGE Models," Working Papers 2016/03, Czech National Bank.
    6. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
    7. Marcin Kolasa & Michał Rubaszek, 2018. "Does the foreign sector help forecast domestic variables in DSGE models?," NBP Working Papers 282, Narodowy Bank Polski.
    8. Iversen, Jens & Laséen, Stefan & Lundvall, Henrik & Söderström, Ulf, 2016. "Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank," Working Paper Series 318, Sveriges Riksbank (Central Bank of Sweden).
    9. Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
    10. Nalban, Valeriu, 2018. "Forecasting with DSGE models: What frictions are important?," Economic Modelling, Elsevier, vol. 68(C), pages 190-204.
    11. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
    12. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Open Access publications 10197/7322, School of Economics, University College Dublin.
    13. Stelios D. Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Open Access publications 10197/7329, School of Economics, University College Dublin.
    14. Tomáš Jeřábek & Radka Šperková, 2015. "A Predictive Likelihood Approach to Bayesian Averaging," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(4), pages 1269-1276.
    15. Angelini, Elena & Lalik, Magdalena & Lenza, Michele & Paredes, Joan, 2019. "Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1658-1668.
    16. Giovanni Nicolo, 2020. "Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle," Finance and Economics Discussion Series 2020-035, Board of Governors of the Federal Reserve System (U.S.).
    17. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2019. "Forecasting with instabilities: an application to DSGE models with financial frictions," Temi di discussione (Economic working papers) 1234, Bank of Italy, Economic Research and International Relations Area.
    18. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2019. "Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods," Journal of Asian Economics, Elsevier, vol. 60(C), pages 45-68.
    19. Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," CFS Working Paper Series 577, Center for Financial Studies (CFS).
    20. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2018. "Does a financial accelerator improve forecasts during financial crises?: Evidence from Japan with Prediction Pool Methods," MPRA Paper 85523, University Library of Munich, Germany.
    21. Fanelli, Luca & Sorge, Marco M., 2017. "Indeterminate forecast accuracy under indeterminacy," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 57-70.
    22. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.
    23. Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
    24. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
    25. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    26. Michael P. Clements & Ana Beatriz Galvão, 2014. "Measuring Macroeconomic Uncertainty: US Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-04, Henley Business School, University of Reading.
    27. Berg, Tim Oliver, 2015. "Multivariate Forecasting with BVARs and DSGE Models," MPRA Paper 62405, University Library of Munich, Germany.
    28. Casares, Miguel & Vázquez, Jesús, 2016. "Data Revisions In The Estimation Of Dsge Models," Macroeconomic Dynamics, Cambridge University Press, vol. 20(7), pages 1683-1716, October.
    29. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
    30. Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2020. "Proxy SVAR identification of monetary policy shocks: MonteCarlo evidence and insights for the US," University of Göttingen Working Papers in Economics 404, University of Goettingen, Department of Economics.
    31. Clements, Michael P. & Galvão, Ana Beatriz, 2017. "Model and survey estimates of the term structure of US macroeconomic uncertainty," International Journal of Forecasting, Elsevier, vol. 33(3), pages 591-604.
    32. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    33. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
    34. Carriero, Andrea & Galvão, Ana Beatriz & Kapetanios, George, 2019. "A comprehensive evaluation of macroeconomic forecasting methods," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1226-1239.
    35. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    36. Caraiani, Petre, 2016. "The role of money in DSGE models: a forecasting perspective," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 315-330.

  34. Frank Schorfheide, 2011. "Estimation and evaluation of DSGE models: progress and challenges," Working Papers 11-7, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Barnichon, Regis & Mesters, Geert, 2021. "The Phillips multiplier," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 689-705.
    2. Marta Boczon, 2018. "Balanced Growth Approach to Forecasting Recessions," Working Paper 6487, Department of Economics, University of Pittsburgh.
    3. Eyal Argov & Emanuel Barnea & Alon Binyamini & Eliezer Borenstein & David Elkayam & Irit Rozenshtrom, 2012. "MOISE: A DSGE Model for the Israeli Economy," Bank of Israel Working Papers 2012.06, Bank of Israel.
    4. Massimiliano Marcellino & Yuliya Rychalovska, 2014. "Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(5), pages 315-338, August.
    5. Lucy Minford & David Meenagh, 2020. "Supply-Side Policy and Economic Growth: A Case Study of the UK," Open Economies Review, Springer, vol. 31(1), pages 159-193, February.
    6. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University.
    7. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Working Papers hal-04141079, HAL.
    8. Chen, Xiaoshan & Kirsanova, Tatiana & Leith, Campbell, 2013. "How Optimal is US Monetary Policy?," Stirling Economics Discussion Papers 2013-05, University of Stirling, Division of Economics.
    9. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.
    10. Charles Whalen & Felix Reichling, 2017. "Estimates of the Frisch Elasticity of Labor Supply: A Review," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 37-42, January.
    11. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Journal of Economic Literature, American Economic Association, vol. 52(1), pages 124-188, March.
    12. Stelios D. Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Open Access publications 10197/7329, School of Economics, University College Dublin.
    13. Lorenzo Burlon & Paolo D'Imperio, 2019. "The euro-area output gap through the lens of a DSGE model," Questioni di Economia e Finanza (Occasional Papers) 477, Bank of Italy, Economic Research and International Relations Area.
    14. Hashem M. Pesaran & Ron P. Smith, 2011. "Beyond the DSGE Straitjacket," CESifo Working Paper Series 3447, CESifo.
    15. Nikhil Patel, 2016. "International Trade Finance and the Cost Channel of Monetary Policy in Open Economies," BIS Working Papers 539, Bank for International Settlements.
    16. Gunnar Bårdsen & Luca Fanelli, 2015. "Frequentist Evaluation of Small DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
    17. Michael Wickens, 2014. "How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics," Discussion Papers 14/17, Department of Economics, University of York.
    18. Pablo A. Guerrón-Quintana & James M. Nason, 2013. "Bayesian estimation of DSGE models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 21, pages 486-512, Edward Elgar Publishing.
    19. Luca Barone, 2013. "An ABM for Economics: Micro Explains Macro," Working papers 016, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    20. Bernd Hayo & Britta Niehof, 2013. "Studying International Spillovers in a New Keynesian Continuous Time Framework with Financial Markets," MAGKS Papers on Economics 201342, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    21. Michael Wickens, 2015. "How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics," Manchester School, University of Manchester, vol. 83, pages 60-82, December.
    22. Matthieu Lemoine & Harri Turunen & Mohammed Chahad & Antoine Lepetit & Anastasia Zhutova & Pierre Aldama & Pierrick Clerc & Jean-Pierre Laffargue, 2019. "The FR-BDF Model and an Assessment of Monetary Policy Transmission in France," Working papers 736, Banque de France.
    23. Daniel O. Beltran & David Draper, 2016. "Estimating Dynamic Macroeconomic Models : How Informative Are the Data?," International Finance Discussion Papers 1175, Board of Governors of the Federal Reserve System (U.S.).
    24. Wong, Chin-Yoong & Eng, Yoke-Kee, 2013. "International business cycle co-movement and vertical specialization reconsidered in multistage Bayesian DSGE model," International Review of Economics & Finance, Elsevier, vol. 26(C), pages 109-124.
    25. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics 2014-615, Australian National University, College of Business and Economics, School of Economics.
    26. Schmidt, Sebastian & Wieland, Volker, 2013. "The New Keynesian Approach to Dynamic General Equilibrium Modeling: Models, Methods and Macroeconomic Policy Evaluation," Handbook of Computable General Equilibrium Modeling, in: Peter B. Dixon & Dale Jorgenson (ed.), Handbook of Computable General Equilibrium Modeling, edition 1, volume 1, chapter 0, pages 1439-1512, Elsevier.
    27. Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2013. "A Monte Carlo procedure for checking identification in DSGE models," CEPR Discussion Papers 9411, C.E.P.R. Discussion Papers.
    28. Dario Caldara & Richard Harrison & Anna Lipinska, 2012. "Practical tools for policy analysis in DSGE models with missing channels," Finance and Economics Discussion Series 2012-72, Board of Governors of the Federal Reserve System (U.S.).
    29. Matthieu Lemoine & Harri Turunen & Mohammed Chahad & Antoine Lepetit & Anastasia Zhutova & Pierre Aldama & Pierrick Clerc & Jean-Pierre Laffargue, 2019. "The FR-BDF Model and an Assessment of Monetary Policy Transmission in France, Working Paper Series no. 736, Banque de France," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02400611, HAL.
    30. Stracca Livio, 2017. "The Euler equation around the world," The B.E. Journal of Macroeconomics, De Gruyter, vol. 17(2), pages 1-9, June.
    31. Giesen, Sebastian & Scheufele, Rolf, 2016. "Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 1-18.
    32. Eyal Argov & Alon Binyamini & Eliezer Borenstein & Irit Rozenshtrom, 2012. "Ex-Post Evaluation of Monetary Policy," Bank of Israel Working Papers 2012.07, Bank of Israel.
    33. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
    34. Lance Kent, 2015. "Relaxing Rational Expectations," Working Papers 159, Department of Economics, College of William and Mary.
    35. Isaac Loh & Gregory Phelan, 2016. "Dimensionality and Disagreement: Asymptotic Belief Divergence in Response to Common Information," Department of Economics Working Papers 2016-18, Department of Economics, Williams College, revised Jan 2019.
    36. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    37. Felix Reichling & Charles Whalen, 2012. "Review of Estimates of the Frisch Elasticity of Labor Supply: Working Paper 2012-13," Working Papers 43676, Congressional Budget Office.
    38. Damodaran, Nikhil, 2016. "Export Subsidies and Interdependence in Euro Union: Beggar Thy Neighbor?," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235701, Agricultural and Applied Economics Association.
    39. Burlon, Lorenzo & D’Imperio, Paolo, 2020. "Reliable real-time estimates of the euro-area output gap," Journal of Macroeconomics, Elsevier, vol. 64(C).
    40. Francesco Sergi, 2015. "L'histoire (faussement) naïve des modèles DSGE," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01222798, HAL.
    41. Zhongjun Qu & Denis Tkachenko, 2011. "Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)," Boston University - Department of Economics - Working Papers Series WP2011-060, Boston University - Department of Economics.
    42. Waldyr Dutra Areosa & Christiano Arrigoni Coelho, 2013. "Utilizando um Modelo DSGE para Avaliar os Efeitos Macroeconômicos dos Recolhimentos Compulsórios no Brasil," Working Papers Series 303, Central Bank of Brazil, Research Department.
    43. Marta Boczoń & Jean-François Richard, 2020. "Balanced Growth Approach to Tracking Recessions," Econometrics, MDPI, vol. 8(2), pages 1-35, April.
    44. Dario Caldara & Richard Harrison & Anna Lipińska, 2014. "Practical Tools For Policy Analysis In Dsge Models With Missing Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1145-1163, November.
    45. Francesco Sergi, 2015. "L'histoire (faussement) naïve des modèles DSGE," Documents de travail du Centre d'Economie de la Sorbonne 15066, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  35. S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP measurement: a forecast combination perspective," Working Papers 11-41, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Jeremy J. Nalewaik, 2014. "Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression," Finance and Economics Discussion Series 2014-27, Board of Governors of the Federal Reserve System (U.S.).
    2. Tomaz Cajner & Leland D. Crane & Ryan A. Decker & Adrian Hamins-Puertolas & Christopher Kurz, 2019. "Improving the Accuracy of Economic Measurement with Multiple Data Sources: The Case of Payroll Employment Data," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 147-170, National Bureau of Economic Research, Inc.
    3. Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016. "Improving GDP measurement: A measurement-error perspective," Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.
    4. Tom Stark, 2014. "Real-time performance of GDPplus and alternative model-based measures of GDP: 2005—2014," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue Nov.
    5. Francis X. Diebold & Minchul Shin, 2017. "Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts," PIER Working Paper Archive 17-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 20 Aug 2017.
    6. Diebold, Francis X. & Shin, Minchul, 2019. "Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1679-1691.
    7. Cobb, Marcus P A, 2018. "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper 88593, University Library of Munich, Germany.
    8. James Bishop & Troy Gill & David Lancaster, 2013. "GDP Revisions: Measurement and Implications," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 11-22, March.
    9. Mary C. Daly & John G. Fernald & Òscar Jordà & Fernanda Nechio, 2013. "Shocks and Adjustments," Working Paper Series 2013-32, Federal Reserve Bank of San Francisco.
    10. Marius Cristian Acatrinei, 2020. "Financial stability indicator for non-banking markets," Journal of Financial Studies, Institute of Financial Studies, vol. 9(5), pages 3-9, November.
    11. Jan P.A.M. Jacobs & Samad Sarferaz & Simon van Norden & Jan-Egbert Sturm, 2013. "Modeling Multivariate Data Revisions," CIRANO Working Papers 2013s-44, CIRANO.

  36. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2011. "Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters," RCER Working Papers 566, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. F. Canova & F. Ferroni & C. Matthes, 2015. "Approximating time varying structural models with time invariant structures," Working papers 578, Banque de France.
    2. Barrios Cobos, Salvador & Dolls, Mathias & Maftei, Anamaria & Peichl, Andreas & Riscado, Sara & Varga, Janos & Wittneben, Christian, 2017. "Dynamic scoring of tax reforms in the European Union," ZEW Discussion Papers 17-017, ZEW - Leibniz Centre for European Economic Research.
    3. Samuel Hurtado, 2013. "DSGE Models and the Lucas critique," Working Papers 1310, Banco de España.
    4. Marcin Bielecki & Michał Brzoza-Brzezina & Marcin Kolasa & Krzysztof Makarski, 2017. "Could the boom-bust in the eurozone periphery have been prevented?," NBP Working Papers 263, Narodowy Bank Polski.
    5. Moore, Rachel & Pecoraro, Brandon, 2020. "Macroeconomic implications of modeling the Internal Revenue Code in a heterogeneous-agent framework," Economic Modelling, Elsevier, vol. 87(C), pages 72-91.
    6. Saito, Yuta, 2014. "Are Deep Parameters Policy-Invariant?," MPRA Paper 66236, University Library of Munich, Germany.
    7. Dmitry I. Malakhov & Nikolay P. Pilnik & Igor G. Pospelov, 2015. "Stability of Distribution of Relative Sizes of Banks as an Argument for the Use of the Representative Agent Concept," HSE Working papers WP BRP 116/EC/2015, National Research University Higher School of Economics.
    8. Nils M. Gornemann & Keith Kuester & Makoto Nakajima, 2012. "Monetary policy with heterogeneous agents," Working Papers 12-21, Federal Reserve Bank of Philadelphia.
    9. Macnamara Patrick, 2016. "Understanding entry and exit: a business cycle accounting approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 47-91, January.
    10. Jang-Ok Cho & Thomas Cooley & Hyung Seok Kim, 2015. "Business Cycle Uncertainty and Economic Welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(2), pages 185-200, April.
    11. Dolls, Mathias & Wittneben, Christian, 2017. "Dynamic Scoring of Tax Reforms in the EU," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168261, Verein für Socialpolitik / German Economic Association.
    12. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    13. Yagihashi, Takeshi, 2018. "How costly is a misspecified credit channel DSGE model in monetary policymaking?," Economic Modelling, Elsevier, vol. 68(C), pages 484-505.

  37. Chang, Yongsung & Schorfheide, Frank, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," CEPR Discussion Papers 8039, C.E.P.R. Discussion Papers.

    Cited by:

    1. Francesco Sergi, 2018. "DSGE Models and the Lucas Critique. A Historical Appraisal," Working Papers 20181806, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    2. Hashem M. Pesaran & Ron P. Smith, 2011. "Beyond the DSGE Straitjacket," CESifo Working Paper Series 3447, CESifo.
    3. Christian Bayer & Volker Tjaden, 2016. "Large Open Economies and Fixed Costs of Capital Adjustment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 125-146, July.
    4. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," CEPR Discussion Papers 8364, C.E.P.R. Discussion Papers.
    5. Fernando J. Pérez Forero, 2017. "Measuring the Stance of Monetary Policy in a Time-Varying," Working Papers 102, Peruvian Economic Association.
    6. Francisco J. Buera & Benjamin Moll, 2012. "Aggregate Implications of a Credit Crunch," NBER Working Papers 17775, National Bureau of Economic Research, Inc.

  38. Sun-Bin Kim & Frank Schorfheide & Yongsung Chang, 2010. "Financial Frictions, Aggregation, and the Lucas Critique," 2010 Meeting Papers 31, Society for Economic Dynamics.

    Cited by:

    1. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," CEPR Discussion Papers 8364, C.E.P.R. Discussion Papers.
    2. Chen, Shu-heng & Chang, Chia-ling, 2012. "Interactions in the New Keynesian DSGE models: The Boltzmann-Gibbs machine and social networks approach," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-32.
    3. Chang, Chia-ling & Chen, Shu-heng, 2011. "Interactions in DSGE models: The Boltzmann-Gibbs machine and social networks approach," Economics Discussion Papers 2011-25, Kiel Institute for the World Economy (IfW Kiel).

  39. S. Boragan Aruoba & Frank Schorfheide, 2009. "Sticky prices versus monetary frictions: an estimation of policy trade-offs," Working Papers 09-8, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
    2. Raffaella Giacomini & Toru Kitagawa, 2014. "Inference about Non-Identi?ed SVARs," CeMMAP working papers CWP45/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    4. Weber, Henning, 2011. "Optimal inflation and firms' productivity dynamics," Kiel Working Papers 1685, Kiel Institute for the World Economy (IfW Kiel).
    5. Nicoletta Batini & Paul Levine & Emanuela Lotti & Bo Yang, 2011. "Informality, Frictions and Monetary Policy," School of Economics Discussion Papers 0711, School of Economics, University of Surrey.
    6. Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
    7. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    8. Chou, Jenyu & Easaw, Joshy & Minford, Patrick, 2021. "Does Inattentiveness Matter for DSGE Modelling? An Empirical Investigation," Cardiff Economics Working Papers E2021/35, Cardiff University, Cardiff Business School, Economics Section.
    9. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    10. Manuel Gonzalez-Astudillo & Jean-Philippe Laforte, 2020. "Estimates of r* Consistent with a Supply-Side Structure and a Monetary Policy Rule for the U.S. Economy," Finance and Economics Discussion Series 2020-085, Board of Governors of the Federal Reserve System (U.S.).
    11. Diegel, Max, 2022. "Time-varying credibility, anchoring and the Fed's inflation target," Discussion Papers 2022/9, Free University Berlin, School of Business & Economics.
    12. Franz Seitz & Markus A. Schmidt, 2014. "Money In Modern Macro Models: A Review of the Arguments," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 156-174.
    13. Fabio Milani, 2014. "Sentiment and the U.S. Business Cycle," 2014 Meeting Papers 883, Society for Economic Dynamics.
    14. Fabio Milani, 2012. "The Modeling of Expectations in Empirical DSGE Models: a Survey," Working Papers 121301, University of California-Irvine, Department of Economics.
    15. Yashar Blouri & Maximilian von Ehrlich, 2017. "On the Optimal Design of Place-Based Policies: A Structural Evaluation of EU Regional Transfers," CESifo Working Paper Series 6742, CESifo.
    16. Williamson, Stephen D. & Wright, Randall, 2010. "New Monetarist Economics: Methods," MPRA Paper 21486, University Library of Munich, Germany.
    17. Hyungsik Roger Moon & Frank Schorfheide & Eleonora Granziera & Mihye Lee, 2011. "Inference for VARs Identified with Sign Restrictions," NBER Working Papers 17140, National Bureau of Economic Research, Inc.
    18. Fleissig, Adrian R. & Jones, Barry E., 2015. "The impact of commercial sweeping on the demand for monetary assets during the Great Recession," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 412-422.
    19. De Graeve, Ferre & Mazzolini, Giulio, 2023. "The maturity composition of government debt: A comprehensive database," European Economic Review, Elsevier, vol. 154(C).
    20. Liang Wang, 2014. "Endogenous Search, Price Dispersion, and Welfare," Working Papers 201429, University of Hawaii at Manoa, Department of Economics.
    21. Anna Kormilitsina & Denis Nekipelov, 2015. "Consistent Variance of the Laplace Type Estimators: Application to DSGE Models," Departmental Working Papers 1510, Southern Methodist University, Department of Economics.
    22. Weber, Henning, 2013. "Learning By Doing in New Firms and the Optimal Rate of Inflation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79761, Verein für Socialpolitik / German Economic Association.
    23. Olivier Coibion & Yuriy Gorodnichenko, 2008. "Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation," NBER Working Papers 14621, National Bureau of Economic Research, Inc.
    24. J. A. Lafuente & R. Pérez & J. Ruiz, 2018. "Disentangling permanent and transitory monetary shocks with a non-linear Taylor rule," Documentos de Trabajo del ICAE 2018-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    25. Ahrens, Steffen & Snower, Dennis J., 2014. "Envy, guilt, and the Phillips curve," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 69-84.
    26. Assenmacher, Katrin & Bitter, Lea & Ristiniemi, Annukka, 2023. "CBDC and business cycle dynamics in a New Monetarist New Keynesian model," Working Paper Series 2811, European Central Bank.
    27. Concetta Rondinelli & Roberta Zizza, 2020. "Spend today or spend tomorrow? The role of inflation expectations in consumer behaviour," Temi di discussione (Economic working papers) 1276, Bank of Italy, Economic Research and International Relations Area.
    28. Cecion, Martina & Coenen, Günter & Gerke, Rafael & Le Bihan, Hervé & Motto, Roberto & Aguilar, Pablo & Ajevskis, Viktors & Giesen, Sebastian & Albertazzi, Ugo & Gilbert, Niels & Al-Haschimi, Alexander, 2021. "The ECB’s price stability framework: past experience, and current and future challenges," Occasional Paper Series 269, European Central Bank.
    29. Anna Kormilitsina & Denis Nekipelov, 2016. "Consistent Variance Of The Laplace‐Type Estimators: Application To Dsge Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 603-622, May.
    30. Jagjit S. Chadha & Luisa Corrado & Sean Holly, 2013. "A Note on Money and the Conduct of Monetary Policy," Cambridge Working Papers in Economics 1329, Faculty of Economics, University of Cambridge.
    31. Pablo A. Guerrón-Quintana & James M. Nason, 2013. "Bayesian estimation of DSGE models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 21, pages 486-512, Edward Elgar Publishing.
    32. Miroslav Gabrovski & Athanasios Geromichalos & Lucas Herrenbrueck & Ioannis Kospentaris & Sukjoon Lee, 2023. "The real effects of financial disruptions in a monetary economy," Working Papers 202302, University of Hawaii at Manoa, Department of Economics.
    33. Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2020. "Uncertain Identification," CeMMAP working papers CWP33/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    34. Ahmed, Shahzad & Ahmed, Waqas & Khan, Sajawal & Pasha, Farooq & Rehman, Muhammad, 2012. "Pakistan Economy DSGE Model with Informality," MPRA Paper 53135, University Library of Munich, Germany.
    35. Del Negro, Marco & Eusepi, Stefano, 2011. "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.
    36. John Duffy & Daniela Puzzello, 2022. "The Friedman Rule: Experimental Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(2), pages 671-698, May.
    37. Emanuele Bacchiocchi & Toru Kitagawa, 2020. "Locally- but not globally-identified SVARs," CeMMAP working papers CWP40/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    38. Di Bartolomeo Giovanni & Tirelli Patrizio, 2016. "Public finance and the optimal inflation rate," wp.comunite 00128, Department of Communication, University of Teramo.
    39. Olivier Coibion & Yuriy Gorodnichenko & Johannes F. Wieland, 2010. "The Optimal Inflation Rate in New Keynesian Models," NBER Working Papers 16093, National Bureau of Economic Research, Inc.
    40. Rüdiger Bachmann & Tim O. Berg & Eric R. Sims, 2015. "Inflation Expectations and Readiness to Spend: Cross-Sectional Evidence," American Economic Journal: Economic Policy, American Economic Association, vol. 7(1), pages 1-35, February.
    41. Raffaella Giacomini & Toru Kitagawa, 2018. "Robust Bayesian inference for set-identified models," CeMMAP working papers CWP61/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    42. Ibrahim Ayoade Adekunle & Sheriffdeen Adewale Tella & Oluwaseyi Adedayo Adelowokan, 2021. "Macroeconomic policy volatility and household consumption in Africa," SN Business & Economics, Springer, vol. 1(3), pages 1-22, March.
    43. Yuriy Gorodnichenko & Johannes Wieland & Olivier Coibion, 2012. "The Optimal Inflation Rate in New Keynesian Models: Should Central Banks Raise Their Inflation Targets in Light of the Zero Lower Bound?," 2012 Meeting Papers 70, Society for Economic Dynamics.
    44. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    45. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    46. Saima Liaqat & Khalid Khan & Po Bunnika, 2018. "China9apos9s Consumption Function: An Empirical Test of Absolute and Permanent Income Hypothesis," Global Economics Review, Humanity Only, vol. 3(1), pages 90-97, June.
    47. Effah Nyamekye, Gabriel & Adusei Poku, Eugene, 2017. "What is the effect of inflation on consumer spending behaviour in Ghana?," MPRA Paper 81081, University Library of Munich, Germany.
    48. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    49. Vasco J. Gabriel & Paul Levine & Bo Yang, 2023. "Partial dollarization and financial frictions in emerging economies," Review of International Economics, Wiley Blackwell, vol. 31(2), pages 609-651, May.
    50. Silva, Mario, 2017. "New monetarism with endogenous product variety and monopolistic competition," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 158-181.
    51. Marieh Azizirad, 2022. "Fisher vs Keynes: Does an Interest Rate Hike Cause Inflation to Increase or Decrease?," Discussion Papers dp22-08, Department of Economics, Simon Fraser University.
    52. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.
    53. Michele Loberto & Chiara Perricone, 2015. "Does trend inflation make a difference?," Temi di discussione (Economic working papers) 1033, Bank of Italy, Economic Research and International Relations Area.
    54. Giovanni Di Bartolomeo & Patrizio Tirelli & Nicola Acocella, 2013. "The comeback of inflation as an optimal public finance tool," Working Papers 263, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
    55. Hafedh Bouakez & Takashi Kano, 2024. "Deciphering the Neo-Fisherian Effect," CAMA Working Papers 2024-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, revised Dec 2024.
    56. S. Boragan Aruoba & Frank Schorfheide, 2013. "Macroeconomic dynamics near the ZLB: a tale of two equilibria," Working Papers 13-29, Federal Reserve Bank of Philadelphia.
    57. Schabert, Andreas & Christoffel, Kai, 2015. "Interest rates, money, and banks in an estimated euro area model," Working Paper Series 1791, European Central Bank.
    58. Raffaella Giacomini & Toru Kitagawa, 2014. "Inference about Non-Identified SVARs," CeMMAP working papers 45/14, Institute for Fiscal Studies.
    59. Weber, Henning, 2012. "The optimal inflation rate and firm-level productivity growth," Kiel Working Papers 1773, Kiel Institute for the World Economy (IfW Kiel).
    60. Daniel R. Sanches, 2012. "The optimum quantity of money," Business Review, Federal Reserve Bank of Philadelphia, issue Q4, pages 8-15.
    61. Weber, Henning, 2015. "Innovation and the Optimal Rate of Inflation," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113087, Verein für Socialpolitik / German Economic Association.
    62. Michael Weber & Daniel Hoang & Francesco D'Acunto, 2015. "Inflation Expectations and Consumption Expenditure," 2015 Meeting Papers 1266, Society for Economic Dynamics.
    63. Joshua Brault & Louis Phaneuf, 2021. "Higher Order Interest-Smoothing, Time-Varying Inflation Target and the Prospect of Indeterminacy," Working Papers 21-10, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.

