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Denis Tkachenko

Personal Details

First Name:Denis
Middle Name:
Last Name:Tkachenko
Suffix:
RePEc Short-ID:ptk12
[This author has chosen not to make the email address public]
http://staffpages.nus.edu.sg/fas/ecstd/main.html
Terminal Degree:2012 Department of Economics; Boston University (from RePEc Genealogy)

Affiliation

Department of Economics
National University of Singapore (NUS)

Singapore, Singapore
http://www.fas.nus.edu.sg/ecs/
RePEc:edi:denussg (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Zhongjun Qu & Denis Tkachenko, 2015. "Global Identification in DSGE Models Allowing for Indeterminacy," Boston University - Department of Economics - Working Papers Series wp2015-001, Boston University - Department of Economics.
  2. 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.
  3. Zhongjun Qu & Denis Tkachenko, 2010. "Identification and Frequency Domain QML Estimation of Linearized DSGE Models," Boston University - Department of Economics - Working Papers Series WP2010-053, Boston University - Department of Economics.

Articles

  1. 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.
  2. Zhongjun Qu & Denis Tkachenko, 2017. "Global Identification in DSGE Models Allowing for Indeterminacy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(3), pages 1306-1345.
  3. Zhongjun Qu & Denis Tkachenko, 2012. "Identification and frequency domain quasi‐maximum likelihood estimation of linearized dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 3(1), pages 95-132, March.

Chapters

  1. Denis Tkachenko & Zhongjun Qu, 2012. "Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)," Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 319-385, Emerald Group Publishing Limited.

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.

Working papers

  1. Zhongjun Qu & Denis Tkachenko, 2015. "Global Identification in DSGE Models Allowing for Indeterminacy," Boston University - Department of Economics - Working Papers Series wp2015-001, Boston University - Department of Economics.

    Cited by:

    1. Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    2. 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.
    3. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    4. 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.
    5. Jose L. Fillat & STEFANIA GARETTO & Lindsay Oldenski, 2014. "Diversification, Cost Structure, and the Risk Premium of Multinational Corporations," Boston University - Department of Economics - Working Papers Series WP2014-007, Boston University - Department of Economics.
    6. 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.
    7. Josué Diwambuena & Raquel Fonseca & Stefan Schubert, 2021. "Italian Labour Frictions and Wage Rigidities in an Estimated DSGE," CIRANO Working Papers 2021s-33, CIRANO.
    8. 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.).
    9. Timothy Uy, 2015. "Zeros and the Gains from Openness," 2015 Meeting Papers 1158, Society for Economic Dynamics.
    10. 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.
    11. George Alessandria & Horag Choi & Joseph P. Kaboski & Virgiliu Midrigan, 2014. "Microeconomic uncertainty, international trade, and aggregate fluctuations," Working Papers 14-30, Federal Reserve Bank of Philadelphia.
    12. Zadrozny, Peter A., 2022. "Linear identification of linear rational-expectations models by exogenous variables reconciles Lucas and Sims," CFS Working Paper Series 682, Center for Financial Studies (CFS).
    13. 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.
    14. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018. "Factor-Driven Two-Regime Regression," Department of Economics Working Papers 2018-14, McMaster University.
    15. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.
    16. Majid M. Al-Sadoon, 2020. "Regularized Solutions to Linear Rational Expectations Models," Papers 2009.05875, arXiv.org, revised Oct 2020.
    17. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.

  2. 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.

    Cited by:

    1. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
    2. Mutschler, Willi, 2014. "Identification of DSGE Models - A Comparison of Methods and the Effect of Second Order Approximation," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100598, Verein für Socialpolitik / German Economic Association.
    3. Thomas A. Lubik & Christian Matthes & Fabio Verona, 2019. "Assessing U.S. Aggregate Fluctuations Across Time and Frequencies," Working Paper 19-6, Federal Reserve Bank of Richmond.
    4. Alisdair McKay, "undated". "Idiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective," Boston University - Department of Economics - Working Papers Series 2013-013, Boston University - Department of Economics.
    5. Lance Kent, 2015. "Relaxing Rational Expectations," Working Papers 159, Department of Economics, College of William and Mary.
    6. Caraiani, Petre, 2015. "Estimating DSGE models across time and frequency," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 33-49.
    7. 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.

