A Method for Taking Models to the Data

By Peter N. Ireland. 2004

488 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3ae4b485dbb73f135a0d896706f0c8f6c1d09d02

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In Economics and Econometrics

Citations in the corpus

Is Inflation Persistence Intrinsic in Industrial Economies? (2003, unknown): “Other authors generate inflation persistence through the data generating process for the structural shocks hitting the economy; cf. Rotemberg and Woodford (1997), Dittmar, Gavin and Kydland (2001), Ireland (2003).”
OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS (2009, background): “…(augmenting a theory-based model with measurement errors goes back to Sargent, 1989; see also Altug, 1989, and the literature mentioned therein; Ireland, 2004, and the literature mentioned therein; for an explicit link to factor models see Giannone, Reichlin, and Sala, 2006; Boivin and…”
The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach (2010, methodology): “Factor models like FGLR are compatible with neoclassic or neo-Keynesian DSGE models augmented with measurement errors (see Sargent, 1989; Altug, 1989; Ireland, 2004 and the literature mentioned therein).”
No News in Business Cycles (2014, unknown): “7Altug, (1989), Sargent, (1989), and Ireland (2004) show that the model can be interpreted as the linear solution of a DSGE model with measurement error. f1t, f2t, · · · , frt, not depending on i: χit = a1if1t + a2if2t + · · ·+ arifrt = aift.”
Endogenous Money or Sticky Prices? (2002, methodology): “The model’s solution takes the form of a state-space econometric model, driven by the five exogenous shocks at; et; xt; zt; and vt: Hence, its parameters may be estimated via maximum likelihood, using the methods outlined by Hamilton (1994, Ch. 13), with data on as many as five variables, while stil”
DSGE Models and Central Banks (2009, methodology): “Measurement Errors This is the procedure originally proposed by Sargent (1989) and more recently emphasised in the DSGE literature by Ireland (2004).”
Post Walrasian Macroeconomics: Confronting the Economic Model with the Data (2006, methodology): “The papers by Soderlind (1999) and Ireland (2001, 2004) suggest a particular method for taking a DSGE model to the data.”
The Bank of England Quarterly Model (2005, methodology): “However, Ireland (2004) suggests that we interpret the errors as ad hoc processes to make up for the misspecification of the model in fitting the data to y, by allowing D and cov(et) to have non-zero off-diagonal elements.”
Labor Market Reform and Price Stability: An Application to the Euro Area (2009, background): “Equations (14) and (15) jointly determine the firm’s real marginal cost, φt, and reservation productivity, zR t , given the evolution of the aggregate variables At, θt and ct.”
Remittances and the Dutch disease (2009, unknown): “[17] Ireland, P.”
Why Does Private Consumption Rise After a Government Spending Shock (2007, unknown): “…square root of the diagonal elements of the inverted Hessian of the (negative) log likelihood function evaluated 12The addition of measurement errors to get around the singularity problem has been done by McGrattan, Rogerson, and Wright (1997), Ireland (1999), and Bouakez (2004). at the maximum.”