  40. Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulà lia-Llopis, Raül, 2009. "Methods versus Substance: Measuring the Effects of Technology Shocks on Hours," CEPR Discussion Papers 7474, C.E.P.R. Discussion Papers.

    Cited by:

    1. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    2. Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," 2006 Meeting Papers 479, Society for Economic Dynamics.
    3. Yao, Fang, 2009. "Real and nominal rigidities in price setting: A bayesian analysis using aggregate data," SFB 649 Discussion Papers 2009-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Alejandro Justiniano & Claudio Michelacci, 2012. "The Cyclical Behavior of Equilibrium Unemployment and Vacancies in the United States and Europe," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 8(1), pages 169-235.
    5. Cruz Echevarría, 2015. "Income tax progressivity, growth, income inequality and welfare," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(1), pages 43-72, March.
    6. Enrique Martínez García & Diego Vilán & Mark A. Wynne, 2012. "Bayesian estimation of NOEM models: identification and inference in small samples," Globalization Institute Working Papers 105, Federal Reserve Bank of Dallas.
    7. Frank Schorfheide, 2011. "Estimation and Evaluation of DSGE Models: Progress and Challenges," NBER Working Papers 16781, National Bureau of Economic Research, Inc.
    8. Ikeda, Daisuke, 2015. "Optimal inflation rates with the trending relative price of investment," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 20-33.
    9. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," NBER Working Papers 16401, National Bureau of Economic Research, Inc.
    10. Furlanetto, Francesco & Natvik, Gisle J. & Seneca, Martin, 2013. "Investment shocks and macroeconomic co-movement," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 208-216.
    11. Cantore, C. & Ferroni, F. & Le n-Ledesma, M A., 2011. "Interpreting the Hours-Technology time-varying relationship," Working papers 351, Banque de France.
    12. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
    13. Alejandro Justiniano & Claudio Michelacci, 2011. "The Cyclical Behavior of Equilibrium Unemployment and Vacancies in the US and Europe," NBER Working Papers 17429, National Bureau of Economic Research, Inc.
    14. Jesús Rodríguez López, 2010. "Growth, fluctuations and technology in the U.S. post-war economy," Working Papers 10.01, Universidad Pablo de Olavide, Department of Economics.
    15. Yao, Fang, 2010. "Aggregate hazard function in price-setting: A bayesian analysis using macro data," SFB 649 Discussion Papers 2010-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    16. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.

  41. Hyungsik Roger Moon & Frank Schorfheide, 2009. "Bayesian and Frequentist Inference in Partially Identified Models," NBER Working Papers 14882, National Bureau of Economic Research, Inc.

    Cited by:

    1. Atsushi Inoue & Mototsugu Shintani, 2018. "Quasi‐Bayesian model selection," Quantitative Economics, Econometric Society, vol. 9(3), pages 1265-1297, November.
    2. Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    3. Norets, Andriy & Shimizu, Kenichi, 2024. "Semiparametric Bayesian estimation of dynamic discrete choice models," Journal of Econometrics, Elsevier, vol. 238(2).
    4. Ahfock, Daniel & Pyne, Saumyadipta & McLachlan, Geoffrey J., 2022. "Statistical file-matching of non-Gaussian data: A game theoretic approach," Computational Statistics & Data Analysis, Elsevier, vol. 168(C).
    5. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers CWP43/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Xiaohong Chen & Timothy M. Christensen & Keith O'Hara & Elie Tamer, 2016. "MCMC confidence sets for identified sets," CeMMAP working papers CWP28/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Thorsten Drautzburg, 2016. "A narrative approach to a fiscal DSGE model," Working Papers 16-11, Federal Reserve Bank of Philadelphia.
    8. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    9. Yuan Liao & Anna Simoni, 2012. "Semi-parametric Bayesian Partially Identified Models based on Support Function," Papers 1212.3267, arXiv.org, revised Nov 2013.
    10. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2014. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," Dynare Working Papers 30, CEPREMAP.
    11. Armstrong, Timothy B., 2014. "Weighted KS statistics for inference on conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 181(2), pages 92-116.
    12. Pudney, Stephen & Diaz, Yadira, 2013. "Measuring poverty persistence with missing data with an application to Peruvian panel data," ISER Working Paper Series 2013-22, Institute for Social and Economic Research.
    13. Matthew Masten & Alexandre Poirier, 2017. "Inference on breakdown frontiers," CeMMAP working papers 20/17, Institute for Fiscal Studies.
    14. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    15. Brendan Kline & Elie Tamer, 2024. "Counterfactual Analysis in Empirical Games," Papers 2410.12731, arXiv.org.
    16. Kilian, Lutz & Murphy, Daniel, 2009. "Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models," CEPR Discussion Papers 7471, C.E.P.R. Discussion Papers.
    17. Kaplan, David M. & Zhuo, Longhao, 2021. "Frequentist properties of Bayesian inequality tests," Journal of Econometrics, Elsevier, vol. 221(1), pages 312-336.
    18. Watanabe, Hajime & Maruyama, Takuya, 2024. "A Bayesian sample selection model with a binary outcome for handling residential self-selection in individual car ownership," Journal of choice modelling, Elsevier, vol. 51(C).
    19. Ivan A. Canay & Azeem M. Shaikh, 2016. "Practical and theoretical advances in inference for partially identified models," CeMMAP working papers CWP05/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    20. Zabavnik, Darja & Verbič, Miroslav, 2024. "Unravelling the credit market shocks and investment dynamics: A theoretical and empirical perspective," International Review of Financial Analysis, Elsevier, vol. 94(C).
    21. Christiane Baumeister & James D. Hamilton, 2018. "Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," CESifo Working Paper Series 7048, CESifo.
    22. Christiane Baumeister & James D. Hamilton, 2015. "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," Econometrica, Econometric Society, vol. 83(5), pages 1963-1999, September.
    23. Hyungsik Roger Moon & Frank Schorfheide & Eleonora Granziera & Mihye Lee, 2011. "Inference for VARs Identified with Sign Restrictions," NBER Working Papers 17140, National Bureau of Economic Research, Inc.
    24. Montiel Olea, José Luis & Nesbit, James, 2021. "(Machine) learning parameter regions," Journal of Econometrics, Elsevier, vol. 222(1), pages 716-744.
    25. Alessandra Mattei & Fabrizia Mealli & Barbara Pacini, 2014. "Identification of causal effects in the presence of nonignorable missing outcome values," Biometrics, The International Biometric Society, vol. 70(2), pages 278-288, June.
    26. Zach Flynn, 2020. "Identifying productivity when it is a factor of production," RAND Journal of Economics, RAND Corporation, vol. 51(2), pages 496-530, June.
    27. Jiang, Wenxin, 2017. "On limiting distribution of quasi-posteriors under partial identification," Econometrics and Statistics, Elsevier, vol. 3(C), pages 60-72.
    28. Kaido, Hiroaki, 2016. "A dual approach to inference for partially identified econometric models," Journal of Econometrics, Elsevier, vol. 192(1), pages 269-290.
    29. Alvarez, Luis Antonio, 2023. "Approximate Bayesian Computation for Partially Identified Models," MPRA Paper 117339, University Library of Munich, Germany.
    30. Zhongjun Qu & Fan Zhuo, 2015. "Likelihood Ratio Based Tests for Markov Regime Switching," Boston University - Department of Economics - Working Papers Series wp2015-003, Boston University - Department of Economics.
    31. Yuan Liao & Anna Simoni, 2019. "Bayesian inference for partially identified smooth convex models," Post-Print hal-03089881, HAL.
    32. Matthew Read, 2023. "Estimating the Effects of Monetary Policy in Australia Using Sign‐restricted Structural Vector Autoregressions," The Economic Record, The Economic Society of Australia, vol. 99(326), pages 329-358, September.
    33. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," CEPR Discussion Papers 8364, C.E.P.R. Discussion Papers.
    34. Fischer, Andreas & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," CEPR Discussion Papers 15777, C.E.P.R. Discussion Papers.
    35. Pooyan Amir-Ahmadi & Thorsten Drautzburg, 2017. "Identification through Heterogeneity," CESifo Working Paper Series 6359, CESifo.
    36. Gustafson Paul, 2010. "Bayesian Inference for Partially Identified Models," The International Journal of Biostatistics, De Gruyter, vol. 6(2), pages 1-20, March.
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    42. Kyungchul Song, 2009. "Point Decisions for Interval-Identified Parameters," PIER Working Paper Archive 09-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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    62. Flynn, Zach, 2018. "Identifying productivity when it is a factor of production," SocArXiv bwxfz_v1, Center for Open Science.
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    66. Shinya Sugawara & Yasuhiro Omori, 2012. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems," CIRJE F-Series CIRJE-F-849, CIRJE, Faculty of Economics, University of Tokyo.
    67. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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      • Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Robust Forecasting," Papers 2011.03153, arXiv.org, revised Dec 2020.
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    78. Stéphane Bonhomme & Martin Weidner, 2020. "Posterior average effects," CeMMAP working papers CWP49/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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    83. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," NBER Working Papers 21803, National Bureau of Economic Research, Inc.
    84. Paul Carrillo‐Maldonado, 2023. "Partial identification for growth regimes: The case of Latin American countries," Metroeconomica, Wiley Blackwell, vol. 74(3), pages 557-583, July.
    85. Breitenlechner, Max & Scharler, Johann, 2017. "Decomposing the U.S. Great Depression: How important were Loan Supply Shocks?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168208, Verein für Socialpolitik / German Economic Association.
    86. Breitenlechner, Max & Nuutilainen, Riikka, 2019. "China's monetary policy and the loan market: How strong is the credit channel in China?," BOFIT Discussion Papers 15/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    87. Francis DiTraglia & Camilo García-Jimeno, 2016. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models," NBER Working Papers 22621, National Bureau of Economic Research, Inc.
    88. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2017. "Shock Restricted Structural Vector-Autoregressions," NBER Working Papers 23225, National Bureau of Economic Research, Inc.
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    91. Yuan Liao & Anna Simoni, 2016. "Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?," Departmental Working Papers 201607, Rutgers University, Department of Economics.
    92. Isaiah Andrews & Anna Mikusheva, 2022. "Optimal Decision Rules for Weak GMM," Econometrica, Econometric Society, vol. 90(2), pages 715-748, March.
    93. Gafarov, Bulat & Meier, Matthias & Montiel Olea, José Luis, 2018. "Delta-method inference for a class of set-identified SVARs," Journal of Econometrics, Elsevier, vol. 203(2), pages 316-327.
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  42. Marco del Negro & Frank Schorfheide, 2008. "Inflation Dynamics in a Small Open Economy Model Under Inflation Targeting: Some Evidence From Chile," Working Papers Central Bank of Chile 486, Central Bank of Chile.

    Cited by:

    1. William Ginn & Marc Pourroy, 2022. "The Contribution of Food Subsidy Policy to Monetary Policy in India," Post-Print hal-02944209, HAL.
    2. Luis Catão & Adrian Pagan, 2010. "The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach," NCER Working Paper Series 53, National Centre for Econometric Research.
    3. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011. "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 512-528.
    4. Carvalho, Carlos Viana de & Vilela, André D., 2015. "What lf Brazil Hadn't Floated the Real in 1999?," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(2), March.
    5. Zhang, Bo & Dai, Wei, 2020. "Trend inflation and macroeconomic stability in a small open economy," Economic Modelling, Elsevier, vol. 91(C), pages 769-778.
    6. Stefan Leist, 2013. "Driving Forces of the Swiss Output Gap," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(IV), pages 493-531, December.
    7. Ahmed, Waqas & Rehman, Muhammad & Malik, Jahanzeb, 2013. "Quarterly Bayesian DSGE Model of Pakistan Economy with Informality," MPRA Paper 53168, University Library of Munich, Germany.
    8. Mr. Marco Airaudo & Mr. Edward F Buffie & Luis-Felipe Zanna, 2016. "Inflation Targeting and Exchange Rate Management In Less Developed Countries," IMF Working Papers 2016/055, International Monetary Fund.
    9. Ragna Alstadheim & Hilde C. Bjørnland & Junior Maih, 2013. "Do central banks respond to exchange rate movements? A Markov-switching structural investigation," Working Paper 2013/24, Norges Bank.
    10. Martin Fukac & Adrian R. Pagan, 2010. "Structural macro-econometric modelling in a policy environment," Research Working Paper RWP 10-08, Federal Reserve Bank of Kansas City.
    11. Buffie, Edward F. & Zanna, Luis-Felipe, 2018. "Limited Asset Market Participation And Determinacy In The Open Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 1937-1977, December.
    12. Chen, Xiaoshan & MacDonald, Ronald, 2011. "Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom," SIRE Discussion Papers 2011-21, Scottish Institute for Research in Economics (SIRE).
    13. Buffie, Edward F. & Airaudo, M. & Zanna, Felipe, 2018. "Inflation targeting and exchange rate management in less developed countries," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 159-184.
    14. Mr. Selim A Elekdag & Mr. Harun Alp, 2011. "The Role of Monetary Policy in Turkey During the Global Financial Crisis," IMF Working Papers 2011/150, International Monetary Fund.
    15. William Ginn & Marc Pourroy, 2020. "Should a central bank react to food inflation? Evidence from an estimated model for Chile," Post-Print hal-03579680, HAL.
    16. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
    17. Carlos Madeira & Leonardo Salazar, 2023. "The Impact of Monetary Policy on a Labor Market with Heterogeneous Workers: The Case of Chile," Working Papers Central Bank of Chile 980, Central Bank of Chile.
    18. Stefan Leist & Klaus Neusser, 2010. "Measuring the Natural Output Level by DSGE Models: An Empirical Investigation for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 275-300, March.
    19. Alstadheim, Ragna & Bjørnland, Hilde C. & Maih, Junior, 2021. "Do central banks respond to exchange rate movements? A Markov-switching structural investigation of commodity exporters and importers," Energy Economics, Elsevier, vol. 96(C).
    20. Choi, Jinho & Hur, Joonyoung, 2015. "An examination of macroeconomic fluctuations in Korea exploiting a Markov-switching DSGE approach," Economic Modelling, Elsevier, vol. 51(C), pages 183-199.
    21. Shayan Zakipour-Saber, 2019. "Monetary policy regimes and inflation persistence in the United Kingdom," Working Papers 895, Queen Mary University of London, School of Economics and Finance.
    22. Fernando de Menezes Linardi, 2016. "Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy," Working Papers Series 424, Central Bank of Brazil, Research Department.
    23. Airaudo, Marco, 2012. "Endogenous Dollarization, Sovereign Risk Premia and the Taylor Principle," School of Economics Working Paper Series 2012-11, LeBow College of Business, Drexel University.

  43. Maxym Kryshko & Frank Schorfheide & Keith Sill, 2008. "DSGE model-based forecasting of non-modelled variables," Working Papers 08-17, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Wieland, Volker & Wolters, Maik, 2013. "Forecasting and Policy Making," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 239-325, Elsevier.
    2. Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, 2009. "Monetary Policy Forecasting In A Dsge Model With Data That Is Uncertain, Unbalanced And About The Future," Borradores de Economia 5480, Banco de la Republica.
    3. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2017. "Measurement errors and monetary policy: Then and now," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 66-78.
    4. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    5. Chris McDonald & Craig Thamotheram & Shaun P. Vahey & Elizabeth C. Wakerly, 2016. "Assessing the economic value of probabilistic forecasts in the presence of an inflation target," Reserve Bank of New Zealand Discussion Paper Series DP2016/10, Reserve Bank of New Zealand.
    6. Kamber, Gunes & McDonald, Chris & Sander, Nick & Theodoridis, Konstantinos, 2016. "Modelling the business cycle of a small open economy: The Reserve Bank of New Zealand's DSGE model," Economic Modelling, Elsevier, vol. 59(C), pages 546-569.
    7. Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini, 2015. "DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa," Open Access publications 10197/7351, School of Economics, University College Dublin.
    8. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
    9. Barbara Rudolf & Mathias Zurlinden, 2014. "A compact open economy DSGE model for Switzerland," Economic Studies 2014-08, Swiss National Bank.
    10. Martin Fukaè & Vladimír Havlena, 2011. "A Note on the Role of the Natural Condition of Control in the Estimation of DSGE Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(5), pages 453-466, November.
    11. Stelios D. Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Open Access publications 10197/7329, School of Economics, University College Dublin.
    12. Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Namba, Ryoichi & Nishiyama, Shin-Ichi, 2015. "Estimating a DSGE model for Japan in a data-rich environment," Journal of the Japanese and International Economies, Elsevier, vol. 36(C), pages 25-55.
    13. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
    14. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2019. "Forecasting with instabilities: an application to DSGE models with financial frictions," Temi di discussione (Economic working papers) 1234, Bank of Italy, Economic Research and International Relations Area.
    15. Güneş Kamber & Chris McDonald & Nicholas Sander & Konstantinos Theodoridis, 2015. "A structural model for policy analysis and forecasting: NZSIM," Reserve Bank of New Zealand Discussion Paper Series DP2015/05, Reserve Bank of New Zealand.
    16. Juan Guerra-Salas & Markus Kirchner & Rodrigo Tranamil, 2020. "Online Appendix to "Search Frictions and the Business Cycle in a Small Open Economy DSGE Model"," Online Appendices 18-407, Review of Economic Dynamics.
    17. Nana Kwame Akosah & Imhotep Paul Alagidede & Eric Schaling, 2024. "General Equilibrium Model for Monetary Policy Responses to Macroeconomic Instabilities in Developing Economy: A Ghanaian Perspective," South Asian Journal of Macroeconomics and Public Finance, , vol. 13(2), pages 213-272, December.
    18. Dean Croushore & Keith Sill, 2014. "Analyzing data revisions with a dynamic stochastic general equilibrium model," Working Papers 14-29, Federal Reserve Bank of Philadelphia.
    19. Herbst, Edward & Schorfheide, Frank, 2012. "Evaluating DSGE model forecasts of comovements," Journal of Econometrics, Elsevier, vol. 171(2), pages 152-166.
    20. Rangan Gupta & Rudi Steinbach, 2010. "Forecasting Key Macroeconomic Variables of the South African Economy: A Small Open Economy New Keynesian DSGE-VAR Model," Working Papers 201019, University of Pretoria, Department of Economics.
    21. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    22. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    23. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
    24. Rangan Gupta & Patrick Kanda & Mampho Modise & Alessia Paccagnini, 2013. "DGSE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa," Working Papers 259, University of Milano-Bicocca, Department of Economics, revised Nov 2013.
    25. Shaun de Jager & Michael Johnston & Rudi Steinbach, 2015. "A Revised Quarterly Projection Model for South Africa," Working Papers 6839, South African Reserve Bank.
    26. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    27. Markus Kirchner & Rodrigo Tranamil, 2016. "Calvo Wages Vs. Search Frictions: a Horse Race in a DSGE Model of a Small Open Economy," Working Papers Central Bank of Chile 778, Central Bank of Chile.
    28. Dario Caldara & Richard Harrison & Anna Lipińska, 2014. "Practical Tools For Policy Analysis In Dsge Models With Missing Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1145-1163, November.
    29. Ruey Yau & C. James Hueng, 2019. "Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 177-198, June.

  44. Frank Schorfheide & S. Boragan Aruoba, 2008. "Insights from an Estimated Search-Based Monetary Model with Nominal Rigidities," 2008 Meeting Papers 371, Society for Economic Dynamics.

    Cited by:

    1. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
    2. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    3. Stephen D. Williamson, 2008. "New Keynesian economics : a monetary perspective," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Sum), pages 197-218.
    4. Marc Giannoni & Domenico Giannone & Andrea Tambalotti & Marco Del Negro, 2017. "Safety, Liquidity, and the Natural Rate of Interest," 2017 Meeting Papers 803, Society for Economic Dynamics.

  45. Frank Schorfheide & Francis X. Diebold & Marco Del Negro, 2008. "Priors from Frequency-Domain Dummy Observations," 2008 Meeting Papers 310, Society for Economic Dynamics.

    Cited by:

    1. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.
    2. Zhongjun Qu, 2018. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 916-932, December.

  46. Del Negro, Marco & Schorfheide, Frank, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," CEPR Discussion Papers 6119, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.
    2. Alexander Kriwoluzky & Christian A. Stoltenberg, 2016. "Nested Models and Model Uncertainty," Scandinavian Journal of Economics, Wiley Blackwell, vol. 118(2), pages 324-353, April.
    3. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
    4. Francesco Bianchi & Renato Faccini & Leonardo Melosi, 2020. "Monetary and Fiscal Policies in Times of Large Debt: Unity is Strength," NBER Working Papers 27112, National Bureau of Economic Research, Inc.
    5. Funke, Michael & Paetz, Michael & Pytlarczyk, Ernest, 2009. "Stock market wealth effects in an estimated DSGE model for Hong Kong," BOFIT Discussion Papers 14/2009, Bank of Finland Institute for Emerging Economies (BOFIT).
    6. Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
    7. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Working Paper Series WP-08-12, Federal Reserve Bank of Chicago.
    8. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    9. Efrem Castelnuovo, 2009. "Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle," "Marco Fanno" Working Papers 0103, Dipartimento di Scienze Economiche "Marco Fanno".
    10. Marco Del Negro & Frank Schorfheide, 2009. "Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 13, pages 511-562, Central Bank of Chile.
    11. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022. "The financial accelerator mechanism: does frequency matter?," Working Papers 22-29, Federal Reserve Bank of Cleveland.
    13. Luigi Paciello, 2012. "Monetary Policy and Price Responsiveness to Aggregate Shocks under Rational Inattention," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1375-1399, October.
    14. Fuentes H., Fernando & García, Carlos J., 2016. "The business cycle and copper mining in Chile," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    15. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    16. Edward P. Herbst & Frank Schorfheide, 2012. "Sequential Monte Carlo sampling for DSGE models," Working Papers 12-27, Federal Reserve Bank of Philadelphia.
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    161. Gallant, A. Ronald & Giacomini, Raffaella & Ragusa, Giuseppe, 2017. "Bayesian estimation of state space models using moment conditions," Journal of Econometrics, Elsevier, vol. 201(2), pages 198-211.
    162. Serkov, Leonid & Krasnykh, Sergey, 2022. "Analysis of the external shocks impact on the behavior of agents with limited expectations: The case of Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 67, pages 97-120.
    163. Andrle, Michal & Plašil, Miroslav, 2018. "Econometrics with system priors," Economics Letters, Elsevier, vol. 172(C), pages 134-137.
    164. Valerio Scalone, 2015. "Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound," Working Papers 6/15, Sapienza University of Rome, DISS.
    165. Xiaodan Gao & Jake Zhao, 2022. "R&D Dynamics and Corporate Cash Saving," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 43, pages 263-285, January.
    166. Pelin lbas, 2010. "Estimation of Monetary Policy Preferences in a Forward-Looking Model: A Bayesian Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 6(3), pages 169-209, September.
    167. Kortelainen, Mika & Paloviita, Maritta & Viren, Matti, 2016. "How useful are measured expectations in estimation and simulation of a conventional small New Keynesian macro model?," Economic Modelling, Elsevier, vol. 52(PB), pages 540-550.
    168. Maryam Mirfatah & Vasco J. Gabriel & Paul Levine, 2021. "Imperfect Exchange Rate Pass-through: Empirical Evidence and Monetary Policy Implications," School of Economics Discussion Papers 0321, School of Economics, University of Surrey.
    169. Michal Andrle & Mr. Jaromir Benes, 2013. "System Priors: Formulating Priors about DSGE Models' Properties," IMF Working Papers 2013/257, International Monetary Fund.
    170. Dorofeenko Victor & Lee Gabriel & Salyer Kevin & Strobel Johannes, 2020. "Risk shocks with time-varying higher moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
    171. Marta Boczoń & Jean-François Richard, 2020. "Balanced Growth Approach to Tracking Recessions," Econometrics, MDPI, vol. 8(2), pages 1-35, April.
    172. Paulina Etxeberria-Garaigorta & Amaia Iza, 2015. "The Role of Productivity and Financial Frictions in the Business Cycles of a Small Open Economy: Hong Kong 1984–2011," Review of Development Economics, Wiley Blackwell, vol. 19(2), pages 400-414, May.
    173. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    174. Marco Lorusso & Francesco Ravazzolo & Claudia Udroiu, 2024. "Fiscal stimuli: Monetary versus Fiscal Financing," BEMPS - Bozen Economics & Management Paper Series BEMPS105, Faculty of Economics and Management at the Free University of Bozen.
    175. Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2021. "Adaptive Importance Sampling for DSGE Models," BEMPS - Bozen Economics & Management Paper Series BEMPS84, Faculty of Economics and Management at the Free University of Bozen.
    176. Tae Bong Kim, 2013. "Monetary Policy in Korea through the lense of Taylor Rule in DSGE model," 2013 Meeting Papers 746, Society for Economic Dynamics.
    177. Harrison, Richard & Oomen, Özlem, 2010. "Evaluating and estimating a DSGE model for the United Kingdom," Bank of England working papers 380, Bank of England.
    178. Han Chen, 2014. "Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model," Finance and Economics Discussion Series 2014-38, Board of Governors of the Federal Reserve System (U.S.).
    179. Sorge, Marco M., 2021. "Stabilizing Taylor rules and determinacy under unit root supply shocks: A re-examination," Journal of Macroeconomics, Elsevier, vol. 68(C).
    180. Nikolaos Kokonas & Paulo Santos Monteiro, 2020. "The Ins and Outs of Unemployment in General Equilibrium," Discussion Papers 2014, Centre for Macroeconomics (CFM).
    181. Sacht, Stephen, 2014. "Identification of prior information via moment-matching," Economics Working Papers 2014-04, Christian-Albrechts-University of Kiel, Department of Economics.
    182. Ma, Yong, 2016. "Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China," Economic Systems, Elsevier, vol. 40(3), pages 461-480.
    183. H. E. Cha & Raymond Jay Lim, 2024. "Model‐based estimation in monetary policy inertia and it's another possibility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2077-2094, April.
    184. Fabio Canova, 2010. "EconomicDynamics Interviews Fabio Canova on the Estimation of Business Cycle Models," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    185. Pelin Ilbas, 2008. "Estimation of monetary policy preferences in a forward-looking model : a Bayesian approach," Working Paper Research 129, National Bank of Belgium.
    186. Fan, Wenrui & Wang, Zanxin, 2022. "Whether to abandon or continue the petroleum product price regulation in China？," Energy Policy, Elsevier, vol. 165(C).

