Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood
By Jesús Fernández-Villaverde, Juan F. Rubio-Ramirez. 2005
207 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/46e301433f24ca0b0df2898e7f207a910294728e
How researchers see this paper
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In Economics and Econometrics
- Siddhartha Chib
- Srikanth Ramamurthy
- Fabio Canova
- Luca Sala
- Fulvio Castellacci
- Martin Feldkircher
- G. Peersman
- Lutz Kilian
Citations in the corpus
- DSGE Models with Student-t Errors (2014, background): “(2005), Smets and Wouters (2003, 2007), Justiniano and Primiceri (2008), Fernandez-Villaverde and Rubio-Ramirez (2005), Sims, Waggoner and Zha (2008) and Chib and Ramamurthy (2010).”
- Estimating Macroeconomic Models: A Likelihood Approach (2007, unknown): “In Fernández-Villaverde and Rubio-Ramírez (2005), we document how those insights are quantitatively relevant for real-life applications.”
- Convergence Properties of the Likelihood of Computed Dynamic Models (2005, unknown): “Since the model is stationary, equation ( 14 ) holds for all t.”
- Forecasting with DSGE Models (2010, unknown): “We limit the scope of the paper to log-linearised DSGE models; and, hence, we neither consider DSGE-VARs, as in Del Negro and Schorfheide (2004), nor do we consider DSGE models based on higher-order approximations, as in Fernández-Villaverde and Rubio-Ramírez (2005).”
- Back to Square One: Identification Issues in DSGE Models (2009, background): “On the other hand, Fernandez-Villaverde and Rubio-Ramirez (2005) and An and Schorfheide (2007) have shown that second order approximations produce likelihood functions with better curvature than first order approximations.”
- Predictive Regressions: A Present-Value Approach (2010, unknown): “We stress again that there is a present-value (22)We refer to Fernández-Villaverde and Rubio-Ramı́rez (2004), Fernández-Villaverde, Rubio-Ramı́rez, and Santos (2006), and Fernández-Villaverde and Rubio-Ramı́rez (2006) for theoretical results related to maximum-likelihood estimation in linearized mod”