  3. Zhongjun Qu & Denis Tkachenko, 2010. "Identification and Frequency Domain QML Estimation of Linearized DSGE Models," Boston University - Department of Economics - Working Papers Series WP2010-053, Boston University - Department of Economics.

    Cited by:

    1. Mark A. Wynne, 2011. "Dynamic Stochastic General-Equilibrium Modeling: 10th Annual Advances in Econometrics Conference," Annual Report, Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas, pages 39-42.
    2. Canova, F. & Ferroni, F. & Matthes, C., 2013. "Choosing the variables to estimate singular DSGE models," Working papers 461, Banque de France.
    3. 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.
    4. 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.

Articles

  1. Zhongjun Qu & Denis Tkachenko, 2017. "Global Identification in DSGE Models Allowing for Indeterminacy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(3), pages 1306-1345.
    See citations under working paper version above.
  2. Zhongjun Qu & Denis Tkachenko, 2012. "Identification and frequency domain quasi‐maximum likelihood estimation of linearized dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 3(1), pages 95-132, March.

    Cited by:

    1. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
    2. Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    3. Stephen Morris, 2014. "The Statistical Implications of Common Identifying Restrictions for DSGE Models," 2014 Meeting Papers 738, Society for Economic Dynamics.
    4. 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.
    5. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    6. 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.
    7. Mutschler, Willi, 2014. "Identification of DSGE Models - A Comparison of Methods and the Effect of Second Order Approximation," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100598, Verein für Socialpolitik / German Economic Association.
    8. Marianna Riggi & Sergio Santoro, 2015. "On the Slope and the Persistence of the Italian Phillips Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 11(2), pages 157-197, March.
    9. Prosper Dovonon & Alastair Hall, 2018. "The Asymptotic Properties of GMM and Indirect Inference under Second-order Identification," CIRANO Working Papers 2018s-37, CIRANO.
    10. Enrique Martínez García & Mark A. Wynne, 2014. "Assessing Bayesian model comparison in small samples," Globalization Institute Working Papers 189, Federal Reserve Bank of Dallas.
    11. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    12. Willi Mutschler, 2015. "Higher-order statistics for DSGE models," CQE Working Papers 4315, Center for Quantitative Economics (CQE), University of Muenster.
    13. Stéphane Adjemian & Houtan Bastani & Michel Juillard & Frédéric Karamé & Ferhat Mihoubi & Willi Mutschler & Johannes Pfeifer & Marco Ratto & Sébastien Villemot & Normann Rion, 2023. "Dynare: Reference Manual Version 5," PSE Working Papers hal-04219920, HAL.
      • Stéphane Adjemian & Houtan Bastani & Michel Juillard & Frédéric Karamé & Ferhat Mihoubi & Willi Mutschler & Johannes Pfeifer & Marco Ratto & Sébastien Villemot & Normann Rion, 2023. "Dynare: Reference Manual Version 5," Working Papers hal-04219920, HAL.
      • Adjemian, Stéphane & Bastani, Houtan & Juillard, Michel & Karamé, Fréderic & Mihoubi, Ferhat & Mutschler, Willi & Pfeifer, Johannes & Ratto, Marco & Rion, Normann & Villemot, Sébastien, 2022. "Dynare: Reference Manual Version 5," Dynare Working Papers 72, CEPREMAP, revised Mar 2023.
    14. Jonathan Benchimol & Lahcen Bounader, 2018. "Optimal Monetary Policy Under Bounded Rationality," Globalization Institute Working Papers 336, Federal Reserve Bank of Dallas.
    15. 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).
    16. 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.
    17. 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.
    18. Josué Diwambuena & Raquel Fonseca & Stefan Schubert, 2021. "Italian Labour Frictions and Wage Rigidities in an Estimated DSGE," CIRANO Working Papers 2021s-33, CIRANO.
    19. Pedro Brinca & Nikolay Iskrev & Francesca Loria, 2022. "On Identification Issues in Business Cycle Accounting Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 55-138, Emerald Group Publishing Limited.