  47. Schorfheide, Frank & Moon, Hyungsik Roger, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," CEPR Discussion Papers 5605, C.E.P.R. Discussion Papers.

    Cited by:

    1. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R2, Cowles Foundation for Research in Economics, Yale University, revised May 2012.
    2. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
    3. Donald W.K. Andrews & Panle Jia, 2008. "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Cowles Foundation Discussion Papers 1676, Cowles Foundation for Research in Economics, Yale University.
    4. Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2009. "An Improved Bootstrap Test of Stochastic Dominance," Cowles Foundation Discussion Papers 1713, Cowles Foundation for Research in Economics, Yale University.
    5. Lu, Zhentong, 2022. "Estimating multinomial choice models with unobserved choice sets," Journal of Econometrics, Elsevier, vol. 226(2), pages 368-398.
    6. Rosen, Adam M., 2008. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," Journal of Econometrics, Elsevier, vol. 146(1), pages 107-117, September.
    7. Andrew Chesher, 2008. "Instrumental variable models for discrete outcomes," CeMMAP working papers CWP30/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

  48. Smets, Frank & Del Negro, Marco & Wouters, Rafael & Schorfheide, Frank, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers.

    Cited by:

    1. Haider, Adnan & Khan, Safdar Ullah, 2008. "A Small Open Economy DSGE Model for Pakistan," MPRA Paper 12977, University Library of Munich, Germany, revised 17 Jan 2009.
    2. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper 2004/10, Norges Bank.
    3. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2007. "Asymmetric expectation effects of regime shifts and the Great Moderation," Working Papers 653, Federal Reserve Bank of Minneapolis.
    4. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Working Paper Series WP-08-12, Federal Reserve Bank of Chicago.
    5. Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 23-72, June.
    6. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    7. Daniel Buncic & Martin Melecky, 2008. "An Estimated New Keynesian Policy Model for Australia," The Economic Record, The Economic Society of Australia, vol. 84(264), pages 1-16, March.
    8. Anne Epaulard & Jean-Pierre Laffargue & Pierre Malgrange, 2008. "La nouvelle modélisation macroéconomique appliquée à l'analyse de la conjoncture et à l'évaluation des politiques : les modèles dynamiques stochastiques d'équilibre général (DSGE)," Post-Print halshs-00270900, HAL.
    9. Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 794, European Central Bank.
    10. Eric Mayer & Oliver Hülsewig & Timo Wollmershäuser, 2007. "Bank Behaviour and the Cost Channel of Monetary Transmission," Money Macro and Finance (MMF) Research Group Conference 2006 98, Money Macro and Finance Research Group.
    11. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non‐stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, September.
    12. Mayer, Eric & Grimm, Oliver, 2008. "Countercyclical taxation and price dispersion," W.E.P. - Würzburg Economic Papers 78, University of Würzburg, Department of Economics.
    13. Rubaszek, Michal & Skrzypczynski, Pawel, 2008. "On the forecasting performance of a small-scale DSGE model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 498-512.
    14. Martin Melecky & Diego Rodríguez Palenzuela & Ulf Söderström, 2008. "Inflation Target Transparency and the Macroeconomy," Working Papers Central Bank of Chile 490, Central Bank of Chile.
    15. Dimitrios P Tsomocos & Gunnar Bardsen & Department of Economics & NTNUKjersti-Gro Lindquist & Norges Bank, 2006. "Evaluation of macroeconomic models for financial stability analysis," Economics Series Working Papers 2006-FE-01, University of Oxford, Department of Economics.
    16. Sarah Zubairy, 2010. "On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model," Staff Working Papers 10-30, Bank of Canada.
    17. Giorgio Primiceri & Alejandro Justiniano, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," 2006 Meeting Papers 353, Society for Economic Dynamics.
    18. Guangling (Dave) Liu & Rangan Gupta & Eric Schaling, 2007. "Forecasting the South African Economy: A DSGE-VAR Approach," Working Papers 200724, University of Pretoria, Department of Economics.
    19. Angela Abbate & Dominik Thaler, 2015. "Monetary policy effects on bank risk taking," Working Paper Research 287, National Bank of Belgium.
    20. Ferroni, Filippo, 2009. "Trend agnostic one step estimation of DSGE models," MPRA Paper 14550, University Library of Munich, Germany.
    21. Thomas Lubik & Frank Schorfheide, 2006. "A Bayesian Look at New Open Economy Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 313-382, National Bureau of Economic Research, Inc.
    22. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2005. "Forecasting Canadian Time Series with the New-Keynesian Model," Cahiers de recherche 0527, CIRPEE.
    23. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The University of Manchester.
    24. Linzert, Tobias & Christoffel, Kai & Kuester, Keith, 2006. "Identifying the role of labor markets for monetary policy in an estimated DSGE model," Working Paper Series 635, European Central Bank.
    25. Poilly, Céline, 2010. "Does money matter for the identification of monetary policy shocks: A DSGE perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2159-2178, October.
    26. Massimiliano Marcellino & Yuliya Rychalovska, 2014. "Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(5), pages 315-338, August.
    27. Michal Rubaszek & Pawel Skrzypczynski, 2007. "Can a simple DSGE model outperform Professional Forecasters?," NBP Working Papers 43, Narodowy Bank Polski.
    28. Guido Ascari & Nicola Branzoli, 2010. "Inflation persistence, Price Indexation and Optimal Simple Interest Rate Rules," Quaderni di Dipartimento 129, University of Pavia, Department of Economics and Quantitative Methods.
    29. Beck, Günter Wilfried & Kotz, Hans-Helmut & Zabelina, Natalia, 2016. "Lost in translation? ECB's monetary impulses and financial intermediaries' responses," SAFE White Paper Series 36, Leibniz Institute for Financial Research SAFE.
    30. Guerron-Quintana, Pablo A., 2008. "Refinements on macroeconomic modeling: The role of non-separability and heterogeneous labor supply," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3613-3630, November.
    31. Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2014. "Output Gap in Presence of Financial Frictions and Monetary Policy Trade-offs," IMF Working Papers 2014/128, International Monetary Fund.
    32. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, frictions, or monetary policy?," FRB Atlanta Working Paper 2009-03, Federal Reserve Bank of Atlanta.
    33. Mayer, Eric & Hülsewig, Oliver & Henzel, Steffen & Wollmershäuser, Timo, 2006. "The Price Puzzle Revisited: Can the Cost Channel explain a Rise in Inflation after a Monetary Shock?," W.E.P. - Würzburg Economic Papers 74, University of Würzburg, Department of Economics.
    34. V. Anton Muscatelli & Patrizio Tirelli, 2005. "Analyzing the Interaction of Monetary and Fiscal Policy: Does Fiscal Policy Play a Valuable Role in Stabilisation?," CESifo Economic Studies, CESifo Group, vol. 51(4), pages 549-585.
    35. Anna Kormilitsina & Sarah Zubairy, 2016. "Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison," Departmental Working Papers 1608, Southern Methodist University, Department of Economics.
    36. Laura Bisio & Andrea Faccini, 2010. "Does Cointegration Matter? An Analysis in a RBC Perspective," Working Papers in Public Economics 133, Department of Economics and Law, Sapienza University of Roma.
    37. Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2010. "Endogenous Persistence in an Estimated DSGE Model under Imperfect Information," School of Economics Discussion Papers 0310, School of Economics, University of Surrey.
    38. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2009. "Investment Shocks and the Relative Price of Investment," CEPR Discussion Papers 7598, C.E.P.R. Discussion Papers.
    39. Adolfson, Malin & Laseén, Stefan & Lindé, Jesper & Svensson, Lars E.O., 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," Working Paper Series 225, Sveriges Riksbank (Central Bank of Sweden).
    40. Charles L. Evans & David A. Marshall, 2005. "Fundamental Economic Shocks and The Macroeconomy," Working Papers Central Bank of Chile 351, Central Bank of Chile.
    41. Stephanie Schmitt-Grohé & Martín Uribe, 2006. "Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model," Working Papers Central Bank of Chile 410, Central Bank of Chile.
    42. Marco Del Negro & Frank Schorfheide, 2006. "How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models," Economic Review, Federal Reserve Bank of Atlanta, vol. 91(Q 2), pages 21-37.
    43. Tom Holden, 2010. "Products, patents and productivity persistence: A DSGE model of endogenous growth," Economics Series Working Papers 512, University of Oxford, Department of Economics.
    44. Martin Møller Andreasen, 2008. "Ensuring the Validity of the Micro Foundation in DSGE Models," CREATES Research Papers 2008-26, Department of Economics and Business Economics, Aarhus University.
    45. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(4), pages 251-277, December.
    46. Jesper Lindé, 2005. "Bårdsen, Gunnar; Eitrheim, Øyvind; Jansen, Eilev S. and Nymoen, Ragnar: The Econometrics of Macroeconomic Modelling," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(4), pages 762-767, December.
    47. Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 215-232.
    48. Gregor B urle, 2008. "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften dp0803, Universitaet Bern, Departement Volkswirtschaft.
    49. Inoue, Atsushi & Rossi, Barbara, 2008. "Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models," Working Papers 08-02, Duke University, Department of Economics.
    50. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
    51. Schorfheide, Frank & An, Sungbae, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
    52. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics.
    53. Linde, Jesper & Adolfson, Malin & LASEEN, PER & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," CEPR Discussion Papers 6027, C.E.P.R. Discussion Papers.
    54. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010. "Inflation-Gap Persistence in the US," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 43-69, January.
    55. Strid, Ingvar, 2010. "Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2814-2835, November.
    56. Javier Andrés & Fernando Restoy, 2007. "Macroeconomic modelling in EMU: how relevant is the change in regime?," Working Papers 0718, Banco de España.
    57. Matheson, Troy, 2010. "Assessing the fit of small open economy DSGEs," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 906-920, September.
    58. Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
    59. Reicher, Christopher Phillip, 2009. "What can a New Keynesian labor matching model match?," Kiel Working Papers 1496, Kiel Institute for the World Economy (IfW Kiel).
    60. Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper RWP 07-10, Federal Reserve Bank of Kansas City.
    61. Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
    62. Noha Emara, 2012. "The Welfare Effects of Inflation Volatility and Institutions," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 4(1), pages 5-27, January.
    63. M. Hashem Pesaran & Ron Smith, 2006. "Macroeconometric Modelling with a Global Perspective," IEPR Working Papers 06.43, Institute of Economic Policy Research (IEPR).
    64. Daniel O. Beltran & David Draper, 2016. "Estimating Dynamic Macroeconomic Models : How Informative Are the Data?," International Finance Discussion Papers 1175, Board of Governors of the Federal Reserve System (U.S.).
    65. Beyer, Andreas & Farmer, Roger E. A., 2006. "A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models," Working Paper Series 586, European Central Bank.
    66. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics 2014-615, Australian National University, College of Business and Economics, School of Economics.
    67. Riccardo Cristadoro & Andrea Gerali & Stefano Neri & Massimiliano Pisani, 2006. "Nominal Rigidities in an Estimated Two Country," Computing in Economics and Finance 2006 162, Society for Computational Economics.
    68. Francesco Giuli & Massimiliano Tancioni, 2009. "Firm-Specific Capital, Productivity Shocks and Investment Dynamics," Working Papers in Public Economics 120, Department of Economics and Law, Sapienza University of Roma.
    69. Hülsewig, Oliver & Mayer, Eric & Wollmershäuser, Timo, 2009. "Bank behavior, incomplete interest rate pass-through, and the cost channel of monetary policy transmission," Economic Modelling, Elsevier, vol. 26(6), pages 1310-1327, November.
    70. Stähler, Nikolai & Thomas, Carlos, 2012. "FiMod — A DSGE model for fiscal policy simulations," Economic Modelling, Elsevier, vol. 29(2), pages 239-261.
    71. Iiboshi, Hirokuni & Nishiyama, Shin-Ichi & Watanabe, Toshiaki, 2006. "An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis," MPRA Paper 85702, University Library of Munich, Germany.
    72. Viktors Ajevskis & Kristine Vitola, 2009. "Advantages of Fixed Exchange Rate Regime from a General Equilibrium Perspective," Working Papers 2009/04, Latvijas Banka.
    73. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    74. Polgár, Éva Katalin, 2006. "Monetary policy rules in a two-sector small open economy," Discussion Papers 2006/13, Free University Berlin, School of Business & Economics.
    75. Adolfson, Malin & Andersson, Michael K. & Lindé, Jesper & Villani, Mattias & Vredin, Anders, 2005. "Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks," Working Paper Series 188, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
    76. Carmine Trecroci & Matilde Vassalli, 2006. "Monetary policy regime shifts: new evidence from time-varying interest rate rules," Working Papers 0602, University of Brescia, Department of Economics.
    77. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers in Public Economics 131, Department of Economics and Law, Sapienza University of Roma.
    78. Vicente Tuesta & Mr. Pau Rabanal, 2006. "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not," IMF Working Papers 2006/177, International Monetary Fund.
    79. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
    80. Renata Wróbel-Rotter, 2016. "Impulse Response Functions in the Dynamic Stochastic General Equilibrium Vector Autoregression Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(2), pages 93-114, June.
    81. Stracca, Livio & Bussière, Matthieu, 2010. "A decade (and a global financial crisis) after Blinder: The interaction between researchers and policy-makers in central banks," Working Paper Series 1260, European Central Bank.
    82. Steffen Henzel & Oliver Hülsewig & Eric Mayer & Timo Wollmershäuser, 2007. "The Price Puzzle Revisited: Can the Cost Channel Explain a Rise in Inflation after a Monetary Policy Shock?," CESifo Working Paper Series 2039, CESifo.
    83. Mattias Villani & Malin Adolfson & Jesper Linde, 2005. "Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model," Money Macro and Finance (MMF) Research Group Conference 2005 32, Money Macro and Finance Research Group.
    84. Liu, Philip & Theodoridis, Konstantinos, 2010. "DSGE model restrictions for structural VAR identification," Bank of England working papers 402, Bank of England.
    85. Periklis Gogas & Theophilos Papadimitriou & Elvira Takli, 2013. "Comparison of simple sum and Divisia monetary aggregates in GDP forecasting: a support vector machines approach," Economics Bulletin, AccessEcon, vol. 33(2), pages 1101-1115.
    86. Riccardo Cristadoro & Andrea Gerali & Stefano Neri & Massimiliano Pisani, 2008. "Real exchange rate volatility and disconnect: an empirical investigation," Temi di discussione (Economic working papers) 660, Bank of Italy, Economic Research and International Relations Area.
    87. Fritz Breuss & Katrin Rabitsch, 2009. "An estimated two-country DSGE model of Austria and the Euro Area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(1), pages 123-158, February.
    88. Pierre Malgrange & Jean-Pierre Laffargue & Anne Epaulard, 2008. "La modélisation macroéconomique DSGE. Présentation générale," Économie et Prévision, Programme National Persée, vol. 183(2), pages 1-13.
    89. Mayer, Eric & Stähler, Nikolai, 2009. "The debt brake: business cycle and welfare consequences of Germany's new fiscal policy rule," Discussion Paper Series 1: Economic Studies 2009,24, Deutsche Bundesbank.
    90. Francesco Giuli & Massimiliano Tancioni, 2012. "Prince-setting, monetary policy and the contractionary effects of productivity improvements," Departmental Working Papers of Economics - University 'Roma Tre' 0161, Department of Economics - University Roma Tre.
    91. Sungbae An & Heedon Kang, 2011. "Oil Shocks in a DSGE Model for the Korean Economy," NBER Chapters, in: Commodity Prices and Markets, pages 295-321, National Bureau of Economic Research, Inc.
    92. Strid, Ingvar, 2008. "Metropolis-Hastings prefetching algorithms," SSE/EFI Working Paper Series in Economics and Finance 706, Stockholm School of Economics, revised 02 Dec 2009.
    93. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.
    94. Christoffel, Kai & Kuester, Keith & Linzert, Tobias, 2005. "The Impact of Labor Markets on the Transmission of Monetary Policy in an Estimated DSGE Model," IZA Discussion Papers 1902, Institute of Labor Economics (IZA).
    95. Martin Fukac & Adrian Pagan, 2006. "Issues in Adopting DSGE Models for Use in the Policy Process," Working Papers 2006/6, Czech National Bank.
    96. Giuli, Francesco & Tancioni, Massimiliano, 2012. "Real rigidities, productivity improvements and investment dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 100-118.
    97. Pau Rabanal, 2006. "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model," Computing in Economics and Finance 2006 87, Society for Computational Economics.
    98. Melecky, Ales & Melecky, Martin, 2010. "From inflation to exchange rate targeting: Estimating the stabilization effects for a small open economy," Economic Systems, Elsevier, vol. 34(4), pages 450-468, December.
    99. Rossana Merola, 2009. "A bayesian estimation of a DSGE model with financial frictions," CEIS Research Paper 149, Tor Vergata University, CEIS, revised 01 Oct 2009.
    100. Männistö, Hanna-Leena, 2005. "Forecasting with a forward-looking DGE model: combining long-run views of financial markes with macro forecasting," Bank of Finland Research Discussion Papers 21/2005, Bank of Finland.
    101. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.

  49. Schorfheide, Frank & An, Sungbae, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.

    Cited by:

    1. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
    2. Heresi, Rodrigo & Villacreces Villacis, Daniela, 2023. "From Macroeconomic Stability to Welfare: Optimizing Fiscal Rules in Commodity-Dependent Economies," IDB Publications (Working Papers) 13141, Inter-American Development Bank.
    3. Haider, Adnan & Khan, Safdar Ullah, 2008. "A Small Open Economy DSGE Model for Pakistan," MPRA Paper 12977, University Library of Munich, Germany, revised 17 Jan 2009.
    4. Nikolay Iskrev & Sandra Gomes & Caterina Mendicino, 2013. "Monetary policy shocks: We got news!," Working Papers w201307, Banco de Portugal, Economics and Research Department.
    5. Robert Kollmann, 2014. "Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning," ULB Institutional Repository 2013/250061, ULB -- Universite Libre de Bruxelles.
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    5. Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter," Econometrics 0508004, University Library of Munich, Germany.
    6. Oleg Korenok & Stanislav Radchenko & Norman R. Swanson, 2010. "International evidence on the efficacy of new‐Keynesian models of inflation persistence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 31-54, January.
    7. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
    8. Atsushi Inoue & Chun-Hung Kuo & Barbara Rossi, 2015. "Identifying the sources of model misspecification," Economics Working Papers 1479, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2018.
    9. Thorsten Drautzburg, 2016. "A narrative approach to a fiscal DSGE model," Working Papers 16-11, Federal Reserve Bank of Philadelphia.
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    11. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    12. Timothy Kam & Kirdan Lees & Philip Liu, 2006. "Uncovering The Hit-List For Small Inflation Targeters: A Bayesian Structural Analysis," ANU Working Papers in Economics and Econometrics 2006-473, Australian National University, College of Business and Economics, School of Economics.
    13. Marco Del Negro & Frank Schorfheide, 2009. "Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 13, pages 511-562, Central Bank of Chile.
    14. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
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    16. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Ratto, Marco, 2018. "Identification Versus Misspecification in New Keynesian Monetary Policy Models," Working Paper Series 362, Sveriges Riksbank (Central Bank of Sweden).
    17. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    18. Wieland, Volker & Cwik, Tobias & Müller, Gernot J. & Schmidt, Sebastian & Wolters, Maik Hendrik, 2012. "A new comparative approach to macroeconomic modeling and policy analysis," IMFS Working Paper Series 49, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
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    20. Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2010. "Financial factors in economic fluctuations," Working Paper Series 1192, European Central Bank.
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    23. Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016. "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, vol. 26(C), pages 216-227.
    24. Fabio Canova, 2007. "How much structure in empirical models?," Economics Working Papers 1054, Department of Economics and Business, Universitat Pompeu Fabra.
    25. Hirokazu Mizobata & Hiroki Toyoda, 2016. "Business Cycles, Asset Prices, and the Frictions of Capital and Labor," KIER Working Papers 953, Kyoto University, Institute of Economic Research.
    26. Fabio Canova & Christian Matthes, 2021. "Dealing with misspecification in structural macroeconometric models," Quantitative Economics, Econometric Society, vol. 12(2), pages 313-350, May.
    27. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    28. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
    29. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers 200615, Rutgers University, Department of Economics.
    30. Niraj Poudyal & Aris Spanos, 2022. "Model Validation and DSGE Modeling," Econometrics, MDPI, vol. 10(2), pages 1-25, April.
    31. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW Kiel).
    32. Pham, Binh T. & Sala, Hector & Silva, José I., 2018. "Growth and real business cycles in Vietnam and the ASEAN-5. Does the trend shock matter?," MPRA Paper 90297, University Library of Munich, Germany.
    33. Pablo A. Guerron-Quintana, 2010. "What you match does matter: the effects of data on DSGE estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 774-804.
    34. Andrea Carriero, 2006. "Explaining US–UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 879-899, December.
    35. Giovanni Nicolo, 2020. "Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle," Finance and Economics Discussion Series 2020-035, Board of Governors of the Federal Reserve System (U.S.).
    36. Zhongjun Qu & Fan Zhuo, 2015. "Likelihood Ratio Based Tests for Markov Regime Switching," Boston University - Department of Economics - Working Papers Series wp2015-003, Boston University - Department of Economics.
    37. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2019. "Forecasting with instabilities: an application to DSGE models with financial frictions," Temi di discussione (Economic working papers) 1234, Bank of Italy, Economic Research and International Relations Area.
    38. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
    39. Lyu, Juyi & Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2023. "UK monetary policy in an estimated DSGE model with financial frictions," Journal of International Money and Finance, Elsevier, vol. 130(C).
    40. Philip Liu, 2010. "The Effects of International Shocks on Australia's Business Cycle," The Economic Record, The Economic Society of Australia, vol. 86(275), pages 486-503, December.
    41. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," CEPR Discussion Papers 8364, C.E.P.R. Discussion Papers.
    42. Oleg Korenok & Norman R. Swanson, 2007. "How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1481-1508, September.
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    44. Eberly, Janice & Rebelo, Sergio & Vincent, Nicolas, 2012. "What explains the lagged-investment effect?," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 370-380.
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    46. Del Negro, Marco & Eusepi, Stefano, 2011. "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.
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    48. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
    49. Batini, Nicoletta & Justiniano, Alejandro & Levine, Paul & Pearlman, Joseph, 2006. "Robust inflation-forecast-based rules to shield against indeterminacy," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1491-1526.
    50. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
    51. Hatcher, Michael & Minford, Patrick, 2023. "Chameleon models in economics: A note," Cardiff Economics Working Papers E2023/10, Cardiff University, Cardiff Business School, Economics Section.
    52. Fanelli, Luca, 2007. "Evaluating the New Keynesian Phillips Curve under VAR-based learning," MPRA Paper 1616, University Library of Munich, Germany.
    53. Claire A. Reicher, 2016. "A Note on the Identification of Dynamic Economic Models with Generalized Shock Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(3), pages 412-423, June.
    54. Frank Schorfheide & Francis X. Diebold & Marco Del Negro, 2008. "Priors from Frequency-Domain Dummy Observations," 2008 Meeting Papers 310, Society for Economic Dynamics.
    55. Zidong An & Salem Abo‐Zaid & Xuguang Simon Sheng, 2023. "Inattention and the impact of monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 623-643, June.
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    58. Stefano Grassi & Miguel Leon-Ledesma & Filippo Ferroni, 2016. "Fundamental shock selection in DSGE models," 2016 Meeting Papers 47, Society for Economic Dynamics.
    59. Paola Mariell Brens Ortega, 2020. "An Econometric Analysis of a Calibrated Macroeconomic Model for the Dominican Republic: A Closer Look into Monetary Policy," Documentos de Trabajo 18253, The Latin American and Caribbean Economic Association (LACEA).
    60. Jarkko P. Jääskelä & Kristoffer P. Nimark, 2015. "A Medium-Scale New Keynesian Open Economy Model of Australia," Working Papers 588, Barcelona School of Economics.
    61. Lance Kent, 2015. "Relaxing Rational Expectations," Working Papers 159, Department of Economics, College of William and Mary.
    62. Reicher, Christopher Phillip, 2013. "A note on the identification of dynamic economic models with generalized shock processes," Kiel Working Papers 1821, Kiel Institute for the World Economy (IfW Kiel).
    63. Meyer-Gohde, Alexander & Neuhoff, Daniel, 2015. "Solving and estimating linearized DSGE models with VARMA shock processes and filtered data," Economics Letters, Elsevier, vol. 133(C), pages 89-91.
    64. Hall, Jamie & Pitt, Michael K. & Kohn, Robert, 2014. "Bayesian inference for nonlinear structural time series models," Journal of Econometrics, Elsevier, vol. 179(2), pages 99-111.
    65. Schorfheide, Frank & Moon, Hyungsik Roger, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," CEPR Discussion Papers 5605, C.E.P.R. Discussion Papers.
    66. Jean-Jacques Forneron & Zhongjun Qu, 2024. "Fitting Dynamically Misspecified Models: An Optimal Transportation Approach," Papers 2412.20204, arXiv.org.
    67. Zoundi, Zakaria, 2024. "Wells or Welfare? Macroeconomic implications of the Canadian oil subsidy," Economic Modelling, Elsevier, vol. 139(C).
    68. Luca Fanelli, 2009. "Estimation of quasi-rational DSGE monetary models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.
    69. Waggoner, Daniel F. & Zha, Tao, 2012. "Confronting model misspecification in macroeconomics," Journal of Econometrics, Elsevier, vol. 171(2), pages 167-184.
    70. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.
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    72. Filippo Ferroni & Stefano Grassi & Miguel A. León-Ledesma, 2017. "Selecting Primal Innovations in DSGE models," Working Paper Series WP-2017-20, Federal Reserve Bank of Chicago.
    73. Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
    74. Reicher, Christopher Phillip, 2013. "Evaluating misspecification in DSGE models using tests for overidentifying restrictions," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79955, Verein für Socialpolitik / German Economic Association.
    75. Endong Wang, 2024. "Structural counterfactual analysis in macroeconomics: theory and inference," Papers 2409.09577, arXiv.org.
    76. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    77. Dario Caldara & Richard Harrison & Anna Lipińska, 2014. "Practical Tools For Policy Analysis In Dsge Models With Missing Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1145-1163, November.
    78. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
    79. Cover, James P. & Mallick, Sushanta K., 2012. "Identifying sources of macroeconomic and exchange rate fluctuations in the UK," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1627-1648.
    80. Yi-Hua Wu & Chih-Chin Ho & Eric S. Lin, 2017. "Measuring the Impact of Military Spending: How Far Does a DSGE Model Deviate from Reality?," Defence and Peace Economics, Taylor & Francis Journals, vol. 28(5), pages 585-608, September.
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  51. Chang, Yongsung & Schorfheide, Frank & Doh, Taeyoung, 2005. "Non-stationary Hours in a DSGE Model," CEPR Discussion Papers 5232, C.E.P.R. Discussion Papers.

