Estimating Macroeconomic Models: A Likelihood Approach

By Jesús Fernández-Villaverde, Juan F. Rubio-Ramirez. 2007

346 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/21a011965057c00eb1af1b398b8549deb6cf81e9

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In Economics and Econometrics

Citations in the corpus

Nonlinear Adventures at the Zero Lower Bound (2012, neutral): “Third, we could mix our solution with a particle filter to build the likelihood function for estimation as in Fernández-Villaverde and Rubio-Ramírez (2007). Estimating this class of models with a full-likelihood approach is promising (Gust et al.”
How to Estimate a VAR after March 2020 (2020, neutral): “…recently been adopted in the context of VARs, unobserved component or DSGE models (e.g. Cogley and Sargent, 2005, Primiceri, 2005, Sims and Zha, 2006, Carriero et al., 2016, Stock and Watson, 2007, Fernandez-Villaverde and Rubio-Ramirez, 2007, Justiniano and Primiceri, 2008, Curdia et al., 2014).”
How to Maximize the Likelihood Function for a DSGE Model (2010, neutral): “This feature is convenient if the likelihoodfunctionisevaluatedbyaparticlefilter,wheretheresamplingstepgenerates discontinuities in the likelihood function ( Fernandez-Villaverde and Rubio-Ramirez 2007; Rossi 2004).”
Perturbation Methods for Markov-Switching DSGE Models (2014, neutral): “Markov switching has been introduced as an essential ingredient to a large class of models usable for analyzing structural breaks in the economy and regime shifts in policy, ranging from backward-looking models (Hamilton (1989) and Sims and Zha (2006)) to forwardlooking rational expectations models ”
Size, Trend, and Policy Implications of the Underground Economy (2014, neutral): “A common solution in the empirical literature is to recur to Bayesian methods and, in particular, to MCMC algorithms (see e.g. Canova and Sala, 2009; Fernandez-Villaverde and Rubio-Ramirez, 2007).”
Investment Shocks and Asset Prices (2011, neutral): “In the first scenario, I choose a conservative value of σZ,I = 4.5% based on the estimates of Fernandez-Villaverde and Rubio-Ramirez (2007).”
Macroeconomics and Volatility: Data, Models, and Estimation (2010, positive): “Here, we show it does not even save time when estimating the model. the particle …lter, as described, for example, in Fernández-Villaverde and Rubio-Ramírez (2005 and 2007) (see also the technical appendix to Fernández-Villaverde and Rubio-Ramírez, 2007, for alternative algorithms).”
The Pass-Through of Sovereign Risk (2016, neutral): “…impact of credit market interventions.4 Methodologically, I draw from the literature on the Bayesian estimation of dynamic equilibrium economies (Del Negro and Schorfheide 2011), more specifically of models in which nonlinearities feature prominently (Fernández-Villaverde and Rubio-Ramírez 2007).”
A quasi-Bayesian local likelihood approach to time varying parameter VAR models (2019, neutral): “The alternative approach of specifying processes for the drifting parameters in a DSGE context has been applied for instance by Fernandez-Villaverde and Rubio-Ramirez (2008). The main advantage of their approach is that agents populating the model take into account the parametersstochastic processe”