    20. 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.
    21. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R2, Cowles Foundation for Research in Economics, Yale University, revised Jan 2019.
    22. Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
    23. Adjemian, Stéphane & Juillard, Michel & Karamé, Fréderic & Mutschler, Willi & Pfeifer, Johannes & Ratto, Marco & Rion, Normann & Villemot, Sébastien, 2024. "Dynare: Reference Manual, Version 6," Dynare Working Papers 80, CEPREMAP, revised Sep 2024.
    24. Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.
    25. Anna Mikusheva, 2014. "Estimation of dynamic stochastic general equilibrium models (in Russian)," Quantile, Quantile, issue 12, pages 1-21, February.
    26. Bai, Jushan & Wang, Peng, 2014. "Identification theory for high dimensional static and dynamic factor models," Journal of Econometrics, Elsevier, vol. 178(2), pages 794-804.
    27. 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.
    28. Zadrozny, Peter A., 2022. "Linear identification of linear rational-expectations models by exogenous variables reconciles Lucas and Sims," CFS Working Paper Series 682, Center for Financial Studies (CFS).
    29. 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.
    30. Andrzej Kociecki & Marcin Kolasa, 2013. "Global identification of linearized DSGE models," NBP Working Papers 170, Narodowy Bank Polski.
    31. Yasuo Hirose & Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2022. "Estimating a Behavioral New Keynesian Model with the Zero Lower Bound," CARF F-Series CARF-F-535, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    32. Iskrev, Nikolay, 2019. "What to expect when you're calibrating: Measuring the effect of calibration on the estimation of macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 99(C), pages 54-81.
    33. 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.
    34. Tan, Fei, 2017. "An analytical approach to new Keynesian models under the fiscal theory," Economics Letters, Elsevier, vol. 156(C), pages 133-137.
    35. 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.
    36. Morris, Stephen D., 2020. "Is the Taylor principle still valid when rates are low?," Journal of Macroeconomics, Elsevier, vol. 64(C).
    37. Szabolcs Deak & Paul Levine & Afrasiab Mirza & Son Pham, 2023. "Negotiating the Wilderness of Bounded Rationality through Robust Policy," School of Economics Discussion Papers 0223, School of Economics, University of Surrey.
    38. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "Testing DSGE Models by indirect inference: a survey of recent findings," Cardiff Economics Working Papers E2018/14, Cardiff University, Cardiff Business School, Economics Section.
    39. Enrique Martínez García, 2020. "A Matter of Perspective: Mapping Linear Rational Expectations Models into Finite-Order VAR Form," Globalization Institute Working Papers 389, Federal Reserve Bank of Dallas.
    40. Pedro Chaim & Márcio Poletti Laurini, 2022. "Data Cloning Estimation and Identification of a Medium-Scale DSGE Model," Stats, MDPI, vol. 6(1), pages 1-13, December.
    41. 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.
    42. Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
    43. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.
    44. Meyer-Gohde, Alexander & Tzaawa-Krenzler, Mary, 2023. "Sticky information and the Taylor principle," IMFS Working Paper Series 189, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    45. Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
    46. Morris, Stephen D., 2016. "VARMA representation of DSGE models," Economics Letters, Elsevier, vol. 138(C), pages 30-33.
    47. 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.
    48. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.
    49. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers 21/13, Institute for Fiscal Studies.
    50. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.

Chapters

  1. Denis Tkachenko & Zhongjun Qu, 2012. "Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)," Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 319-385, Emerald Group Publishing Limited.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-INT: International Trade (1) 2015-02-22

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