    Cited by:

    1. Wieland, Volker & Wolters, Maik, 2013. "Forecasting and Policy Making," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 239-325, Elsevier.
    2. Takuji Fueki & Ichiro Fukunaga & Hibiki Ichiue & Toyoichiro Shirota, 2010. "Measuring Potential Growth with an Estimated DSGE Model of Japan's Economy," Bank of Japan Working Paper Series 10-E-13, Bank of Japan.
    3. Ivashchenko, S., 2020. "Long-term growth sources for sectors of Russian economy," Journal of the New Economic Association, New Economic Association, vol. 48(4), pages 86-112.
    4. Fabio Canova & Tobias Menz, 2009. "Does money matter in shaping domestic business cycles? An international investigation (with appendices)," Economics Working Papers 1242, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2010.
    5. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009. "Désinflation et chômage dans la zone euro: une analyse à l'aide d'un modèle VAR structurel," TSE Working Papers 09-014, Toulouse School of Economics (TSE).
    6. Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
    7. Fabio Canova & Tobias Menz, 2010. "Japan's Lost Decade: Does Money Have a Role?," NBER Chapters, in: Sticky Prices and Inflation Dynamics (NBER-TCER-CEPR), pages 178-195, National Bureau of Economic Research, Inc.
    8. Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 794, European Central Bank.
    9. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    10. Fève, Patrick & Guay, Alain, 2009. "Identification of Technology Shocks in Structural VARs," TSE Working Papers 09-028, Toulouse School of Economics (TSE).
    11. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009. "Une estimation de la cible implicite d’inflation dans la zone euro," TSE Working Papers 09-137, Toulouse School of Economics (TSE).
    12. Votinov, A., 2022. "The effects of additional non-stationary processes on the properties of DSGE-models," Journal of the New Economic Association, New Economic Association, vol. 55(3), pages 28-43.
    13. Stefania Albanesi, 2019. "Changing Business Cycles: The Role of Women's Employment," Working Paper 6608, Department of Economics, University of Pittsburgh.
    14. F ve, P. & Matheron, J. & Sahuc, J.G., 2012. "A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers," Working papers 379, Banque de France.
    15. Maik Wolters, 2017. "How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates," Jena Economics Research Papers 2017-008, Friedrich-Schiller-University Jena.
    16. Nora Traum & Shu-Chun Susan Yang, 2010. "Does Government Debt Crowd Out Investment? A Bayesian DSGE Approach: Working Paper 2010-02," Working Papers 21397, Congressional Budget Office.
    17. Patrick Fève & Olivier Pierrard, 2017. "Financial Regulation and Shadow Banking: A Small-Scale DSGE Perspective," BCL working papers 111, Central Bank of Luxembourg.
    18. Peter N. Ireland, 2009. "On the Welfare Cost of Inflation and the Recent Behavior of Money Demand," American Economic Review, American Economic Association, vol. 99(3), pages 1040-1052, June.
    19. Mumtaz, Haroon & Zanetti, Francesco, 2012. "Factor adjustment costs: a structural investigation," Bank of England working papers 467, Bank of England.
    20. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    21. Martial Dupaigne & Patrick Feve & Julien Matheron, 2007. "Technology Shocks, Non-stationary Hours and DSVAR," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 238-255, April.
    22. Haykaz Igityan & Hovhannes Manukyan, 2020. "Fitting Armenian Data to the Simple DSGE Model with Permanent Productivity Growth," Working Papers 14, Central Bank of Armenia.
    23. Kanjamapornkul, K. & Pinčák, Richard & Bartoš, Erik, 2016. "The study of Thai stock market across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 117-133.
    24. Canova, Fabio, 2014. "Bridging DSGE models and the raw data," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 1-15.
    25. Zanetti, Francesco, 2008. "Labor and investment frictions in a real business cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3294-3314, October.
    26. Gianluca Moretti & Giulio Nicoletti, 2010. "Estimating DSGE models with unknown data persistence," Temi di discussione (Economic working papers) 750, Bank of Italy, Economic Research and International Relations Area.
    27. Neri, Stefano & Gerali, Andrea, 2019. "Natural rates across the Atlantic," Journal of Macroeconomics, Elsevier, vol. 62(C).
    28. Franchi, Massimo, 2018. "Testing for cointegration in I(1) state space systems via a finite order approximation," Economics Letters, Elsevier, vol. 165(C), pages 73-76.
    29. Amélie Charles & Olivier Darné & Fabien Tripier, 2010. "Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?," Working Papers hal-00527122, HAL.
    30. Turino Francesco, 2010. "Non-Price Competition, Real Rigidities and Inflation Dynamics," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-61, July.
    31. Mandelman, Federico S & Zanetti, Francesco, 2010. "Technology shocks, employment and labour market frictions," Bank of England working papers 390, Bank of England.
    32. Fabio Canova & Tobias Menz, 2011. "Does Money Matter in Shaping Domestic Business Cycles? An International Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(4), pages 577-607, June.
    33. Fabio Canova & Filippo Ferroni, "undated". "The Dynamics of US Inflation: Can Monetary Policy Explain the Changes?," Working Papers 471, Barcelona School of Economics.
    34. Amin, Sakib & Jamasb, Tooraj & Llorca, Manuel & Marsiliani, Laura & Renström, Thomas I. & Sarkar, Agnirup, 2021. "Captive power, market access and macroeconomic performance: Reforming the Bangladesh electricity sector," Energy Economics, Elsevier, vol. 102(C).
    35. Benedetto Molinari & Francesco Turino, 2018. "Advertising and Aggregate Consumption: A Bayesian DSGE Assessment," Economic Journal, Royal Economic Society, vol. 128(613), pages 2106-2130, August.
    36. Luigi Bocola & Nils M. Gornemann, 2013. "Risk, economic growth and the value of U.S. corporations," Working Papers 13-10, Federal Reserve Bank of Philadelphia.
    37. Leonardo Melosi, 2009. "A Likelihood Analysis of Models with Information Frictions," 2009 Meeting Papers 1034, Society for Economic Dynamics.
    38. Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper RWP 07-10, Federal Reserve Bank of Kansas City.
    39. Hirata, Hideaki, 2014. "Preference shocks, international frictions, and international business cycles," Journal of Asian Economics, Elsevier, vol. 34(C), pages 92-104.
    40. Alessandro Cantelmo & Nikos Fatouros & Giovanni Melina & Chris Papageorgiou, 2024. "Monetary policy under natural disaster shocks," Temi di discussione (Economic working papers) 1443, Bank of Italy, Economic Research and International Relations Area.
    41. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics 2014-615, Australian National University, College of Business and Economics, School of Economics.
    42. Peter Ireland & Scott Schuh, 2008. "Productivity and U.S. Macroeconomic Performance: Interpreting the Past and Predicting the Future with a Two-Sector Real Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 473-492, July.
    43. Alban Moura & Olivier Pierrard, 2023. "How well do DSGE models with real estate and collateral constraints fit the data?," LIDAM Discussion Papers IRES 2023007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    44. Shu-Chun S. Yang & Nora Traum, 2011. "When Does Government Debt Crowd Out Investment?," 2011 Meeting Papers 479, Society for Economic Dynamics.
    45. Cantore, C. & Ferroni, F. & Le n-Ledesma, M A., 2011. "Interpreting the Hours-Technology time-varying relationship," Working papers 351, Banque de France.
    46. Rots, Eyno, 2017. "Imperfect information and the house price in a general-equilibrium model," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 215-231.
    47. Holly, S. & Petrella, I., 2008. "Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations," Cambridge Working Papers in Economics 0827, Faculty of Economics, University of Cambridge.
    48. Michal Andrle & Tibor Hledik & Ondra Kamenik & Jan Vlcek, 2009. "Implementing the New Structural Model of the Czech National Bank," Working Papers 2009/2, Czech National Bank.
    49. Fabio Canova & Filippo Ferroni, 2011. "Multiple filtering devices for the estimation of cyclical DSGE models," Quantitative Economics, Econometric Society, vol. 2(1), pages 73-98, March.
    50. Cristiano Cantore & Filippo Ferroni & Miguel A. León-Ledesma, 2012. "The dynamics of hours worked and technology," Working Papers 1238, Banco de España.
    51. Federico S. Mandelman & Francesco Zanetti, 2008. "Estimating general equilibrium models: an application with labour market frictions," Technical Books, Centre for Central Banking Studies, Bank of England, edition 1, number 1, April.
    52. Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2014. "Understanding the effect of technology shocks in SVARs with long-run restrictions," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 154-172.
    53. Peter N. Ireland, 2013. "Stochastic Growth In The United States And Euro Area," Journal of the European Economic Association, European Economic Association, vol. 11(1), pages 1-24, February.
    54. Zarazúa Juárez, Carlos Alberto, 2023. "Understanding the natural rate of interest for a small open economy," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).
    55. Milan Vyskrabka & Stanislav Tvrz & Martin Zeleznik, 2019. "PreMISE: DSGE Model of the Slovak Economy Integrated in a Monetary Union," Working and Discussion Papers WP 8/2019, Research Department, National Bank of Slovakia.
    56. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
    57. Kim, Bae-Geun, 2010. "Identifying a permanent markup shock and its implications for macroeconomic dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1471-1491, August.
    58. Charalampidis, Nikolaos, 2020. "On unemployment cycles in the Euro Area, 1999–2018," European Economic Review, Elsevier, vol. 121(C).
    59. Haykaz Igityan, 2019. "Asymmetric Effects of Monetary Policy in Different Phases of Armenia's Business Cycle," Working Papers 11, Central Bank of Armenia.
    60. Andreasen Martin M, 2010. "Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-41, June.
    61. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany.
    62. Joao Madeira, 2013. "Assessing the empirical relevance of Walrasian labor frictions to business cycle fluctuations," Discussion Papers 1304, University of Exeter, Department of Economics.
    63. Sanha Noh & Ingul Baek, 2022. "What are the Driving Forces of the Economic Downturn in Korea during COVID-19? (Covid-19 Special Issue)," Korean Economic Review, Korean Economic Association, vol. 38, pages 285-322.
    64. Jean-Philippe Cayen & Marc-André Gosselin & Sharon Kozicki, 2009. "Estimating DSGE-Model-Consistent Trends for Use in Forecasting," Staff Working Papers 09-35, Bank of Canada.
    65. Sergey M. Ivashchenko, 2019. "DSGE Models: Problem of Trends," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 81-95, April.

  52. Thomas Lubik & Frank Schorfheide, 2005. "A Bayesian Look at New Open Economy Macroeconomics," Economics Working Paper Archive 521, The Johns Hopkins University,Department of Economics.

    Cited by:

    1. Haider, Adnan & Khan, Safdar Ullah, 2008. "A Small Open Economy DSGE Model for Pakistan," MPRA Paper 12977, University Library of Munich, Germany, revised 17 Jan 2009.
    2. Kumar, Abhishek & Mallick, Sushanta & Sinha, Apra, 2021. "Policy errors and business cycle fluctuations: Evidence from an emerging economy," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 176-198.
    3. Corsetti, Giancarlo & Dedola, Luca & Leduc, Sylvain, 2005. "DSGE Models of High Exchange-Rate Volatility and Low Pass-Through," CEPR Discussion Papers 5377, C.E.P.R. Discussion Papers.
    4. Moons, Cindy, 2009. "An Estimated Two-Country DSGE Model: losses from UK membership in EMU," Working Papers 2009/23, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    5. José R. Maria & Paulo Júlio, 2017. "The Portuguese post-2008 period: A narrative from an estimated DSGE model," Working Papers w201715, Banco de Portugal, Economics and Research Department.
    6. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2010. "Welfare‐maximizing monetary policy under parameter uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 129-143, January.
    7. Sánchez, Marcelo, 2010. "Wage restraint and monetary union," Economic Modelling, Elsevier, vol. 27(1), pages 134-142, January.
    8. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2005. "Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through," Working Paper Series 179, Sveriges Riksbank (Central Bank of Sweden).
    9. Morita, Hiroshi, 2014. "External shocks and Japanese business cycles: Evidence from a sign-restricted VAR model," Japan and the World Economy, Elsevier, vol. 30(C), pages 59-74.
    10. Çebi, Cem, 2012. "The interaction between monetary and fiscal policies in Turkey: An estimated New Keynesian DSGE model," Economic Modelling, Elsevier, vol. 29(4), pages 1258-1267.
    11. Thomas A. Lubik, 2009. "Estimating a search and matching model of the aggregate labor market," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 95(Spr), pages 101-120.
    12. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    13. Kano, Takashi & 加納, 隆, 2021. "Trend Inflation and Exchange Rate Dynamics : A New Keynesian Approach," Discussion paper series HIAS-E-38, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    14. Emi Nakamura & Dawit Zerom, 2009. "Accounting for Incomplete Pass-Through," NBER Working Papers 15255, National Bureau of Economic Research, Inc.
    15. Forni, L. & Gerali, A. & Notarpietro, A. & Pisani, M., 2015. "Euro area, oil and global shocks: An empirical model-based analysis," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 295-314.
    16. Marco Ratto, 2008. "Analysing DSGE Models with Global Sensitivity Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 31(2), pages 115-139, March.
    17. Stephane Auray & Paul Gomme & Shen Guo, 2011. "Nominal Rigidities, Monetary Policy and Pigou Cycles," Working Papers 11007, Concordia University, Department of Economics, revised Nov 2011.
    18. José-Miguel Cardoso-Costa & Vivien Lewis, 2015. "Fiscal policy and inflation in a monetary union," Working Papers of Department of Economics, Leuven 511922, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    19. Funke, Michael & Paetz, Michael & Pytlarczyk, Ernest, 2009. "Stock market wealth effects in an estimated DSGE model for Hong Kong," BOFIT Discussion Papers 14/2009, Bank of Finland Institute for Emerging Economies (BOFIT).
    20. Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2007. "Optimal Monetary Policy and the Sources of Local-Currency Price Stability," RSCAS Working Papers 2007/26, European University Institute.
    21. Liu, Philip, 2010. "Stabilization bias for a small open economy: The case of New Zealand," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 921-935, September.
    22. Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
    23. Gehrke, Britta & Yao, Fang, 2016. "Persistence and Volatility of Real Exchange Rates: The Role of Supply Shocks Revisited," VfS Annual Conference 2016 (Augsburg): Demographic Change 145752, Verein für Socialpolitik / German Economic Association.
    24. William Ginn & Marc Pourroy, 2022. "The Contribution of Food Subsidy Policy to Monetary Policy in India," Post-Print hal-02944209, HAL.
    25. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    26. Mandelman, Federico S., 2016. "Labor market polarization and international macroeconomic dynamics," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 1-16.
    27. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2013. "An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian Approach," Open Economies Review, Springer, vol. 24(2), pages 217-265, April.
    28. Ippei Fujiwara & Yuki Teranishi, 2013. "Financial Stability in Open Economies," CAMA Working Papers 2013-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    29. Timothy Kam & Kirdan Lees & Philip Liu, 2006. "Uncovering The Hit-List For Small Inflation Targeters: A Bayesian Structural Analysis," ANU Working Papers in Economics and Econometrics 2006-473, Australian National University, College of Business and Economics, School of Economics.
    30. Marco Del Negro & Frank Schorfheide, 2009. "Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 13, pages 511-562, Central Bank of Chile.
    31. Poutineau, Jean-Christophe & Vermandel, Gauthier, 2015. "Cross-border banking flows spillovers in the Eurozone: Evidence from an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 378-403.
    32. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non‐stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, September.
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  53. Marco Del Negro & Frank Schorfheide, 2004. "A DSGE-VAR for the Euro Area," 2004 Meeting Papers 43, Society for Economic Dynamics.

    Cited by:

    1. Shuyun May Li & Adam Spencer, 2014. "Effectiveness of the Australian Fiscal Stimulus Package: A DSGE Analysis," Department of Economics - Working Papers Series 1184, The University of Melbourne.

  54. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper 2004/10, Norges Bank.
    2. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    3. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
    4. Cole, Stephen J. & Milani, Fabio, 2019. "The Misspecification Of Expectations In New Keynesian Models: A Dsge-Var Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 23(3), pages 974-1007, April.
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    6. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
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    1. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    2. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    3. Krane, Spencer David & Melosi, Leonardo & Rottner, Matthias, 2023. "Learning monetary policy strategies at the effective lower bound with sudden surprises," Discussion Papers 22/2023, Deutsche Bundesbank.
    4. St phane Lhuissier & Fabien Tripier, 2019. "Regime-Dependent Effects of Uncertainty Shocks: A Structural Interpretation," Working papers 714, Banque de France.
    5. Gilles Dufrénot & Guillaume A. Khayat, 2017. "Monetary Policy Switching in the Euro Area and Multiple Steady States: An Empirical Investigation," Post-Print hal-01590000, HAL.
    6. Francesco Bianchi & Cosmin Ilut, 2014. "Monetary/Fiscal Policy Mix and Agents' Beliefs," NBER Working Papers 20194, National Bureau of Economic Research, Inc.
    7. Canova, Fabio & Gambetti, Luca, 2009. "Structural changes in the US economy: Is there a role for monetary policy?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 477-490, February.
    8. Eo, Yunjong, 2008. "Bayesian Analysis of DSGE Models with Regime Switching," MPRA Paper 13910, University Library of Munich, Germany, revised 11 Feb 2009.
    9. Milani, Fabio, 2008. "Learning, monetary policy rules, and macroeconomic stability," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3148-3165, October.
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    11. Sandra Gomes, 2011. "Housing Market Dynamics: Any News?," Working Papers w201121, Banco de Portugal, Economics and Research Department.
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    Cited by:

    1. Kumar, Abhishek & Mallick, Sushanta & Sinha, Apra, 2021. "Policy errors and business cycle fluctuations: Evidence from an emerging economy," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 176-198.
    2. Hermawan, Danny & Lie, Denny & Sasongko, Aryo & Yusan, Richard, 2023. "Money velocity, digital currency, and inflation dynamics," MPRA Paper 116906, University Library of Munich, Germany.
    3. José R. Maria & Paulo Júlio, 2017. "The Portuguese post-2008 period: A narrative from an estimated DSGE model," Working Papers w201715, Banco de Portugal, Economics and Research Department.
    4. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    5. Kostas Mavromatis, 2020. "Finite Horizons and the Monetary/Fiscal Policy Mix," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 327-378, September.
    6. Wai Ching Poon & Yong Shen Lee, 2014. "Inflation Targeting in ASEAN-10," South African Journal of Economics, Economic Society of South Africa, vol. 82(1), pages 141-157, March.
    7. Vítor Castro & Ricardo M. Sousa, 2010. "How Do Central Banks React to Wealth Composition and Asset Prices?," NIPE Working Papers 26/2010, NIPE - Universidade do Minho.
    8. Muellbauer, John & Sinclair, Peter & Aron, Janine & Farrell, Greg, 2010. "Exchange Rate Pass-through and Monetary Policy in South Africa," CEPR Discussion Papers 8153, C.E.P.R. Discussion Papers.
    9. Çebi, Cem, 2012. "The interaction between monetary and fiscal policies in Turkey: An estimated New Keynesian DSGE model," Economic Modelling, Elsevier, vol. 29(4), pages 1258-1267.
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    74. Mark Aguiar & Erik Hurst, 2005. "Lifestyle prices and production," Public Policy Discussion Paper 05-3, Federal Reserve Bank of Boston.
    75. Nguyen Phuc Canh & Su Dinh Thanh, 2022. "The Dynamics of Export Diversification, Economic Complexity and Economic Growth Cycles: Global Evidence," Foreign Trade Review, , vol. 57(3), pages 234-260, August.
    76. Lewis, Vivien & Villa, Stefania, 2023. "Labor productivity, effort and the Euro Area business cycle," CEPR Discussion Papers 18389, C.E.P.R. Discussion Papers.
    77. Mr. Constant A Lonkeng Ngouana, 2012. "Household Production, Services and Monetary Policy," IMF Working Papers 2012/206, International Monetary Fund.
    78. Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
    79. Gary D. Hansen & Lee E. Ohanian, 2016. "Neoclassical Models in Macroeconomics," NBER Working Papers 22122, National Bureau of Economic Research, Inc.

  58. Frank Schorfheide & Thomas A. Lubik, 2003. "Estimating Monetary Policy Rules in Small Open Economies: A Structural Approach," Computing in Economics and Finance 2003 225, Society for Computational Economics.

    Cited by:

    1. Thomas Lubik, 2003. "Investment Spending,Equilibrium Indeterminacy and the Interactions of Monetary and Fiscal Policy," Economics Working Paper Archive 490, The Johns Hopkins University,Department of Economics.
    2. Lena Kraus & Jürgen Beier & Bernhard Herz, 2019. "Sudden stops in a currency union – some lessons from the euro area," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 115-138, February.
    3. Liu, Qing & Shi, Kang & Wu, Zhouheng & Xu, Juanyi, 2014. "Oil price stabilization and global welfare," Journal of Development Economics, Elsevier, vol. 111(C), pages 246-260.

  59. Thomas Lubik & Frank Schorfheide, 2002. "Testing for Indeterminacy in Linear Rational Expectations Models," Computing in Economics and Finance 2002 214, Society for Computational Economics.

    Cited by:

    1. Frank Schorfheide, 2003. "Learning and monetary policy shifts," FRB Atlanta Working Paper 2003-23, Federal Reserve Bank of Atlanta.
    2. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," FRB Atlanta Working Paper 2002-14, Federal Reserve Bank of Atlanta.

  60. Gomes, Joao & Chang, Yongsung & Schorfheide, Frank, 2002. "Learning by Doing as a Propagation Mechanism," CEPR Discussion Papers 3599, C.E.P.R. Discussion Papers.

    Cited by:

    1. Takashi Kano, 2007. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect," CIRJE F-Series CIRJE-F-505, CIRJE, Faculty of Economics, University of Tokyo.
    2. Coad, Alex & Daunfeldt, Sven-Olov & Halvarsson, Daniel, 2015. "Bursting into life: Firm growth and growth persistence by age," HUI Working Papers 112, HUI Research.
    3. Toshihiko Mukoyama & Yoonsoo Lee, 2008. "Entry, Exit, and Plant-level Dynamics over the Business Cycle," 2008 Meeting Papers 454, Society for Economic Dynamics.
    4. Benhabib, Jess & Wen, Yi, 2004. "Indeterminacy, aggregate demand, and the real business cycle," Journal of Monetary Economics, Elsevier, vol. 51(3), pages 503-530, April.
    5. Jean-Christophe Poutineau & Gauthier Vermandel, 2015. "Financial Frictions and the Extensive Margin of Activity," Economics Working Paper Archive (University of Rennes & University of Caen) 201510, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
    6. Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
    7. Juha Tervala, 2011. "Learning by Devaluating: A Supply-Side Effect of Competitive Devaluation," Discussion Papers 67, Aboa Centre for Economics.
    8. Cristina Fuentes-Albero & Maxym Kryshko & José-Víctor Ríos-Rull & Raul Santaeulalia-Llopis & Frank Schorfheide, 2009. "Methods versus substance: measuring the effects of technology shocks on hours," Staff Report 433, Federal Reserve Bank of Minneapolis.
    9. Boyan Jovanovic & Julien Prat, 2016. "Reputation Cycles," NBER Working Papers 22703, National Bureau of Economic Research, Inc.
    10. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non‐stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, September.
    11. Cavallari, Lilia, 2022. "The international real business cycle when demand matters," Journal of Macroeconomics, Elsevier, vol. 73(C).
    12. Hansen, Gary D. & Imrohoroglu, Selahattin, 2009. "Business cycle fluctuations and the life cycle: How important is on-the-job skill accumulation?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2293-2309, November.
    13. Tsuruga, Takayuki, 2007. "The hump-shaped behavior of inflation and a dynamic externality," European Economic Review, Elsevier, vol. 51(5), pages 1107-1125, July.
    14. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
    15. Eric Jondeau & Jean-Guillaume Sahuc, 2005. "Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model," Documents de recherche 05-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    16. Guo, Danqiao & Boyle, Phelim & Weng, Chengguo & Wirjanto, Tony, 2019. "Age matters," MPRA Paper 93653, University Library of Munich, Germany, revised 01 May 2019.
    17. A. Johri & M-A. Letendre, 2001. "Labour Market Dynamics in RBC Models," Department of Economics Working Papers 2001-03, McMaster University.
    18. F ve, P. & Matheron, J. & Sahuc, J.G., 2012. "A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers," Working papers 379, Banque de France.
    19. Lei Fang & Jun Nie, 2014. "Human capital dynamics and the U.S. labor market," Research Working Paper RWP 13-10, Federal Reserve Bank of Kansas City.
    20. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Computing in Economics and Finance 2004 175, Society for Computational Economics.
    21. Cavallari, Lilia & Etro, Federico, 2020. "Demand, markups and the business cycle," European Economic Review, Elsevier, vol. 127(C).
    22. Hofer Helmut & Weyerstraß Klaus & Schmidt Torsten, 2011. "Practice and Prospects of Medium-term Economic Forecasting," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 153-171, February.
    23. Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2021. "Is There News in Inventories?," Working Paper series 21-26, Rimini Centre for Economic Analysis.
    24. Alok Johri, 2007. "Delivering Endogenous Inertia in Prices and Output," Department of Economics Working Papers 2007-04, McMaster University.
    25. Shirai, Daichi, 2016. "Persistence and Amplification of Financial Frictions," MPRA Paper 72187, University Library of Munich, Germany.
    26. Karel Mertens & Morten O. Ravn, 2010. "Technology-Hours Redux: Tax Changes and the Measurement of Technology Shocks," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 41-76, National Bureau of Economic Research, Inc.
    27. Daehaeng Kim & Chul-In Lee, 2007. "On-the-Job Human Capital Accumulation in a Real Business Cycle Model: Implications for Intertemporal Substitution Elasticity and Labor Hoarding," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(3), pages 494-518, July.
    28. Guillermo Felices & David Tinsley, 2004. "Intertemporal substitution and household production in labour supply," Bank of England working papers 234, Bank of England.
    29. Alpanda, Sami & Peralta-Alva, Adrian, 2007. "Oil Crisis, Energy-Saving Technological Change and the Stock Market Crash of 1973-74," MPRA Paper 5896, University Library of Munich, Germany.
    30. Mr. Nooman Rebei, 2012. "What (Really) Accounts for the Fall in Hours After a Technology Shock?," IMF Working Papers 2012/211, International Monetary Fund.
    31. Levin, Andrew & Erceg, Christopher, 2013. "Labor Force Participation and Monetary Policy in the Wake of the Great Recession," CEPR Discussion Papers 9668, C.E.P.R. Discussion Papers.
    32. Adnrew J. Clarke & Alok Johri, 2008. "Pro-cyclical Solow Residuals without Technology Shocks," Department of Economics Working Papers 2008-02, McMaster University.
    33. Frederic Dufourt & Alain Venditti & Rémi Vivès, 2018. "On sunspot fluctuations in variable capacity utilization models," Post-Print hal-01729346, HAL.
    34. Corradi, Valentina & Swanson, Norman R., 2007. "Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data," Journal of Econometrics, Elsevier, vol. 136(2), pages 699-723, February.
    35. Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Fiscal Policy Shocks and Stock Prices in the United States," Working Papers 817, Queen Mary University of London, School of Economics and Finance.
    36. Voxi Heinrich S. Amavilah, 2004. "Determinants of Economic Growth Across Embedded Economies: A Transformational Analogy of Mining Population for Human Capital," Development and Comp Systems 0402001, University Library of Munich, Germany.
    37. William Peterman, 2016. "The effect of endogenous human capital accumulation on optimal taxation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 46-71, July.
    38. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers 200615, Rutgers University, Department of Economics.
    39. Hafedh Bouakez & Takashi Kano, 2006. "Learning-by-Doing or Habit Formation?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(3), pages 508-524, July.
    40. Hou, Keqiang & Mountain, Dean C. & Wu, Ting, 2016. "Oil price shocks and their transmission mechanism in an oil-exporting economy: A VAR analysis informed by a DSGE model," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 21-49.
    41. Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2010. "Endogenous Persistence in an Estimated DSGE Model under Imperfect Information," School of Economics Discussion Papers 0310, School of Economics, University of Surrey.
    42. Hammad Qureshi, 2009. "News Shocks and Learning-by-doing," Working Papers 09-06, Ohio State University, Department of Economics.
    43. Iman Cheratian & Saleh Goltabar & Mohammad Reza Farzanegan, 2022. "Survival Strategies Under Sanctions: Firm-Level Evidence from Iran," Working Papers 1569, Economic Research Forum, revised 20 Aug 2022.
    44. Anelí Bongers, 2023. "Learning by doing, organizational forgetting, and the business cycle," Bulletin of Economic Research, Wiley Blackwell, vol. 75(1), pages 141-150, January.
    45. William B. Peterman, 2015. "Taxing Capital? The Importance of How Human Capital is Accumulated," Finance and Economics Discussion Series 2015-117, Board of Governors of the Federal Reserve System (U.S.).
    46. Lewis, Vivien & Stevens, Arnoud, 2012. "The competition effect in business cycles," IMFS Working Paper Series 51, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    47. Kamber, Günes, 2010. "Inflation dynamics under habit formation in hours," Economics Letters, Elsevier, vol. 108(3), pages 269-272, September.
    48. Alok Johri & Muhebullah Karimzada, 2016. "Learning Efficiency Shocks, Knowledge Capital and the Business Cycle: A Bayesian Evaluation," Department of Economics Working Papers 2016-11, McMaster University.
    49. Christoph Görtz & Christopher Gunn & Thomas Lubik, 2018. "Taking Stock of TFP News Shocks: The Inventory Comovement Puzzle," Carleton Economic Papers 18-05, Carleton University, Department of Economics, revised 14 Jul 2018.
    50. Coad, Alex & Segarra, Agustí & Teruel, Mercedes, 2013. "Like milk or wine: Does firm performance improve with age?," Structural Change and Economic Dynamics, Elsevier, vol. 24(C), pages 173-189.
    51. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics.
    52. Ruge-Murcia, Francisco J., 2002. "Methods to Estimate Dynamic Stochastic General Equilibrium Models," University of California at San Diego, Economics Working Paper Series qt4fc8x822, Department of Economics, UC San Diego.
    53. Adrian Peralta Alva & Sami Alpanda, 2003. "Oil crisis, Energy Saving Technological Change, and the Stock Market Collapse of 1974," Macroeconomics 0307007, University Library of Munich, Germany.
    54. Lee, Yoonsoo & Mukoyama, Toshihiko, 2018. "A model of entry, exit, and plant-level dynamics over the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 1-25.
    55. Hikaru Saijo & Cosmin Ilut, 2015. "Learning, Confidence, and Business Cycles," 2015 Meeting Papers 917, Society for Economic Dynamics.
    56. Bernard Kwamena Cobbina Essel & Faizal Adams & Kwadwo Amankwah, 2019. "Effect of entrepreneur, firm, and institutional characteristics on small-scale firm performance in Ghana," Journal of Global Entrepreneurship Research, Springer;UNESCO Chair in Entrepreneurship, vol. 9(1), pages 1-20, December.
    57. Laura Liu & Mikkel Plagborg-M?ller, 2021. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," CAEPR Working Papers 2021-001 Classification- , Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    58. Alok Johri & Amartya Lahiri, 2008. "Persistent Real Exchange Rates," Department of Economics Working Papers 2008-04, McMaster University.
    59. Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2024. "The Changing Nature of Technology Shocks," CESifo Working Paper Series 11385, CESifo.
    60. Jørgensen, Peter L. & Ravn, Søren H., 2022. "The inflation response to government spending shocks: A fiscal price puzzle?," European Economic Review, Elsevier, vol. 141(C).
    61. Tervala, Juha, 2021. "Hysteresis and the welfare costs of recessions," Economic Modelling, Elsevier, vol. 95(C), pages 136-144.
    62. Neri, Stefano & Gerali, Andrea, 2019. "Natural rates across the Atlantic," Journal of Macroeconomics, Elsevier, vol. 62(C).
    63. Oleg Korenok & Norman R. Swanson, 2007. "How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1481-1508, September.
    64. Conesa, Juan Carlos & Li, Bo & Li, Qian, 2023. "A quantitative evaluation of universal basic income," Journal of Public Economics, Elsevier, vol. 223(C).
    65. Schorfheide, Frank & An, Sungbae, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
    66. Lewis, Vivien & Stevens, Arnoud, 2015. "Entry and markup dynamics in an estimated business cycle model," European Economic Review, Elsevier, vol. 74(C), pages 14-35.
    67. Chase Coleman & Kerk L. Phillips, 2014. "Business Cycle Persistence in a Model with Schumpeterian Growth and Uncorrelated Shocks," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-01, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    68. Norman Swanson & Oleg Korenok, 2006. "How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version," Departmental Working Papers 200612, Rutgers University, Department of Economics.
    69. Thomas A. Lubik & Frank Schorfheide, 2007. "Testing for Indeterminacy: An Application to U.S. Monetary Policy: Reply," American Economic Review, American Economic Association, vol. 97(1), pages 530-533, March.
    70. Ross Doppelt, 2019. "Skill Flows: A Theory of Human Capital and Unemployment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 31, pages 84-122, January.
    71. Laure Simon, 2023. "Fiscal Stimulus and Skill Accumulation over the Life Cycle," Staff Working Papers 23-9, Bank of Canada.
    72. Jaccard, Ivan, 2013. "Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks," Working Paper Series 1525, European Central Bank.
    73. Yao, Fang, 2008. "Lumpy labor adjustment as a propagation mechanism of business cycles," SFB 649 Discussion Papers 2008-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    74. Andrea Boitani & Chiara Punzo, 2018. "Banks’ leverage behaviour in a two-agent New Keynesian model," DEM Working Papers Series 150, University of Pavia, Department of Economics and Management.
    75. Khalifa, Sherif, 2015. "Learning-by-doing and unemployment dynamics," Economic Modelling, Elsevier, vol. 44(C), pages 180-187.
    76. Paul Levine & Joseph Pearlman & Bo Yang, 2012. "Imperfect Information, Optimal Monetary Policy and Informational Consistency," School of Economics Discussion Papers 1012, School of Economics, University of Surrey.
    77. Blandin, Adam, 2018. "Learning by Doing and Ben-Porath: Life-cycle Predictions and Policy Implications," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 220-235.
    78. Hussain, Syed Muhammad, 2015. "The contractionary effects of tax shocks on productivity: An empirical and theoretical analysis," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 93-107.
    79. Villa, Stefania & Yang, Jing, 2011. "Financial intermediaries in an estimated DSGE model for the United Kingdom," Bank of England working papers 431, Bank of England.
    80. Malik, Kashif Zaheer & Ali, Syed Zahid & Khalid, Ahmed M., 2014. "Intangible capital in a real business cycle model," Economic Modelling, Elsevier, vol. 39(C), pages 32-48.
    81. Fernando Cirelli & Mark Gertler, 2022. "Economic Winners Versus Losers and the Unequal Pandemic Recession," NBER Working Papers 29713, National Bureau of Economic Research, Inc.
    82. Alok Johri & Christopher Gunn, 2009. "News and knowledge capital," 2009 Meeting Papers 763, Society for Economic Dynamics.
    83. Takashi Kano, 2008. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect ( Revised version of CARF-F-101(2007); Revised version subsequently published in "Journal of International ," CARF F-Series CARF-F-124, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    84. Barseghyan, Levon & Battaglini, Marco, 2016. "Political economy of debt and growth," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 36-51.
    85. Burkhard Heer & Alfred Maußner, 2013. "Asset Returns, the Business Cycle and the Labor Market," German Economic Review, Verein für Socialpolitik, vol. 14(3), pages 372-397, August.
    86. Alok Johri, 2005. "Learning-by-doing and Endogenous Price-level Inertia," Department of Economics Working Papers 2005-02, McMaster University.
    87. Paul Gomme & Richard Rogerson & Peter Rupert & Randall Wright, 2004. "The business cycle and the life cycle," Working Papers (Old Series) 0404, Federal Reserve Bank of Cleveland.
    88. Sohei Kaihatsu & Maiko Koga & Tomoya Sakata & Naoko Hara, 2019. "Interaction between Business Cycles and Economic Growth," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 37, pages 99-126, November.
    89. Burkhard Heer & Alfred Maussner, 2011. "Asset Returns, the Business Cycle, and the Labor Market: A Sensitivity Analysis for the German Economy," CESifo Working Paper Series 3391, CESifo.
    90. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
    91. John C. Ham & Kevin T. Reilly, 2013. "Implicit Contracts, Life Cycle Labor Supply, And Intertemporal Substitution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(4), pages 1133-1158, November.
    92. Tervala, Juha & Watson, Timothy, 2022. "Hysteresis and fiscal stimulus in a recession," Journal of International Money and Finance, Elsevier, vol. 124(C).
    93. Michał Brzozowski, 2012. "Wpływ wahań produkcji i wielkości kredytu na wartość dodaną w polskim przemyśle przetwórczym," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5-6, pages 57-77.
    94. Jaccard, Ivan, 2022. "The trade-off between public health and the economy in the early stage of the COVID-19 pandemic," Working Paper Series 2690, European Central Bank.
    95. Philipp Engler & Juha Tervala, 2016. "Hysteresis and Fiscal Policy," Discussion Papers of DIW Berlin 1631, DIW Berlin, German Institute for Economic Research.
    96. Mr. Giovanni Melina & Ms. Susan S. Yang & Luis-Felipe Zanna, 2014. "Debt Sustainability, Public Investment, and Natural Resources in Developing Countries: the DIGNAR Model," IMF Working Papers 2014/050, International Monetary Fund.
    97. Adam Blandin, 2015. "Disciplining the Human Capital Model: Learning By Doing, Ben-Porath, and Policy Analysis," 2015 Meeting Papers 1147, Society for Economic Dynamics.
    98. Lechthaler, Wolfgang & Tesfaselassie, Mewael F., 2020. "Endogenous growth, skill obsolescence and output hysteresis in a New Keynesian model with unemployment," Kiel Working Papers 2162, Kiel Institute for the World Economy (IfW Kiel).
    99. Marco Del Negro & Frank Schorfheide, 2004. "A DSGE-VAR for the Euro Area," Computing in Economics and Finance 2004 79, Society for Computational Economics.
    100. Alok Johri & Bidyut Talukdar, 2023. "Organizational capital and optimal Ramsey taxation," Indian Economic Review, Springer, vol. 58(1), pages 193-210, July.
    101. Ambler, Steve & Bouakez, Hafedh & Cardia, Emanuela, 2017. "Does the crowding-in effect of public spending on private consumption undermine neoclassical models?," Research in Economics, Elsevier, vol. 71(3), pages 399-410.
    102. Gary D. Hansen, "undated". "Business Cycle Fluctuations and the Life Cycle: How Important is Learning by Doing? (with Selo Imrohoroglu)," UCLA Economics Online Papers 421, UCLA Department of Economics.
    103. Shao, Shuai & Yang, Zhenbing & Xu, Le & Yang, Lili, 2024. "Environmental protection experience of secretaries and effectiveness of environmental governance: Evidence from COD discharge in China," Journal of Economic Behavior & Organization, Elsevier, vol. 220(C), pages 237-253.
    104. Ali, Syed Zahid & Anwar, Sajid & Valadkhani, Abbas, 2012. "Macroeconomic consequences of increased productivity in less developed economies," Economic Modelling, Elsevier, vol. 29(3), pages 621-631.
    105. Talukdar, Bidyut, 2017. "Learning-by-doing, organizational capital and optimal markup variations," The Journal of Economic Asymmetries, Elsevier, vol. 15(C), pages 39-47.
    106. Laura Liu & Mikkel Plagborg‐Møller, 2023. "Full‐information estimation of heterogeneous agent models using macro and micro data," Quantitative Economics, Econometric Society, vol. 14(1), pages 1-35, January.
    107. Jongsuk Han, 2013. "Cyclical Employment and Learning Ability," 2013 Meeting Papers 1022, Society for Economic Dynamics.
    108. Daichi Shirai, 2014. "A note on hump-shaped output in the RBC model," CIGS Working Paper Series 14-009E, The Canon Institute for Global Studies.
    109. Levon Barseghyan & Marco Battaglini, 2012. "Growth and fiscal policy: a positive theory," Working Papers 1418, Princeton University, Department of Economics, Econometric Research Program..
    110. Iman Cheratian & Saleh Goltabar & Mohammad Reza Farzanegan, 2023. "Firms persistence under sanctions: Micro‐level evidence from Iran," The World Economy, Wiley Blackwell, vol. 46(8), pages 2408-2431, August.
    111. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
    112. Felipe Alves & Giovanni L. Violante, 2024. "From Micro to Macro Hysteresis: Long-Run Effects of Monetary Policy," Staff Working Papers 24-39, Bank of Canada.
    113. Talukdar Bidyut, 2014. "Organizational learning and optimal fiscal and monetary policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 445-475, January.
    114. Haejun Jeon, 2023. "Time-to-build and capacity expansion," Annals of Operations Research, Springer, vol. 328(2), pages 1461-1494, September.
    115. Johri, Alok & Letendre, Marc-Andre, 2007. "What do `residuals' from first-order conditions reveal about DGE models?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2744-2773, August.
    116. Marianna Riggi & Massimiliano Tancioni, 2008. "Nominal v. Real Wage Rigidities in New Keynesian Models with Hiring Costs," Working Papers in Public Economics 107, Department of Economics and Law, Sapienza University of Roma.
    117. Lechthaler, Wolfgang & Tesfaselassie, Mewael F., 2021. "Endogenous growth, skill obsolescence and fiscal multipliers," Kiel Working Papers 2184, Kiel Institute for the World Economy (IfW Kiel).
    118. Kegiang Hou & Alok Johri, 2013. "Intangible Capital and the Excess Volatility of Aggregate Profits," Department of Economics Working Papers 2013-04, McMaster University.
    119. Akihiko Ikeda, 2020. "Learning-by-doing and business cycles in emerging economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 156(3), pages 611-631, August.
    120. Hiebert, Paul & Jaccard, Ivan & Schüler, Yves, 2018. "Contrasting financial and business cycles: Stylized facts and candidate explanations," Journal of Financial Stability, Elsevier, vol. 38(C), pages 72-80.
    121. Meeks, Roland, 2017. "Capital regulation and the macroeconomy: Empirical evidence and macroprudential policy," European Economic Review, Elsevier, vol. 95(C), pages 125-141.

  61. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," FRB Atlanta Working Paper 2002-14, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Atsushi Inoue & Mototsugu Shintani, 2018. "Quasi‐Bayesian model selection," Quantitative Economics, Econometric Society, vol. 9(3), pages 1265-1297, November.
    2. P. F ve & J.-G. Sahuc, 2016. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Working papers 585, Banque de France.
    3. Ho, Paul, 2024. "Estimating the effects of demographics on interest rates: A robust Bayesian perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    4. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    5. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    6. F. Canova & F. Ferroni & C. Matthes, 2015. "Approximating time varying structural models with time invariant structures," Working papers 578, Banque de France.
    7. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
    8. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
    9. Oriol Gonzalez-Casasus & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," PIER Working Paper Archive 25-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    10. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi.
    11. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    12. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper 2004/10, Norges Bank.
    13. William Chen & Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s Up with the Phillips Curve?," Liberty Street Economics 20200918a, Federal Reserve Bank of New York.
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    Cited by:

    1. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
    2. Pedro Pablo Álvarez Lois, 2003. "Capacity utilization and Monetary Policy," Working Papers 0306, Banco de España.

  64. Yongsung Chang & Joao Gomes & Frank Schorfheide, 2000. "Persistence," Econometric Society World Congress 2000 Contributed Papers 1632, Econometric Society.

    Cited by:

    1. Claudio Morana & Giacomo Sbrana, 2018. "Some financial implications of global warming: An empirical assessment," Working Paper series 18-09, Rimini Centre for Economic Analysis.
    2. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
    3. Wendt, Minh & Kinsey, Jean D., 2009. "Childhood Overweight and School Outcomes," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49347, Agricultural and Applied Economics Association.

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  3. Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021. "Panel forecasts of country-level Covid-19 infections," Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
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  4. Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021. "Online estimation of DSGE models," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 33-58.
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  5. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 96-120, July.
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  6. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Forecasting With Dynamic Panel Data Models," Econometrica, Econometric Society, vol. 88(1), pages 171-201, January.
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  10. S Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2018. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 87-118.
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  15. Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2016. "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(4), pages 1511-1543.
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  18. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
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    3. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    4. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    5. Valerio Scalone, 2018. "Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound," Working papers 688, Banque de France.
    6. Schorfheide, Frank & Aruoba, Boragan & Cuba-Borda, Pablo & Hilga-Flores, Kenji & Villalvazo, Sergio, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," CEPR Discussion Papers 15388, C.E.P.R. Discussion Papers.
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    9. Niu, Tong & Yao, Xilong & Shao, Shuai & Li, Ding & Wang, Wenxi, 2018. "Environmental tax shocks and carbon emissions: An estimated DSGE model," Structural Change and Economic Dynamics, Elsevier, vol. 47(C), pages 9-17.
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    11. Enrique Martínez García & Mark A. Wynne, 2014. "Assessing Bayesian model comparison in small samples," Globalization Institute Working Papers 189, Federal Reserve Bank of Dallas.
    12. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    13. Yashar Blouri & Maximilian von Ehrlich, 2017. "On the Optimal Design of Place-Based Policies: A Structural Evaluation of EU Regional Transfers," CESifo Working Paper Series 6742, CESifo.
    14. Marco Cozzi, 2022. "Heterogeneity in Macroeconomics and the Minimal Econometric Interpretation for Model Comparison," Department Discussion Papers 2010, Department of Economics, University of Victoria.
    15. Francesco Bianchi & Leonardo Melosi, 2012. "Constrained Discretion and Central Bank Transparency," PIER Working Paper Archive 13-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    16. Michael T. Belongia & Peter N. Ireland, 2019. "A Reconsideration of Money Growth Rules," Boston College Working Papers in Economics 976, Boston College Department of Economics.
    17. Parra-Alvarez, Juan Carlos & Posch, Olaf & Wang, Mu-Chun, 2020. "Estimation of heterogeneous agent models: A likelihood approach," Discussion Papers 42/2020, Deutsche Bundesbank.
    18. Andreas Bachmann, 2015. "Lumpy investment and variable capacity utilization: firm-level and macroeconomic implications," Diskussionsschriften dp1510, Universitaet Bern, Departement Volkswirtschaft.
    19. Yantao Gao & Xilong Yao & Wenxi Wang & Xin Liu, 2019. "Dynamic effect of environmental tax on export trade: Based on DSGE mode," Energy & Environment, , vol. 30(7), pages 1275-1290, November.
    20. Born, Benjamin & Peifer, Johannes, 2011. "Policy Risk and the Business Cycle," Bonn Econ Discussion Papers 06/2011, University of Bonn, Bonn Graduate School of Economics (BGSE).
    21. Juan Carlos Parra‐Alvarez & Olaf Posch & Mu‐Chun Wang, 2023. "Estimation of Heterogeneous Agent Models: A Likelihood Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(2), pages 304-330, April.
    22. Molinari Benedetto & Rodríguez-López Jesús & Torres José L., 2013. "Information and communication technologies over the business cycle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 933-963, July.
    23. Enrique Martínez García, 2015. "The global component of local inflation: revisiting the empirical content of the global slack hypothesis with Bayesian methods," Globalization Institute Working Papers 225, Federal Reserve Bank of Dallas.
    24. Dongya Koh & Raül Santaeulàlia‐Llopis & Yu Zheng, 2020. "Labor Share Decline and Intellectual Property Products Capital," Econometrica, Econometric Society, vol. 88(6), pages 2609-2628, November.
    25. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," NBER Working Papers 16401, National Bureau of Economic Research, Inc.
    26. Ivashchenko, Sergey & Mutschler, Willi, 2020. "The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models," Economic Modelling, Elsevier, vol. 88(C), pages 280-292.
    27. Alban Moura, 2017. "Investment price rigidity and business cycles," BCL working papers 105, Central Bank of Luxembourg.
    28. Luigi Bocola, 2014. "The Pass-Through of Sovereign Risk," 2014 Meeting Papers 1286, Society for Economic Dynamics.
    29. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Online Appendices 20-14, Review of Economic Dynamics.
    30. James Malley & Apostolis Philippopoulos & Jim Malley, 2022. "The Macroeconomic Effects of Funding U.S. Infrastructure," CESifo Working Paper Series 9530, CESifo.
    31. Furlanetto, Francesco & Natvik, Gisle J. & Seneca, Martin, 2013. "Investment shocks and macroeconomic co-movement," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 208-216.
    32. Moura, Alban, 2020. "Total factor productivity and the measurement of neutral technology," MPRA Paper 99357, University Library of Munich, Germany.
    33. Cristiano Cantore & Filippo Ferroni & Miguel A. León-Ledesma, 2012. "The dynamics of hours worked and technology," Working Papers 1238, Banco de España.
    34. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Decomposing risk in dynamic stochastic general equilibrium," SFB 649 Discussion Papers 2013-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Julieta Caunedo, 2014. "Aggregate Fluctuations and the Industry Structure of the US Economy," 2014 Meeting Papers 1194, Society for Economic Dynamics.
    36. Marcus Hagedorn & Iourii Manovskii & Sergiy Stetsenko, 2016. "Taxation and Unemployment in Models with Heterogeneous Workers," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 19, pages 161-189, January.
    37. Kociecki, Andrzej, 2013. "Bayesian Approach and Identification," MPRA Paper 46538, University Library of Munich, Germany.
    38. Colombo, Emilio & Furceri, Davide & Pizzuto, Pietro & Tirelli, Patrizio, 2024. "Public expenditure multipliers and informality," European Economic Review, Elsevier, vol. 164(C).
    39. Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2017. "Identification and estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2017-35, Department of Economics and Business Economics, Aarhus University.

  26. Herbst, Edward & Schorfheide, Frank, 2012. "Evaluating DSGE model forecasts of comovements," Journal of Econometrics, Elsevier, vol. 171(2), pages 152-166.
    See citations under working paper version above.
  27. Frank Schorfheide & Kenneth I. Wolpin, 2012. "On the Use of Holdout Samples for Model Selection," American Economic Review, American Economic Association, vol. 102(3), pages 477-481, May.

    Cited by:

    1. Frank Schorfheide & Kenneth I. Wolpin, 2013. "To Hold Out or Not to Hold Out," NBER Working Papers 19565, National Bureau of Economic Research, Inc.
    2. Chen, Xiaomeng Charlene & Jones, Stewart & Hasan, Mostafa Monzur & Zhao, Ruoyun & Alam, Nurul, 2023. "Does strategic deviation influence firms’ use of supplier finance?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    3. Hui Chen & Winston Wei Dou & Leonid Kogan, 2024. "Measuring “Dark Matter” in Asset Pricing Models," Journal of Finance, American Finance Association, vol. 79(2), pages 843-902, April.
    4. de Bresser, Jochem, 2021. "Evaluating the Accuracy of Counterfactuals The Role of Heterogeneous Expectations in Life Cycle Models," Discussion Paper 2021-034, Tilburg University, Center for Economic Research.
    5. Emrah Arbak, 2017. "Identifying the provisioning policies of Belgian banks," Working Paper Research 326, National Bank of Belgium.
    6. Maibom, Jonas, 2021. "The Danish Labor Market Experiments: Methods and Findings," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2021(1), pages 1-21.
    7. Sebastian Galiani & Juan Pantano, 2021. "Structural Models: Inception and Frontier," NBER Working Papers 28698, National Bureau of Economic Research, Inc.
    8. Merlo, Antonio & Palfrey, Thomas R., 2014. "External Validation of Voter Turnout Models by Concealed Parameter Recovery," Working Papers 14-015, Rice University, Department of Economics.
    9. Banghua Zhu & Sai Praneeth Karimireddy & Jiantao Jiao & Michael I. Jordan, 2023. "Online Learning in a Creator Economy," Papers 2305.11381, arXiv.org.
    10. Banghua Zhu & Stephen Bates & Zhuoran Yang & Yixin Wang & Jiantao Jiao & Michael I. Jordan, 2022. "The Sample Complexity of Online Contract Design," Papers 2211.05732, arXiv.org, revised May 2023.
    11. Joel da Costa & Tim Gebbie, 2020. "Learning low-frequency temporal patterns for quantitative trading," Papers 2008.09481, arXiv.org.
    12. Cepeda Carrión, Gabriel & Henseler, Jörg & Ringle, Christian M. & Roldán, José Luis, 2016. "Prediction-oriented modeling in business research by means of PLS path modeling: Introduction to a JBR special section," Journal of Business Research, Elsevier, vol. 69(10), pages 4545-4551.
    13. Wolfgang Drobetz & Tizian Otto, 2021. "Empirical asset pricing via machine learning: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 507-538, December.
    14. de Bresser, Jochem, 2021. "Evaluating the Accuracy of Counterfactuals The Role of Heterogeneous Expectations in Life Cycle Models," Other publications TiSEM a7e2b4d8-fed0-4e86-926f-d, Tilburg University, School of Economics and Management.

  28. S. Boragan Aruoba & Frank Schorfheide, 2011. "Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(1), pages 60-90, January.
    See citations under working paper version above.
  29. Schorfheide, Frank & Sill, Keith & Kryshko, Maxym, 2010. "DSGE model-based forecasting of non-modelled variables," International Journal of Forecasting, Elsevier, vol. 26(2), pages 348-373, April.
    See citations under working paper version above.
  30. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    See citations under working paper version above.
  31. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.

    Cited by:

    1. Michael Boutros, 2022. "Windfall Income Shocks with Finite Planning Horizons," Staff Working Papers 22-40, Bank of Canada.
    2. Lee Tae-Hwy & Wang He & Xi Zhou & Zhang Ru, 2023. "Density Forecast of Financial Returns Using Decomposition and Maximum Entropy," Journal of Econometric Methods, De Gruyter, vol. 12(1), pages 57-83, January.
    3. João Madeira & Nuno Palma, 2018. "Measuring Monetary Policy Deviations from the Taylor Rule," Economics Discussion Paper Series 1803, Economics, The University of Manchester.
    4. Chaudhuri, Saraswata & Zivot, Eric, 2011. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Journal of Econometrics, Elsevier, vol. 164(2), pages 239-251, October.
    5. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    6. Rhys ap Gwilym & M. Shahid Ebrahim & Abdelkader O. El Alaoui & Hamid Rahman & Abderrahim Taamouti, 2019. "Financial Frictions and the Futures Pricing Puzzle," Department of Economics Working Papers 2019_07, Durham University, Department of Economics.
    7. Kleiber, Christian & Zeileis, Achim, 2010. "Reproducible Econometric Simulations," Working papers 2010/12, Faculty of Business and Economics - University of Basel.
    8. Gabrielle Fack & Julien Grenet & Yinghua He, 2019. "Beyond Truth-Telling: Preference Estimation with Centralized School Choice and College Admissions," American Economic Review, American Economic Association, vol. 109(4), pages 1486-1529, April.
    9. Jason Allen & Robert Clark & Brent Hickman & Eric Richert, 2019. "Resolving Failed Banks: Uncertainty, Multiple Bidding & Auction Design," Staff Working Papers 19-30, Bank of Canada.
    10. Yu‐Chin Hsu & Xiaoxia Shi, 2017. "Model‐selection tests for conditional moment restriction models," Econometrics Journal, Royal Economic Society, vol. 20(1), pages 52-85, February.
    11. Jun Cai & Qu Feng & William C. Horrace & Guiying Laura Wu, 2021. "Wrong skewness and finite sample correction in the normal-half normal stochastic frontier model," Empirical Economics, Springer, vol. 60(6), pages 2837-2866, June.
    12. Coroneo, Laura & Corradi, Valentina & Santos Monterio, Paulo, 2012. "Testing for optimal monetary policy via moment inequalities," Economic Research Papers 270654, University of Warwick - Department of Economics.
    13. Timothy B. Armstrong & Michal Kolesár, 2020. "Sensitivity Analysis using Approximate Moment Condition Models," Working Papers 2020-28, Princeton University. Economics Department..
    14. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    15. Timmermann, Allan & Patton, Andrew, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers 8194, C.E.P.R. Discussion Papers.
    16. Rami V. Tabri & Christopher D. Walker, 2020. "Inference for Moment Inequalities: A Constrained Moment Selection Procedure," Papers 2008.09021, arXiv.org, revised Aug 2020.
    17. Marine Carrasco & N’Golo Koné, 2024. "Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility," Journal of Financial Econometrics, Oxford University Press, vol. 22(4), pages 908-953.
    18. Gregory Cox, 2022. "A Generalized Argmax Theorem with Applications," Papers 2209.08793, arXiv.org.
    19. Koijen, Ralph & Yogo, Motohiro, 2018. "The Fragility of Market Risk Insurance," CEPR Discussion Papers 12560, C.E.P.R. Discussion Papers.
    20. Thomas H. Jørgensen, 2016. "Euler equation estimation: Children and credit constraints," Quantitative Economics, Econometric Society, vol. 7(3), pages 935-968, November.
    21. Nicky L. Grant & Richard J. Smith, 2018. "GEL-based inference with unconditional moment inequality restrictions," CeMMAP working papers 23/18, Institute for Fiscal Studies.
    22. Francis DiTraglia & Camilo Garcia-Jimeno, 2015. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models, Second Version," PIER Working Paper Archive 15-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 31 Aug 2015.
    23. Romano, Joseph P. & Wolf, Michael, 2013. "Testing for monotonicity in expected asset returns," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 93-116.
    24. Francis J. DiTraglia & Camilo García-Jimeno, 2017. "Mis-classified, Binary, Endogenous Regressors: Identification and Inference," NBER Working Papers 23814, National Bureau of Economic Research, Inc.
    25. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    26. Battey, Heather & Feng, Qiang & Smith, Richard J., 2016. "Improving confidence set estimation when parameters are weakly identified," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 117-123.
    27. Alastair R. Hall, 2013. "Generalized Method of Moments," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 14, pages 313-333, Edward Elgar Publishing.
    28. Nicky L. Grant & Richard J. Smith, 2018. "GEL-based inference with unconditional moment inequality restrictions," CeMMAP working papers CWP23/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    29. Francis DiTraglia & Camilo Garcia-Jimeno, 2015. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models, Third Version," PIER Working Paper Archive 15-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Sep 2015.
    30. Francis J. DiTraglia & Camilo Garcia-Jimeno, 2020. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models," Papers 2011.07276, arXiv.org.
    31. He, Yinghua, 2015. "Gaming the Boston School Choice Mechanism in Beijing," TSE Working Papers 15-551, Toulouse School of Economics (TSE), revised Sep 2017.
    32. Shi, Xiaoxia, 2015. "Model selection tests for moment inequality models," Journal of Econometrics, Elsevier, vol. 187(1), pages 1-17.
    33. Nicky L. Grant & Richard J. Smith, 2018. "GEL-Based Inference from Unconditional Moment Inequality Restrictions," Economics Discussion Paper Series 1802, Economics, The University of Manchester.
    34. Francis DiTraglia & Camilo García-Jimeno, 2016. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models," NBER Working Papers 22621, National Bureau of Economic Research, Inc.
    35. Edvard Bakhitov, 2020. "Frequentist Shrinkage under Inequality Constraints," Papers 2001.10586, arXiv.org.
    36. Fan, Yanqin & Shi, Xuetao, 2023. "Wald, QLR, and score tests when parameters are subject to linear inequality constraints," Journal of Econometrics, Elsevier, vol. 235(2), pages 2005-2026.
    37. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.

  32. Schorfheide, Frank, 2008. "Comment on: "Monetary policy under uncertainty in an estimated model with labor market frictions" by Luca Sala, Ulf Söderström, and Antonella Trigari," Journal of Monetary Economics, Elsevier, vol. 55(5), pages 1007-1010, July.

    Cited by:

    1. Raissi, M., 2011. "A Linear Quadratic Approach to Optimal Monetary Policy with Unemployment and Sticky Prices: The Case of a Distorted Steady State," Cambridge Working Papers in Economics 1146, Faculty of Economics, University of Cambridge.
    2. SENBATA, Sisay Regassa, 2011. "How applicable are the new Keynesian DSGE models to a typical low-income economy?," Working Papers 2011016, University of Antwerp, Faculty of Business and Economics.
    3. Mr. Cristiano Cantore & Mr. Paul L Levine & Mr. Giovanni Melina, 2013. "A Fiscal Stimulus and Jobless Recovery," IMF Working Papers 2013/017, International Monetary Fund.

  33. Del Negro, Marco & Schorfheide, Frank, 2008. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1191-1208, October.
    See citations under working paper version above.
  34. Frank Schorfheide, 2008. "DSGE model-based estimation of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 397-433.

    Cited by:

    1. José R. Maria & Paulo Júlio, 2017. "The Portuguese post-2008 period: A narrative from an estimated DSGE model," Working Papers w201715, Banco de Portugal, Economics and Research Department.
    2. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    3. Francis Leni Anguyo & Rangan Gupta & Kevin Kotzé, 2017. "Inflation Dynamics in Uganda: A Quantile Regression Approach," Working Papers 201772, University of Pretoria, Department of Economics.
    4. Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022. "The financial accelerator mechanism: does frequency matter?," Working Papers 22-29, Federal Reserve Bank of Cleveland.
    5. Michael U. Krause & Stéphane Moyen, 2016. "Public Debt and Changing Inflation Targets," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(4), pages 142-176, October.
    6. Kiefer, David, 2015. "Targets and lags in a two-equation model of US stabilization," Economic Modelling, Elsevier, vol. 44(C), pages 18-24.
    7. Claudio Michelacci & Luigi Paciello, 2020. "Ambiguous Policy Announcements," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(5), pages 2356-2398.
    8. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    9. Desogus, Marco & Casu, Elisa, 2022. "Chaos, granularity, and instability in economic systems of countries with emerging market economies: relationships between GDP growth rate and increasing internal inequality," MPRA Paper 115744, University Library of Munich, Germany, revised 2022.
    10. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
    11. Kim, Insu & Yie, Myung-Soo, 2016. "Trend inflation, firms' backward-looking behavior, and inflation gap persistence," Economic Modelling, Elsevier, vol. 58(C), pages 116-125.
    12. Hommes, C.H. & Lustenhouwer, J., 2016. "Managing Heterogeneous and Unanchored Expectations: A Monetary Policy Analysis," CeNDEF Working Papers 16-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    13. Min Fang, 2021. "Lumpy Investment, Fluctuations in Volatility and Monetary Policy," Working Papers 002001, University of Florida, Department of Economics.
    14. Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
    15. Crowley, Patrick M. & Hallett, Andrew Hughes, 2018. "What causes business cycles to elongate, or recessions to intensify?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 338-349.
    16. Bernstein, Joshua, 2021. "A model of state-dependent monetary policy," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 904-917.
    17. Engin Kara, 2009. "Micro data on nominal rigidity, inflation persistence and optimal monetary policy," Working Paper Research 175, National Bank of Belgium.
    18. Greg Kaplan & Benjamin Moll & Giovanni L. Violante, 2016. "Monetary Policy According to HANK," Working Papers 1602, Council on Economic Policies.
    19. Braun, R Anton & Koerber, Lena & Waki, Yuichiro, 2015. "Some Unpleasant Properties of Loglinearized Solutions When the Nominal Rate is Zero," Bank of England working papers 553, Bank of England.
    20. Herbst, Edward & Schorfheide, Frank, 2012. "Evaluating DSGE model forecasts of comovements," Journal of Econometrics, Elsevier, vol. 171(2), pages 152-166.
    21. Orland, Andreas & Roos, Michael W. M., 2011. "The New Keynesian Phillips Curve with Myopic Agents," Ruhr Economic Papers 281, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    22. Leonardo Melosi, 2009. "A Likelihood Analysis of Models with Information Frictions," 2009 Meeting Papers 1034, Society for Economic Dynamics.
    23. Aminu, Nasir, 2019. "Energy prices volatility and the United Kingdom: Evidence from a dynamic stochastic general equilibrium model," Energy, Elsevier, vol. 172(C), pages 487-497.
    24. Reiner Franke, 2018. "Competitive moment matching of a New-Keynesian and an Old-Keynesian model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 201-239, July.
    25. Stephanie Schmitt-Grohe & Martin Uribe, 2008. "Policy implications of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 435-465.
    26. Jordan Roulleau-Pasdeloup & Anastasia Zhutova, 2015. "Labor Market Policies and the "Missing Deflation" Puzzle: Lessons from Hoover Policies during the U.S Great Depression," Cahiers de Recherches Economiques du Département d'économie 15.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    27. Orland, Andreas & Roos, Michael W.M., 2019. "Price-setting with quadratic adjustment costs: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 88-116.
    28. Lanne, Markku & Luoto, Jani, 2011. "Autoregression-Based Estimation of the New Keynesian Phillips Curve," MPRA Paper 29801, University Library of Munich, Germany.
    29. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers in Public Economics 131, Department of Economics and Law, Sapienza University of Roma.
    30. Stefan Leist & Klaus Neusser, 2010. "Measuring the Natural Output Level by DSGE Models: An Empirical Investigation for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 275-300, March.
    31. Kim, Insu, 2009. "Dual Wage Rigidities: Theory and Some Evidence," MPRA Paper 18345, University Library of Munich, Germany.
    32. Kukacka, Jiri & Sacht, Stephen, 2021. "Estimation of Heuristic Switching in Behavioral Macroeconomic Models," Economics Working Papers 2021-01, Christian-Albrechts-University of Kiel, Department of Economics.
    33. Jang, Bosung & So, Inhwan, 2024. "Stock returns and monetary policy stance," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 851-869.
    34. Chen, Yao & Ward, Felix, 2019. "When do fixed exchange rates work? Evidence from the Gold Standard," Journal of International Economics, Elsevier, vol. 116(C), pages 158-172.
    35. Adam Cagliarini & Tim Robinson & Allen Tran, 2010. "Reconciling Microeconomic and Macroeconomic Estimates of Price Stickiness," RBA Research Discussion Papers rdp2010-01, Reserve Bank of Australia.
    36. Vasco Curdia & Andrea Ferrero & Ging Cee Ng & Andrea Tambalotti, 2014. "Has U.S. Monetary Policy Tracked the Efficient Interest Rate?," Working Paper Series 2014-12, Federal Reserve Bank of San Francisco.
    37. Carlos C. Bautista, 2009. "An examination of Philippine monetary policy rules," UP School of Economics Discussion Papers 200912, University of the Philippines School of Economics.
    38. Francesco Giuli & Massimiliano Tancioni, 2012. "Prince-setting, monetary policy and the contractionary effects of productivity improvements," Departmental Working Papers of Economics - University 'Roma Tre' 0161, Department of Economics - University Roma Tre.
    39. Tim Willems, 2009. "Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach," Tinbergen Institute Discussion Papers 09-074/2, Tinbergen Institute, revised 26 Mar 2010.
    40. Leland E. Farmer, 2021. "The discretization filter: A simple way to estimate nonlinear state space models," Quantitative Economics, Econometric Society, vol. 12(1), pages 41-76, January.

  35. Thomas A. Lubik & Frank Schorfheide, 2007. "Testing for Indeterminacy: An Application to U.S. Monetary Policy: Reply," American Economic Review, American Economic Association, vol. 97(1), pages 530-533, March.

    Cited by:

    1. Firmin Doko Tchatoka & Nicolas Groshenny & Qazi Haque & Mark Weder, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," School of Economics and Public Policy Working Papers 2016-09, University of Adelaide, School of Economics and Public Policy.
    2. Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2015. "Monetary policy, trend inflation, and the Great Moderation: an alternative interpretation: comment based on system estimation," Research Working Paper RWP 15-17, Federal Reserve Bank of Kansas City.
    3. Yasuo Hirose, 2008. "Equilibrium Indeterminacy and Asset Price Fluctuation in Japan: A Bayesian Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 967-999, August.
    4. Konstantinos Chisiridis & Kostas Mouratidis & Theodore Panagiotidis, 2018. "The North-South Divide, the Euro and the World," Working Papers 377, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    5. Luca Fanelli, 2010. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
    6. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011. "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers 2011-10, Christian-Albrechts-University of Kiel, Department of Economics.
    7. Hirose, Yasuo, 2010. "Monetary policy and sunspot fluctuation in the U.S. and the Euro area," MPRA Paper 33693, University Library of Munich, Germany.
    8. Richard Higgins, C., 2020. "Financial frictions and changing macroeconomic volatility," Journal of Macroeconomics, Elsevier, vol. 64(C).
    9. Del Negro, Marco & Eusepi, Stefano, 2011. "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.
    10. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    11. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.

  36. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2007. "On the Fit of New Keynesian Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 123-143, April.

    Cited by:

    1. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
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    6. José R. Maria & Paulo Júlio, 2017. "The Portuguese post-2008 period: A narrative from an estimated DSGE model," Working Papers w201715, Banco de Portugal, Economics and Research Department.
    7. Giovanni Angelini & Luca Fanelli Fanelli, 2015. "Misspecification and Expectations Correction in New Keynesian DSGE Models," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
    8. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    9. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2012. "What causes banking crises? An empirical investigation," Cardiff Economics Working Papers E2012/14, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2013.
    10. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    11. Holger Kraft & Claus Munk & Frank Thomas Seifried & Sebastian Wagner, 2017. "Consumption habits and humps," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 305-330, August.
    12. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    13. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
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    19. Chase Coleman & Spencer Lyon & Lilia Maliar & Serguei Maliar, 2021. "Matlab, Python, Julia: What to Choose in Economics?," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1263-1288, December.
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    25. Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
    26. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Working Paper Series WP-08-12, Federal Reserve Bank of Chicago.
    27. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
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    29. Li, Bing & Liu, Qing, 2017. "On the choice of monetary policy rules for China: A Bayesian DSGE approach," China Economic Review, Elsevier, vol. 44(C), pages 166-185.
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    31. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    32. EO, Yunjong & LIE, Denny, 2017. "The Role of Inflation Target Adjustment in Stabilization Policy," Discussion paper series HIAS-E-58, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    33. Marco Del Negro & Frank Schorfheide, 2009. "Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 13, pages 511-562, Central Bank of Chile.
    34. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    35. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non‐stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, September.
    36. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
    37. Minford, Patrick & Dai, Li & Zhou, Peng, 2014. "A DSGE Model of China," CEPR Discussion Papers 10238, C.E.P.R. Discussion Papers.
    38. Florian Pelgrin & Stéphane Adjemian, 2008. "Un regard bayésien sur les modèles dynamiques de la macroéconomie," Économie et Prévision, Programme National Persée, vol. 183(2), pages 127-152.
    39. Sylvain Barde, 2015. "A Practical, Universal, Information Criterion over Nth Order Markov Processes," Studies in Economics 1504, School of Economics, University of Kent.
    40. Gabriel Bruneau & Ian Christensen & Césaire Meh, 2016. "Housing Market Dynamics and Macroprudential Policy," Staff Working Papers 16-31, Bank of Canada.
    41. Harry Aginta & Masakazu Someya, 2022. "Regional economic structure and heterogeneous effects of monetary policy: evidence from Indonesian provinces," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 11(1), pages 1-25, December.
    42. Meyer-Gohde, Alexander, 2014. "Risky linear approximations," SFB 649 Discussion Papers 2014-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    43. Advis Budiman & Solikin M. Juhro & Sugiharso Safuan, 2024. "Capital Flow and Bank Lending Channels in a Small Open Economy: Evidence from Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(2), pages 169-228, May.
    44. Jon Faust & Abhishek Gupta, 2012. "Posterior Predictive Analysis for Evaluating DSGE Models," NBER Working Papers 17906, National Bureau of Economic Research, Inc.
    45. Malin Adolfson & Stefan Laséen & Jesper Lindé & Lars E.O. Svensson, 2008. "Monetary Policy Trade-Offs in an Estimated Open-Economy DSGE Model," NBER Working Papers 14510, National Bureau of Economic Research, Inc.
    46. Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
    47. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    48. Ms. Susan S. Yang & Ms. Nora Traum, 2010. "Monetary and Fiscal Policy Interactions in the Post-war U.S," IMF Working Papers 2010/243, International Monetary Fund.
    49. Le, Vo Phuong Mai & Matthews, Kent & Meenagh, David & Minford, Patrick & Xiao, Zhigui, 2013. "Banking and the Macroeconomy in China: A Banking Crisis Deferred?," Cardiff Economics Working Papers E2013/5, Cardiff University, Cardiff Business School, Economics Section.
    50. Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini, 2015. "DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa," Open Access publications 10197/7351, School of Economics, University College Dublin.
    51. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Ratto, Marco, 2018. "Identification Versus Misspecification in New Keynesian Monetary Policy Models," Working Paper Series 362, Sveriges Riksbank (Central Bank of Sweden).
    52. Adrien Auclert & Matthew Rognlie & Ludwig Straub, 2020. "Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model," CESifo Working Paper Series 8051, CESifo.
    53. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    54. Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," 2006 Meeting Papers 479, Society for Economic Dynamics.
    55. Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2024. "Measuring the Euro Area Output Gap," Finance and Economics Discussion Series 2024-099, Board of Governors of the Federal Reserve System (U.S.).
    56. Komunjer, Ivana & Zhu, Yinchu, 2020. "Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 218(2), pages 561-586.
    57. Yongyang Cai & Kenneth L. Judd, 2023. "A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems," Quantitative Economics, Econometric Society, vol. 14(2), pages 651-687, May.
    58. Francesco Bianchi & Howard Kung & Gonzalo Morales, 2014. "Growth, Slowdowns, and Recoveries," NBER Working Papers 20725, National Bureau of Economic Research, Inc.
    59. Ferroni, Filippo, 2009. "Trend agnostic one step estimation of DSGE models," MPRA Paper 14550, University Library of Munich, Germany.
    60. Mario Martinoli & Alessio Moneta & Gianluca Pallante, 2022. "Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search," LEM Papers Series 2022/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    61. Konstantinos Theodoridis & Francesco Zanetti, 2016. "News shocks and labour market dynamics in matching models," Canadian Journal of Economics, Canadian Economics Association, vol. 49(3), pages 906-930, August.
    62. Cristiano Cantore & Paul Levine & Joseph Pearlman & Bo Yang, 2014. "CES Technology and Business Cycle Fluctuations," School of Economics Discussion Papers 0414, School of Economics, University of Surrey.
    63. Christoph Gortz & John D Tsoukalas, 2012. "News and Financial Intermediation in Aggregate and Sectoral Fluctuations," Discussion Papers 12-10, Department of Economics, University of Birmingham.
    64. Wallis, Kenneth F., 2008. "Macroeconomic modelling in central banks in Latin America," Documentos de Proyectos 3627, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    65. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
    66. Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2010. "Financial factors in economic fluctuations," Working Paper Series 1192, European Central Bank.
    67. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
    68. Johanna Posch & Fabio Rumler, 2015. "Semi‐Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 145-162, March.
    69. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The University of Manchester.
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    71. Poilly, Céline, 2010. "Does money matter for the identification of monetary policy shocks: A DSGE perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2159-2178, October.
    72. Nora Traum & Shu-Chun Susan Yang, 2010. "Does Government Debt Crowd Out Investment? A Bayesian DSGE Approach: Working Paper 2010-02," Working Papers 21397, Congressional Budget Office.
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    76. Barbara Rudolf & Mathias Zurlinden, 2014. "A compact open economy DSGE model for Switzerland," Economic Studies 2014-08, Swiss National Bank.
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    79. Martin Harding & Jesper Lindé & Mathias Trabandt, 2022. "Understanding Post-COVID Inflation Dynamics," Staff Working Papers 22-50, Bank of Canada.
    80. Gonzalo Fernandez-de-Córdoba & José L. Torres, 2009. "Forecasting the Spanish economy with an Augmented VAR-DSGE model," Working Papers 2009-1, Universidad de Málaga, Department of Economic Theory, Málaga Economic Theory Research Center.
    81. Chunping Liu & Zhirong Ou, 2021. "What determines China's housing price dynamics? New evidence from a DSGE‐VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3269-3305, July.
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    88. Matthew Smith, 2012. "Estimating Nonlinear Economic Models Using Surrogate Transitions," 2012 Meeting Papers 494, Society for Economic Dynamics.
    89. Tatiana Kirsanova & Stephanus le Roux, 2013. "Commitment vs. discretion in the UK: An empirical investigation of the monetary and fiscal policy regime," Working Papers 2013_07, Business School - Economics, University of Glasgow.
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    91. Artur Sharafutdinov, 2023. "Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 62-86, September.
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    94. Angelini, Giovanni, 2020. "Bootstrap lag selection in DSGE models with expectations correction," Econometrics and Statistics, Elsevier, vol. 14(C), pages 38-48.
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    99. Marc Giannoni & Christina Patterson & Marco Del Negro, 2016. "The Forward Guidance Puzzle," 2016 Meeting Papers 143, Society for Economic Dynamics.
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    113. Stelios D. Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Open Access publications 10197/7329, School of Economics, University College Dublin.
    114. Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2025. "A general equilibrium approach to carbon permit banking," Journal of Environmental Economics and Management, Elsevier, vol. 129(C).
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    126. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
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    130. Ghent, Andra C., 2009. "Comparing DSGE-VAR forecasting models: How big are the differences?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 864-882, April.
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    132. Giovanni Nicolo, 2020. "Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle," Finance and Economics Discussion Series 2020-035, Board of Governors of the Federal Reserve System (U.S.).
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    136. Barbara Rossi, 2008. "Comment on "Exchange Rate Models Are Not As Bad As You Think"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 453-470, National Bureau of Economic Research, Inc.
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    140. Den Haan, Wouter & Drechsel, Thomas, 2018. "Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models," CEPR Discussion Papers 13145, C.E.P.R. Discussion Papers.
    141. Timothy S. Hills & Taisuke Nakata, 2018. "Fiscal Multipliers at the Zero Lower Bound: The Role of Policy Inertia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 155-172, February.
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    548. Kawther Alimi & Mohamed Chakroun, 2022. "Wage Rigidity Impacts on Unemployment and Inflation Persistence in Tunisia: Evidence from an Estimated DSGE Model," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 474-500, March.
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    551. Jääskelä, Jarkko P. & Jennings, David, 2011. "Monetary policy and the exchange rate: Evaluation of VAR models," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1358-1374.
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    554. Ma, Yong, 2016. "Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China," Economic Systems, Elsevier, vol. 40(3), pages 461-480.
    555. Sharma, Saurabh & Behera, Harendra, 2022. "A dissection of Indian growth using a DSGE filter," Journal of Asian Economics, Elsevier, vol. 80(C).
    556. Hirschbühl, Dominik & Spitzer, Martin, 2021. "International medium-term business cycles," Working Paper Series 2536, European Central Bank.
    557. Hur, Joonyoung & Lee, Kang Koo, 2017. "Fiscal financing and the efficacy of fiscal policy in Korea: An empirical assessment with comparison to the U.S. evidence," Economic Modelling, Elsevier, vol. 64(C), pages 473-486.
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    560. Yi-Hua Wu & Chih-Chin Ho & Eric S. Lin, 2017. "Measuring the Impact of Military Spending: How Far Does a DSGE Model Deviate from Reality?," Defence and Peace Economics, Taylor & Francis Journals, vol. 28(5), pages 585-608, September.
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    562. Fernando de Menezes Linardi, 2016. "Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy," Working Papers Series 424, Central Bank of Brazil, Research Department.
    563. Daniel Parra-Amado & Camilo Granados, 2025. "Output Gap Measurement after COVID for Colombia: Lessons from a Permanent-Transitory Approach," Borradores de Economia 1295, Banco de la Republica de Colombia.
    564. Herranz, Moisés Meroño & Turino, Francesco, 2023. "Tax evasion, fiscal policy and public debt: Evidence from Spain," Economic Systems, Elsevier, vol. 47(3).
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    567. Umba, Gilles Bertrand, 2020. "Choc externes et activité économique en RD Congo : une analyse en équilibre général dynamique et stochastique (DSGE)," Dynare Working Papers 63, CEPREMAP.
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    569. Meenagh, David & Minford, Patrick & Oyekola, Olayinka, 2015. "Oil Prices and the Dynamics of Output and Real Exchange Rate," Cardiff Economics Working Papers E2015/18, Cardiff University, Cardiff Business School, Economics Section.
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    572. Daoju Peng & Kang ShiAuthor-Workplace-Name: Chinese University of Hong Kong & Juanyi XuAuthor-Workplace-Name: Hong Kong University of Science and Technology, 2016. "SOE and Chinese Real Business Cycle," Working Papers 022016, Hong Kong Institute for Monetary Research.
    573. Jonathan Benchimol & André Fourçans, 2017. "Monetary Rule, Central Bank Loss and Household’s Welfare: an Empirical Investigation," Globalization Institute Working Papers 329, Federal Reserve Bank of Dallas.
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  40. Lubik, Thomas A. & Schorfheide, Frank, 2007. "Do central banks respond to exchange rate movements? A structural investigation," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1069-1087, May.
    See citations under working paper version above.
  41. Marco Del Negro & Frank Schorfheide, 2006. "How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models," Economic Review, Federal Reserve Bank of Atlanta, vol. 91(Q 2), pages 21-37.

    Cited by:

    1. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
    2. Minford, Patrick & Ou, Zhirong & Wickens, Michael & Zhu, Zheyi, 2022. "The eurozone: What is to be done to maintain macro and financial stability?," Journal of Financial Stability, Elsevier, vol. 63(C).
    3. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Open Access publications 10197/7322, School of Economics, University College Dublin.
    5. Hsiao, Cody Yu-Ling & Jin, Tao & Kwok, Simon & Wang, Xi & Zheng, Xin, 2023. "Entrepreneurial risk shocks and financial acceleration asymmetry in a two-country DSGE model," China Economic Review, Elsevier, vol. 81(C).
    6. Renzo Orsi & Davide Raggi & Francesco Turino, 2014. "Size, Trend, and Policy Implications of the Underground Economy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(3), pages 417-436, July.
    7. Sylvain Barde, 2019. "Macroeconomic simulation comparison with a multivariate extension of the Markov Information Criterion," Studies in Economics 1908, School of Economics, University of Kent.
    8. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    9. Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the statistical identification of DSGE models," Journal of Econometrics, Elsevier, vol. 150(1), pages 99-115, May.
    10. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
    11. Michael Wickens, 2015. "How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics," Manchester School, University of Manchester, vol. 83, pages 60-82, December.
    12. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.
    13. Martínez-Martin, Jaime & Morris, Richard & Onorante, Luca & Piersanti, Fabio M., 2019. "Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box," Working Paper Series 2335, European Central Bank.
    14. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    15. Shah, Sayar Ahmad & Garg, Bhavesh, 2023. "Identifying efficient policy mix under different targeting regimes: A tale of two crises," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 975-994.
    16. Guerini, Mattia & Moneta, Alessio, 2017. "A method for agent-based models validation," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 125-141.
    17. Kichian, Maral & Rumler, Fabio, 2014. "Forecasting Canadian inflation: A semi-structural NKPC approach," Economic Modelling, Elsevier, vol. 43(C), pages 183-191.
    18. André, Marine C. & Armijo, Alberto & Espidio, Sebastián Medina & Sandoval, Jamel, 2023. "Policy mix in a small open emerging economy with commodity prices," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    19. Troy Davig & Eric M. Leeper, 2005. "Generalizing the Taylor Principle," NBER Working Papers 11874, National Bureau of Economic Research, Inc.
    20. Dan S. Rickman, 2010. "Modern Macroeconomics And Regional Economic Modeling," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 23-41, February.
    21. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
    22. Maral Kichian & Rumler Fabio & Paul Corrigan, 2010. "Semi-Structural Models for Inflation Forecasting," Staff Working Papers 10-34, Bank of Canada.
    23. Fernando de Menezes Linardi, 2016. "Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy," Working Papers Series 424, Central Bank of Brazil, Research Department.

  42. Marco Del Negro & Frank Schorfheide, 2005. "Policy Predictions if the Model Does Not Fit," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 434-443, 04/05.
    See citations under working paper version above.
  43. Frank Schorfheide, 2005. "Learning and Monetary Policy Shifts," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 392-419, April.
    See citations under working paper version above.
  44. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.

    Cited by:

    1. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    2. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    3. Oriol Gonzalez-Casasus & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," PIER Working Paper Archive 25-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. Stock, James & Watson, Mark & Marcellino, Massimiliano, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," CEPR Discussion Papers 4976, C.E.P.R. Discussion Papers.
    5. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
    6. Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
    7. Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
    8. Michael W. McCracken & Joseph McGillicuddy, 2017. "An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts," Working Papers 2017-40, Federal Reserve Bank of St. Louis.
    9. Ricco, Giovanni & Miranda-Agrippino, Silvia, 2018. "The Transmission of Monetary Policy Shocks," CEPR Discussion Papers 13396, C.E.P.R. Discussion Papers.
    10. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CESifo Working Paper Series 2543, CESifo.
    11. Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerron, Pablo & Oosthuizen, Dick, 2024. "Filtering with Limited Information," CEPR Discussion Papers 19270, C.E.P.R. Discussion Papers.
    12. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
    13. Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Working Papers 2021-55, Princeton University. Economics Department..
    14. Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
    15. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    16. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics.
    17. Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
    18. Smets, Frank & Wouters, Raf & Del Negro, Marco & Schorfheide, Frank, 2005. "On the fit and forecasting performance of New-Keynesian models," Working Paper Series 491, European Central Bank.
    19. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
    20. Leandro M. Magnusson & Sophocles Mavroeidis, 2010. "Identification‐Robust Minimum Distance Estimation of the New Keynesian Phillips Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2‐3), pages 465-481, March.
    21. Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
    22. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
    23. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," ifo Working Paper Series 57, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    24. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
    25. Greenaway-McGrevy, Ryan, 2015. "Evaluating panel data forecasts under independent realization," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 108-125.
    26. Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, University Library of Munich, Germany.
    27. Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011. "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, vol. 164(1), pages 173-187, September.
    28. Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
    29. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    30. Michal Franta, 2016. "Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations," Working Papers 2016/05, Czech National Bank.
    31. Kapetanios, George & Price, Simon & Theodoridis, Konstantinos, 2015. "A new approach to multi-step forecasting using dynamic stochastic general equilibrium models," Economics Letters, Elsevier, vol. 136(C), pages 237-242.
    32. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    33. Eliana González Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," Borradores de Economia 4246, Banco de la Republica.
    34. Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers 2013-010, Federal Reserve Bank of St. Louis.
    35. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
    36. Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
    37. Ulrich K. Müller & James H. Stock, 2011. "Forecasts in a Slightly Misspecified Finite Order VAR Model," Working Papers 2011-4, Princeton University. Economics Department..
    38. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    39. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    40. Mikkel Plagborg-Møller & Christian K. Wolf, 2020. "Local Projections and VARs Estimate the Same Impulse Responses," Working Papers 2020-16, Princeton University. Economics Department..
    41. McElroy, Tucker S. & Wildi, Marc, 2020. "The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions," Econometrics and Statistics, Elsevier, vol. 14(C), pages 112-130.
    42. Jinshun Wu & Luyao Wu, 2024. "Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2437-2476, October.
    43. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
    44. Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
    45. Diego Fresoli, 2022. "Bootstrap VAR forecasts: The effect of model uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 279-293, March.
    46. Moffo, Ahmadou Mustapha Fonton, 2024. "A machine learning approach in stress testing US bank holding companies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
    47. Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," ifo Working Paper Series 48, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    48. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
    49. Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
    50. Elena Ivona Dumitrescu & Peter Hansen, 2020. "How Should Parameter Estimation Be Tailored to the Objective?," Post-Print hal-03331109, HAL.
    51. Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
    52. Tom Stark, 2010. "Realistic evaluation of real-time forecasts in the Survey of Professional Forecasters," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue May.
    53. Chor-yiu Sin & Shu-Hui Yu, 2019. "Order selection for possibly infinite-order non-stationary time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 187-216, June.
    54. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, July.
    55. Ing, Ching-Kang & Sin, Chor-yiu & Yu, Shu-Hui, 2012. "Model selection for integrated autoregressive processes of infinite order," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 57-71.

  45. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
    See citations under working paper version above.
  46. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.
    See citations under working paper version above.
  47. Lubik, Thomas A. & Schorfheide, Frank, 2003. "Computing sunspot equilibria in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 273-285, November.

    Cited by:

    1. Stephen McKnight & Laura Povoledo, 2021. "Endogenous Fluctuations and International Business Cycles," Serie documentos de trabajo del Centro de Estudios Económicos 2021-10, El Colegio de México, Centro de Estudios Económicos.
    2. Beyer, Andreas & Farmer, Roger E. A., 2004. "On the indeterminacy of new-Keynesian economics," Working Paper Series 323, European Central Bank.
    3. Ippei Fujiwara & Yasuo Hirose, 2011. "Indeterminacy and forecastability," Globalization Institute Working Papers 91, Federal Reserve Bank of Dallas.
    4. Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2014. "Learning, Monetary Policy and Asset Prices," Working Papers 4/14, Sapienza University of Rome, DISS.
    5. Wei Dai & Mark Weder & Bo Zhang, 2020. "Animal Spirits, Financial Markets, and Aggregate Instability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(8), pages 2053-2083, December.
    6. Luca Benati & Paolo Surico, 2009. "VAR Analysis and the Great Moderation," American Economic Review, American Economic Association, vol. 99(4), pages 1636-1652, September.
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    153. Marco Airaudo & Luca Bossi, 2017. "Consumption Externalities And Monetary Policy With Limited Asset Market Participation," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 601-623, January.
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    155. Dave, Chetan & Sorge, Marco M., 2020. "Sunspot-driven fat tails: A note," Economics Letters, Elsevier, vol. 193(C).
    156. Benati, Luca, 2009. "Long run evidence on money growth and inflation," Working Paper Series 1027, European Central Bank.
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    158. Bezemer, Dirk J & Grydaki, Maria, 2012. "Mortgage Lending and the Great moderation: a multivariate GARCH Approach," MPRA Paper 36356, University Library of Munich, Germany.
    159. Jinshun Wu & Luyao Wu, 2024. "Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2437-2476, October.
    160. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.
    161. Florin Bilbiie, 2005. "Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic," Economics Papers 2005-W09, Economics Group, Nuffield College, University of Oxford.
    162. Leland Farmer & Roger Farmer, 2022. "Zoomers and Boomers: Asset Prices and Intergenerational Inequality," NBER Working Papers 30419, National Bureau of Economic Research, Inc.
    163. Dave, Chetan & Sorge, Marco, 2020. "Equilibrium Indeterminacy and Extreme Outcomes: A Fat Sunspot Ta(i)l(e)," Working Papers 2020-12, University of Alberta, Department of Economics.
    164. Benati, Luca, 2010. "Are policy counterfactuals based on structural VAR's reliable?," Working Paper Series 1188, European Central Bank.
    165. Wilson, Matthew S., 2020. "A real business cycle model with money as a sunspot variable," Journal of Economics and Business, Elsevier, vol. 109(C).
    166. Yoichiro Tamanyu, 2020. "The Role of Nonlinearity in Indeterminate Models: An Application to Expectations-Driven Liquidity Traps," Keio-IES Discussion Paper Series 2020-023, Institute for Economics Studies, Keio University.
    167. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
    168. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers vie1405, University of Vienna, Department of Economics.
    169. Majid M. Al-Sadoon, 2020. "Regularized Solutions to Linear Rational Expectations Models," Papers 2009.05875, arXiv.org, revised Oct 2020.
    170. Joshua Brault, 2024. "Parallel Tempering for DSGE Estimation," Staff Working Papers 24-13, Bank of Canada.
    171. Fernández-de-Córdoba, Gonzalo & Vázquez, Jesús, 2011. "Unions, monetary shocks and the labour market cycle," Economic Modelling, Elsevier, vol. 28(3), pages 1140-1149, May.
    172. Dave, Chetan & Sorge, Marco M., 2021. "Equilibrium indeterminacy and sunspot tales," European Economic Review, Elsevier, vol. 140(C).
    173. Chadha, J.S. & Corrado, L., 2007. "On the Determinacy of Monetary Policy under Expectational Errors," Cambridge Working Papers in Economics 0722, Faculty of Economics, University of Cambridge.
    174. Reed, Jason R., 2019. "The forward premium puzzle and Markov-switching adaptive learning," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 1-17.
    175. Bennett T. McCallum, 2010. "Indeterminacy, Causality, and the Foundations of Monetary Policy Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 107-120, March.
    176. Bilbiie, Florin O., 2004. "The great inflation, limited asset markets participation and aggregate demand: FED policy was better than you think," Working Paper Series 408, European Central Bank.
    177. Efrem Castelnuovo, 2006. "Assessing Different Drivers of the GreatModeration in the U.S," "Marco Fanno" Working Papers 0025, Dipartimento di Scienze Economiche "Marco Fanno".
    178. Siddhartha Chib & Michael Dueker & Anatoliy Belaygorod, 2005. "Structural Breaks in Estimated DSGE Models with Indeterminacy," Computing in Economics and Finance 2005 357, Society for Computational Economics.
    179. Cassou Steven P. & Vázquez Jesús, 2014. "Small-scale New Keynesian model features that can reproduce lead, lag and persistence patterns," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 267-300, January.
    180. Hirose, Yasuo, 2008. "Learnability and equilibrium selection under indeterminacy," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3459-3477, November.
    181. Liu, Ding & Sun, Weihong & Chang, Long, 2021. "Monetary–fiscal policy regime and macroeconomic dynamics in China," Economic Modelling, Elsevier, vol. 95(C), pages 121-135.
    182. John B. Donaldson & Natalia Gershun & Marc P. Giannoni, 2009. "Some Unpleasant General Equilibrium Implications of Executive Incentive Compensation Contracts," NBER Working Papers 15165, National Bureau of Economic Research, Inc.
    183. Funovits, Bernd, 2017. "The full set of solutions of linear rational expectations models," Economics Letters, Elsevier, vol. 161(C), pages 47-51.
    184. Xiao, Wei, 2004. "Can indeterminacy resolve the cross-country correlation puzzle?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2341-2366, December.
    185. Sorge, Marco M., 2021. "Stabilizing Taylor rules and determinacy under unit root supply shocks: A re-examination," Journal of Macroeconomics, Elsevier, vol. 68(C).
    186. Joshua Brault & Louis Phaneuf, 2021. "Higher Order Interest-Smoothing, Time-Varying Inflation Target and the Prospect of Indeterminacy," Working Papers 21-10, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    187. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.
    188. YANO Koiti, 2010. "Time-varying Analysis of Dynamic Stochastic General Equilibrium Models Based on Sequential Monte Carlo Methods," ESRI Discussion paper series 231, Economic and Social Research Institute (ESRI).
    189. Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan M., 2012. "The Effect of Data Revisions on the Basic New Keynesian Model," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 235-249.
    190. Belaygorod, Anatoliy & Dueker, Michael, 2009. "Indeterminacy, change points and the price puzzle in an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 624-648, March.

  48. Chang, Yongsung & Schorfheide, Frank, 2003. "Labor-supply shifts and economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1751-1768, November.
    See citations under working paper version above.
  49. Marco Del Negro & Frank Schorfheide, 2003. "Take your model bowling: forecasting with general equilibrium models," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q4), pages 35-50.

    Cited by:

    1. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011. "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 512-528.
    2. Artur Sharafutdinov, 2023. "Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 62-86, September.
    3. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW Kiel).
    4. Kirdan Lees & Troy Matheson & Christie Smith, 2007. "Open economy DSGE-VAR forecasting and policy analysis - head to head with the RBNZ published forecasts," Reserve Bank of New Zealand Discussion Paper Series DP2007/01, Reserve Bank of New Zealand.
    5. Javier Andrés & Fernando Restoy, 2007. "Macroeconomic modelling in EMU: how relevant is the change in regime?," Working Papers 0718, Banco de España.
    6. Muhanji, Stella & Malikane, Christopher & Ojah, Kalu, 2013. "Price and liquidity puzzles of a monetary shock: Evidence from indebted African economies," Economic Modelling, Elsevier, vol. 33(C), pages 620-630.
    7. Suescun, Rodrigo, 2020. "A tool for fiscal policy planning in a medium-term fiscal framework: The FMM-MTFF model," Economic Modelling, Elsevier, vol. 88(C), pages 431-446.
    8. Paul Pichler, 2007. "Forecasting with estimated dynamic stochastic general equilibrium models: The role of nonlinearities," Vienna Economics Papers vie0702, University of Vienna, Department of Economics.
    9. Alvarez-Lois, Pedro & Harrison, Richard & Piscitelli, Laura & Scott, Alasdair, 2008. "On the application and use of DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2428-2452, August.
    10. Dan S. Rickman, 2010. "Modern Macroeconomics And Regional Economic Modeling," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 23-41, February.
    11. Roth, Markus, 2020. "Partial pooling with cross-country priors: An application to house price shocks," Discussion Papers 06/2020, Deutsche Bundesbank.
    12. Muhanji, Stella & Ojah, Kalu, 2011. "External shocks and persistence of external debt in open vulnerable economies: The case of Africa," Economic Modelling, Elsevier, vol. 28(4), pages 1615-1628, July.

  50. Yongsung Chang & Joao F. Gomes & Frank Schorfheide, 2002. "Learning-by-Doing as a Propagation Mechanism," American Economic Review, American Economic Association, vol. 92(5), pages 1498-1520, December.
    See citations under working paper version above.
  51. Moon, Hyungsik Roger & Schorfheide, Frank, 2002. "Minimum Distance Estimation Of Nonstationary Time Series Models," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1385-1407, December.

    Cited by:

    1. Gabriel Montes-Rojas & Luciano de Castro & Antonio F. Galvao & Jeong Yeol Kim & José Olmo, 2021. "Experiments On Portfolio Selection: A Comparison Between Quantile Preferences And Expected Utility Decision Models," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2021-68, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
    2. Considine, Timothy J., 2018. "Estimating concave substitution possibilities with non-stationary data using the dynamic linear logit demand model," Economic Modelling, Elsevier, vol. 72(C), pages 22-30.
    3. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
    4. Leandro M. Magnusson & Sophocles Mavroeidis, 2010. "Identification‐Robust Minimum Distance Estimation of the New Keynesian Phillips Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2‐3), pages 465-481, March.
    5. Galvao, Antonio F. & Wang, Liang, 2015. "Efficient minimum distance estimator for quantile regression fixed effects panel data," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 1-26.
    6. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," FRB Atlanta Working Paper 2002-14, Federal Reserve Bank of Atlanta.

  52. Schorfheide, Frank, 2000. "Forecasting Economic Time Series," Econometric Theory, Cambridge University Press, vol. 16(3), pages 441-450, June.

    Cited by:

    1. Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 642-675, October.
    2. Maghyereh, Aktham, 2003. "Financial Liberalization and Stability Demand for Money in Emerging Economies: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2).
    3. Giordani, Paolo & Kohn, Robert, 2008. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
    4. Fernando M. Gonçalves, 2008. "Accumulating Foreign Reserves Under Floating Exchange Rates," IMF Working Papers 2008/096, International Monetary Fund.
    5. Gerit Vogt, 2009. "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36, March.

  53. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.

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    1. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
    2. Atsushi Inoue & Mototsugu Shintani, 2018. "Quasi‐Bayesian model selection," Quantitative Economics, Econometric Society, vol. 9(3), pages 1265-1297, November.
    3. José R. Maria & Paulo Júlio, 2017. "Output in the Portuguese post-2008 period: A general equilibrium narrative," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    4. Haider, Adnan & Khan, Safdar Ullah, 2008. "A Small Open Economy DSGE Model for Pakistan," MPRA Paper 12977, University Library of Munich, Germany, revised 17 Jan 2009.
    5. Takashi Kano, 2007. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect," CIRJE F-Series CIRJE-F-505, CIRJE, Faculty of Economics, University of Tokyo.
    6. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    7. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2008. "The new area-wide model of the euro area: a micro-founded open-economy model for forecasting and policy analysis," Working Paper Series 944, European Central Bank.
    8. José R. Maria & Paulo Júlio, 2017. "The Portuguese post-2008 period: A narrative from an estimated DSGE model," Working Papers w201715, Banco de Portugal, Economics and Research Department.
    9. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.
    10. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2005. "Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through," Working Paper Series 179, Sveriges Riksbank (Central Bank of Sweden).
    11. Phattara Khumprom & Nita Yodo, 2019. "A Data-Driven Predictive Prognostic Model for Lithium-ion Batteries based on a Deep Learning Algorithm," Energies, MDPI, vol. 12(4), pages 1-21, February.
    12. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    13. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper 2004/10, Norges Bank.
    14. Marco Ratto, 2008. "Analysing DSGE Models with Global Sensitivity Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 31(2), pages 115-139, March.
    15. Jouini, Nizar & Rebei, Nooman, 2012. "The Welfare Implications of Services Liberalization in a Developing Country," Conference papers 332271, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
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    17. Stephane Auray & Paul Gomme & Shen Guo, 2011. "Nominal Rigidities, Monetary Policy and Pigou Cycles," Working Papers 11007, Concordia University, Department of Economics, revised Nov 2011.
    18. Gunter Coenen & Roland Straub & Mathias Trabandt, 2012. "Fiscal Policy and the Great Recession in the Euro Area," American Economic Review, American Economic Association, vol. 102(3), pages 71-76, May.
    19. Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
    20. Barthélemy, Jean & Clerc, Laurent & Marx, Magali, 2011. "A two-pillar DSGE monetary policy model for the euro area," Economic Modelling, Elsevier, vol. 28(3), pages 1303-1316, May.
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    22. William Ginn & Marc Pourroy, 2022. "The Contribution of Food Subsidy Policy to Monetary Policy in India," Post-Print hal-02944209, HAL.
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    24. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    25. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    26. Marco Ratto & Werner Roeger, 2005. "An estimated open-economy model for the EURO area," Computing in Economics and Finance 2005 84, Society for Computational Economics.
    27. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
    28. Sanghamitra Bandyopadhyay & Frank A Cowell & Emmanuel Flachaire, 2009. "Goodness-of-Fit: An Economic Approach," STICERD - Distributional Analysis Research Programme Papers 101, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    29. Ian Christensen & Paul Corrigan & Caterina Mendicino & Shin-Ichi Nishiyama, 2016. "Consumption, housing collateral and the Canadian business cycle," Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 207-236, February.
    30. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    31. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non‐stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, September.
    32. Alexander Rathke & Tobias Straumann & Ulrich Woitek, 2017. "OVERVALUED: SWEDISH MONETARY POLICY IN THE 1930s," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 58(4), pages 1355-1369, November.
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    36. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
    37. Sylvain Barde, 2015. "A Practical, Universal, Information Criterion over Nth Order Markov Processes," Studies in Economics 1504, School of Economics, University of Kent.
    38. Edward P. Herbst & Frank Schorfheide, 2012. "Sequential Monte Carlo sampling for DSGE models," Working Papers 12-27, Federal Reserve Bank of Philadelphia.
    39. Eric Jondeau & Jean-Guillaume Sahuc, 2005. "Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model," Documents de recherche 05-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    40. Romain Houssa & Jolan Mohimont & Chris Otrok, 2019. "A Model for International Spillovers to Emerging Markets," CESifo Working Paper Series 7702, CESifo.
    41. Pau Rabanal, 2009. "Inflation Differentials between Spain and the EMU: A DSGE Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1141-1166, September.
    42. Wieland, Volker & Taylor, John B., 2010. "Surprising comparative properties of monetary models: Results from a new model database," Working Paper Series 1261, European Central Bank.
    43. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1059-1087.
    44. Giorgio Primiceri & Alejandro Justiniano, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," 2006 Meeting Papers 353, Society for Economic Dynamics.
    45. Guangling (Dave) Liu & Rangan Gupta & Eric Schaling, 2007. "Forecasting the South African Economy: A DSGE-VAR Approach," Working Papers 200724, University of Pretoria, Department of Economics.
    46. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    47. NANA DAVIES, Charles, 2018. "Sources of Macroeconomic Fluctuations in a Franc Zone Country: A Bayesian estimation," MPRA Paper 99998, University Library of Munich, Germany.
    48. A. Johri & M-A. Letendre, 2001. "Labour Market Dynamics in RBC Models," Department of Economics Working Papers 2001-03, McMaster University.
    49. Leonardo Melosi, 2014. "Signaling Effects of Monteray Policy," 2014 Meeting Papers 830, Society for Economic Dynamics.
    50. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    51. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
    52. Danilo Liberati, 2014. "An estimated DSGE model with search and matching frictions in the credit market," Temi di discussione (Economic working papers) 986, Bank of Italy, Economic Research and International Relations Area.
    53. Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," 2006 Meeting Papers 479, Society for Economic Dynamics.
    54. Peter Ireland, 1999. "A Method for Taking Models to the Data," Computing in Economics and Finance 1999 1233, Society for Computational Economics.
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    319. Joshua Brault, 2024. "Parallel Tempering for DSGE Estimation," Staff Working Papers 24-13, Bank of Canada.
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Software components

    Sorry, no citations of software components recorded.

Chapters

  1. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    See citations under working paper version above.
  2. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    See citations under working paper version above.
  3. Marco Del Negro & Frank Schorfheide, 2009. "Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 13, pages 511-562, Central Bank of Chile.
    See citations under working paper version above.
  4. Frank Schorfheide, 2008. "Comment on "How Structural Are Structural Parameters?"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 149-163, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jan Čapek, 2016. "Structural Changes in the Czech Economy: A DSGE Model Approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(1), pages 37-52.
    2. Jan Capek, 2014. "Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(6), pages 457-475, December.
    3. Martin Slanicay & Jan Čapek & Miroslav Hloušek, 2016. "Some Notes On Problematic Issues In Dsge Models," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 61(210), pages 79-100, July - Se.

  5. Thomas Lubik & Frank Schorfheide, 2006. "A Bayesian Look at New Open Economy Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 313-382, National Bureau of Economic Research, Inc.
    See citations under working paper version above.

Books

  1. Edward P. Herbst & Frank Schorfheide, 2016. "Bayesian Estimation of DSGE Models," Economics Books, Princeton University Press, edition 1, number 10612.

    Cited by:

    1. Alexander Falter & Dennis Wesselbaum, 2018. "Correlated shocks in estimated DSGE models," Economics Bulletin, AccessEcon, vol. 38(4), pages 2026-2036.
    2. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
    3. Andrzej Kocięcki & Marcin Kolasa, 2022. "A solution to the global identification problem in DSGE models," Working Papers 2022-01, Faculty of Economic Sciences, University of Warsaw.
    4. Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2018. "On the Comparison of Interval Forecasts," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 953-965, November.
    5. Kumwenda, Thomson Nelson, 2022. "Fiscal Multipliers and Evidence on Effectiveness of Fiscal Policy in Malawi," Dynare Working Papers 73, CEPREMAP.
    6. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    7. Lien Laureys & Roland Meeks & Boromeus Wanengkirtyo, 2020. "Optimal simple objectives for monetary policy when banks matter," CAMA Working Papers 2020-98, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Samuel Kwesi Dunyo & Saran Sarntisart, 2024. "The impact of COVID‐19 pandemic on the Thai economy and the effectiveness of monetary policy: A Bayesian DSGE model approach," Asian Economic Journal, East Asian Economic Association, vol. 38(1), pages 3-34, March.
    9. Alexander Mihailov & Giovanni Razzu & Zhe Wang, 2019. "Heterogeneous effects of single monetary policy on unemployment rates in the largest EMU economies," Economics Discussion Papers em-dp2019-07, Department of Economics, University of Reading.
    10. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    11. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    12. Hee Soo (test record) Kim & Christian Matthes & Toan Phan, 2011. "Extreme Weather and the Macroeconomy," Working Paper 21-14, Federal Reserve Bank of Richmond.
    13. Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017. "Bayesian estimation of agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
    14. Majid Al-Sadoon & Piotr Zwiernik, 2019. "The identification problem for linear rational expectations models," Economics Working Papers 1669, Department of Economics and Business, Universitat Pompeu Fabra.
    15. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Liberty Street Economics 20190821, Federal Reserve Bank of New York.
    16. Yasufumi Gemma & Takushi Kurozumi & Mototsugu Shintani, 2017. "Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve," IMES Discussion Paper Series 17-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
    17. Gulan, Adam, 2018. "Paradise lost? A brief history of DSGE macroeconomics," Bank of Finland Research Discussion Papers 22/2018, Bank of Finland.
    18. Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerron, Pablo & Oosthuizen, Dick, 2024. "Filtering with Limited Information," CEPR Discussion Papers 19270, C.E.P.R. Discussion Papers.
    19. Manuel Arellano & Stéphane Bonhomme, 2016. "Nonlinear panel data methods for dynamic heterogeneous agent models," CeMMAP working papers 51/16, Institute for Fiscal Studies.
    20. Maik Wolters, 2017. "How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates," Jena Economics Research Papers 2017-008, Friedrich-Schiller-University Jena.
    21. van Dijk Herman K., 2024. "Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 155-176, April.
    22. Ascari, Guido & Bonomolo, Paolo & Haque, Qazi, 2024. "The Long-Run Phillips Curve is ... a Curve," CEPR Discussion Papers 19069, C.E.P.R. Discussion Papers.
    23. Yoosoon Chang & Junior Maih & Fei Tan, 2018. "State Space Models with Endogenous Regime Switching," Working Papers No 9/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    24. Hirokazu Mizobata & Hiroki Toyoda, 2016. "Business Cycles, Asset Prices, and the Frictions of Capital and Labor," KIER Working Papers 953, Kyoto University, Institute of Economic Research.
    25. Korobilis, D, 2017. "Forecasting with many predictors using message passing algorithms," Essex Finance Centre Working Papers 19565, University of Essex, Essex Business School.
    26. Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2018. "Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan," Working Papers e120, Tokyo Center for Economic Research.
    27. Richter, Alexander W. & Throckmorton, Nathaniel A., 2016. "Is Rotemberg pricing justified by macro data?," Economics Letters, Elsevier, vol. 149(C), pages 44-48.
    28. Punnoose Jacob & Thomas van Florenstein Mulder, 2019. "The flattening of the Phillips curve: Rounding up the suspects," Reserve Bank of New Zealand Analytical Notes series AN2019/06, Reserve Bank of New Zealand.
    29. Qazi Haque & Nicolas Groshenny & Mark Weder, 2019. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Discussion / Working Papers 19-11, The University of Western Australia, Department of Economics.
    30. Yasuo Hirose & Takeki Sunakawa, 2023. "The Natural Rate of Interest in a Non-linear DSGE Model," International Journal of Central Banking, International Journal of Central Banking, vol. 19(1), pages 301-340, March.
    31. Mitsuru Katagiri, 2016. "Forward Guidance as a Monetary Policy Rule," Bank of Japan Working Paper Series 16-E-6, Bank of Japan.
    32. Federico Inchausti-Sintes & Ubay Pérez-Granja, 2022. "Monetary policy and exchange rate regime in tourist islands," Tourism Economics, , vol. 28(2), pages 325-348, March.
    33. Fleischhacker, Jan, 2024. "Fiscal policy and the business cycle: An argument for non-linear policy rules," MPRA Paper 122497, University Library of Munich, Germany.
    34. Pablo A. Cuba-Borda & Luca Guerrieri & Matteo Iacoviello & Molin Zhong, 2019. "Likelihood Evaluation of Models with Occasionally Binding Constraints," Finance and Economics Discussion Series 2019-028, Board of Governors of the Federal Reserve System (U.S.).
    35. Edward Herbst & David Lopez-Salido & Christopher Gust, 2017. "Forward Guidance with Bayesian Learning and Estimation," 2017 Meeting Papers 1189, Society for Economic Dynamics.
    36. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    37. Siming Liu & Hewei Shen, 2022. "Fiscal Commitment and Sovereign Default Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 46, pages 98-123, October.
    38. Pham, Binh T. & Sala, Hector & Silva, José I., 2018. "Growth and real business cycles in Vietnam and the ASEAN-5. Does the trend shock matter?," MPRA Paper 90297, University Library of Munich, Germany.
    39. Kwangyong Park, 2023. "Central Bank Credibility and Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 19(2), pages 145-197, June.
    40. Kang, Hyunju & Park, Jaevin & Suh, Hyunduk, 2020. "The rise of part-time employment in the great recession: Its causes and macroeconomic effects," Journal of Macroeconomics, Elsevier, vol. 66(C).
    41. Alok Johri & Muhebullah Karimzada, 2016. "Learning Efficiency Shocks, Knowledge Capital and the Business Cycle: A Bayesian Evaluation," Department of Economics Working Papers 2016-11, McMaster University.
    42. Dimitris Korobilis, 2020. "High-dimensional macroeconomic forecasting using message passing algorithms," Papers 2004.11485, arXiv.org.
    43. Laura Battaglia & Timothy M. Christensen & Stephen Hansen & Szymon Sacher, 2024. "Inference for regression with variables generated from unstructured data," CeMMAP working papers 10/24, Institute for Fiscal Studies.
    44. Laura Battaglia & Timothy Christensen & Stephen Hansen & Szymon Sacher, 2024. "Inference for Regression with Variables Generated by AI or Machine Learning," Papers 2402.15585, arXiv.org, revised Dec 2024.
    45. Correa-López, Mónica & de Blas, Beatriz, 2021. "Faraway, so close! International transmission in the medium-term cycle of advanced economies," Journal of International Economics, Elsevier, vol. 132(C).
    46. Edward P. Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," Finance and Economics Discussion Series 2016-072, Board of Governors of the Federal Reserve System (U.S.).
    47. Laura Liu & Mikkel Plagborg-M?ller, 2021. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," CAEPR Working Papers 2021-001 Classification- , Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    48. Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2020. "Monetary Policy and Macroeconomic Stability Revisited," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 255-274, July.
    49. Lux, Thomas, 2020. "Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo," Economics Working Papers 2020-01, Christian-Albrechts-University of Kiel, Department of Economics.
    50. Iiboshi, Hirokuni & Shintani, Mototsugu, 2016. "Zero interest rate policy and asymmetric price adjustment in Japan: an empirical analysis of a nonlinear DSGE model," MPRA Paper 93868, University Library of Munich, Germany.
    51. Jang, Tae-Seok & Sacht, Stephen, 2021. "Forecast heuristics, consumer expectations, and New-Keynesian macroeconomics: A Horse race," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 493-511.
    52. Adrien Auclert & Bence Bardóczy & Matthew Rognlie & Ludwig Straub, 2019. "Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models," NBER Working Papers 26123, National Bureau of Economic Research, Inc.
    53. Siddhartha Chib & Minchul Shin & Fei Tan, 2020. "High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗," Working Papers 20-35, Federal Reserve Bank of Philadelphia.
    54. Alexander W. Richter & Nathaniel A. Throckmorton, 2016. "Are nonlinear methods necessary at the zero lower bound?," Working Papers 1606, Federal Reserve Bank of Dallas.
    55. Johannes Huber, 2022. "An Augmented Steady-State Kalman Filter to Evaluate the Likelihood of Linear and Time-Invariant State-Space Models," Discussion Paper Series 343, Universitaet Augsburg, Institute for Economics.
    56. Daniel Fehrle & Christopher Heiberger & Johannes Huber, 2020. "Polynomial chaos expansion: Efficient evaluation and estimation of computational models," Working Papers 202, Bavarian Graduate Program in Economics (BGPE).
    57. Daniel Fehrle, 2018. "Housing and the Business Cycle Revisited," Working Papers 178, Bavarian Graduate Program in Economics (BGPE).
    58. James H. Stock & Mark W. Watson, 2017. "Twenty Years of Time Series Econometrics in Ten Pictures," Journal of Economic Perspectives, American Economic Association, vol. 31(2), pages 59-86, Spring.
    59. McKnight, Stephen & Mihailov, Alexander & Pompa Rangel, Antonio, 2020. "What do Latin American inflation targeters care about? A comparative Bayesian estimation of central bank preferences," Journal of Macroeconomics, Elsevier, vol. 63(C).
    60. Fabio Franco, 2019. "Likelihood Induced by Moment Functions Using Particle Filter: a Comparison of Particle GMM and Standard MCMC Methods," CEIS Research Paper 477, Tor Vergata University, CEIS, revised 04 Dec 2019.
    61. Mark Bognanni & John Zito, 2019. "Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility," Working Papers 19-29, Federal Reserve Bank of Cleveland.
    62. Faulwasser Timm & Gross Marco & Semmler Willi & Loungani Prakash, 2020. "Unconventional monetary policy in a nonlinear quadratic model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-19, December.
    63. DJINKPO, Medard, 2019. "A DSGE model for Fiscal Policy Analysis in The Gambia," MPRA Paper 97874, University Library of Munich, Germany, revised 30 Dec 2019.
    64. Alfred Duncan, 2021. "Reverse mode differentiation for DSGE models," Studies in Economics 2108, School of Economics, University of Kent.
    65. Punnoose Jacob & Lenno Uuskula, 2016. "Deep habits and exchange rate pass-through," CAMA Working Papers 2016-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    66. Takefumi Yamazaki, 2018. "Financial friction sources in emerging economies: Structural estimation of sovereign default models," Discussion papers ron303, Policy Research Institute, Ministry of Finance Japan.
    67. Jacob, Punnoose & Munro, Anella, 2018. "A prudential stable funding requirement and monetary policy in a small open economy," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 89-106.
    68. Luangaram, Pongsak & Wongpunya, Nipit, 2024. "The effect of trade openness and exchange rate on inflation targeting in Thailand," Journal of Asian Economics, Elsevier, vol. 92(C).
    69. Sergei Seleznev, 2016. "Solving DSGE models with stochastic trends," Bank of Russia Working Paper Series wps15, Bank of Russia.
    70. Lawrence B. Dacuycuy & Fernando T. Aldaba, 2024. "Development of a Fiscal-Centric DSGE Model in Aid of Policy Evaluation," Department of Economics, Ateneo de Manila University, Working Paper Series 202405, Department of Economics, Ateneo de Manila University.
    71. Ho, Paul, 2023. "Global robust Bayesian analysis in large models," Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
    72. Michael D. Plante & Alexander W. Richter & Nathaniel A. Throckmorton, 2014. "The zero lower bound and endogenous uncertainty," Working Papers 1405, Federal Reserve Bank of Dallas.
    73. Zhang, Jinyu & Zhang, Qiaosen & Li, Yong & Wang, Qianchao, 2023. "Sequential Bayesian inference for agent-based models with application to the Chinese business cycle," Economic Modelling, Elsevier, vol. 126(C).
    74. Tyler Atkinson & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "The Zero Lower Bound and Estimation Accuracy," Working Papers 1804, Federal Reserve Bank of Dallas.
    75. Sanjay R. Singh & Pablo Cuba-Borda, 2019. "Understanding Persistent Stagnation," Working Papers 329, University of California, Davis, Department of Economics.
    76. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    77. Alexander Richter & Nathaniel Throckmorton, 2018. "A New Way to Quantify the Effect of Uncertainty," 2018 Meeting Papers 565, Society for Economic Dynamics.
    78. Gianni Amisano & Oreste Tristani, 2019. "Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates," Finance and Economics Discussion Series 2019-024, Board of Governors of the Federal Reserve System (U.S.).
    79. Matthew Ferranti, 2022. "Estimating the Currency Composition of Foreign Exchange Reserves," Papers 2206.13751, arXiv.org, revised May 2023.
    80. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    81. Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017. "The Empirical Implications of the Interest-Rate Lower Bound," American Economic Review, American Economic Association, vol. 107(7), pages 1971-2006, July.
    82. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    83. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
    84. Gökhan Ider & Alexander Kriwoluzky & Frederik Kurcz & Ben Schumann, 2024. "Friend, Not Foe - Energy Prices and European Monetary Policy," Discussion Papers of DIW Berlin 2089, DIW Berlin, German Institute for Economic Research.
    85. Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2017. "Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank," Tinbergen Institute Discussion Papers 17-058/III, Tinbergen Institute.
    86. Kurt F. Lewis & Francisco Vazquez-Grande, 2017. "Measuring the Natural Rate of Interest : A Note on Transitory Shocks," Finance and Economics Discussion Series 2017-059, Board of Governors of the Federal Reserve System (U.S.).
    87. Coenen, Günter & Karadi, Peter & Schmidt, Sebastian & Warne, Anders, 2018. "The New Area-Wide Model II: an extended version of the ECB’s micro-founded model for forecasting and policy analysis with a financial sector," Working Paper Series 2200, European Central Bank.
    88. Alfredo Villca, 2019. "Confronting DSGE model with data," Documentos de Trabajo de Valor Público 17803, Universidad EAFIT.
    89. Hasumi, Ryo & Iiboshi, Hirokuni, 2019. "A Bayesian Estimation of HANK models with Continuous Time Approach:Comparison between US and Japan," MPRA Paper 92292, University Library of Munich, Germany.
    90. Markku Lanne & Jani Luoto, 2018. "Data†Driven Identification Constraints for DSGE Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(2), pages 236-258, April.
    91. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.
    92. Dmitry Kreptsev & Sergei Seleznev, 2018. "Forecasting for the Russian Economy Using Small-Scale DSGE Models," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 51-67, June.
    93. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
    94. Michal Koles'ar & Mikkel Plagborg-M{o}ller, 2024. "Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly," Papers 2411.10415, arXiv.org, revised Dec 2024.
    95. Jacob Punnoose & Amber Wadsworth, 2018. "Estimated policy rules for different monetary regimes: Flexible inflation targeting versus a dual mandate," Reserve Bank of New Zealand Analytical Notes series AN2018/11, Reserve Bank of New Zealand.
    96. Martin Burda & Remi Daviet, 2023. "Hamiltonian sequential Monte Carlo with application to consumer choice behavior," Econometric Reviews, Taylor & Francis Journals, vol. 42(1), pages 54-77, January.
    97. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.
    98. Ina Hajdini, 2022. "Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model," Working Papers 22-03R, Federal Reserve Bank of Cleveland, revised 06 Mar 2023.
    99. Laura Liu & Mikkel Plagborg‐Møller, 2023. "Full‐information estimation of heterogeneous agent models using macro and micro data," Quantitative Economics, Econometric Society, vol. 14(1), pages 1-35, January.
    100. Adam, Felix & Matthes, Jürgen, 2018. "Zur Belastbarkeit von Forderungen nach expansiver Fiskalpolitik an der Nullzinsgrenze: Eine Kritik neukeynesianischer Modelle auf Basis einer Literaturanalyse," IW-Reports 7/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
    101. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    102. McAdam, Peter & Warne, Anders, 2018. "Euro area real-time density forecasting with financial or labor market frictions," Working Paper Series 2140, European Central Bank.
    103. Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2021. "Adaptive Importance Sampling for DSGE Models," BEMPS - Bozen Economics & Management Paper Series BEMPS84, Faculty of Economics and Management at the Free University of Bozen.
    104. Taeyoung Doh & Shu Wu, 2015. "Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences," Research Working Paper RWP 15-12, Federal Reserve Bank of Kansas City.
    105. Ashesh Rambachan & Neil Shephard, 2019. "When do common time series estimands have nonparametric causal meaning?," Papers 1903.01637, arXiv.org, revised Jan 2025.
    106. von Schweinitz, Gregor, 2023. "The importance of credit demand for business cycle dynamics," IWH Discussion Papers 21/2023, Halle Institute for Economic Research (IWH).
    107. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    108. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.
    109. Jim Malley & Ulrich Woitek, 2019. "Estimated Human Capital Externalities in an Endogenous Growth Framework," Working Papers 2019_04, Business School - Economics, University of Glasgow.
    110. Tóth, Máté, 2021. "A multivariate unobserved components model to estimate potential output in the euro area: a production function based approach," Working Paper Series 2523, European Central Bank.
    111. Omotosho, Babatunde S., 2019. "Business Cycle Fluctuations in Nigeria: Some Insights from an Estimated DSGE Model," MPRA Paper 98351, University Library of Munich, Germany.
    112. De La Peña, Rogelio & García, Ignacio, 2023. "Untangling crises: GFC and COVID-19 through the lens of a DSGE model," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(2).
    113. Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
    114. Adem Feto & M. K. Jayamohan & Arnis Vilks, 2023. "Applicability and Accomplishments of DSGE Modeling: A Critical Review," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(2), pages 213-239, September.
    115. Seunghoon Na & Hyunseung Oh, 2020. "Computerizing Households and the Role of Investment-Specific Productivity in Business Cycles," International Finance Discussion Papers 1292, Board of Governors of the Federal Reserve System (U.S.).

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