Comparing Dynamic Equilibrium Models to Data

By Jesús Fernández-Villaverde, Juan F. Rubio-Ramirez. 2001

54 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7feac3a9d41769c9c14b601bb44c4f08f4332b21

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In Economics and Econometrics

Citations in the corpus

Comparing Solution Methods for Dynamic Equilibrium Economies (2006, methodology): “−∞ £ Uc(kt+1, zt+1)(1 + αe zt+1kα−1 t+1 l(kt+1, zt+1) 1−α − δ)¤ exp(−2t+1 2σ2 )d2t+1 (18) where Uc(t) = Uc(kt, zt), kt+1 = et+1k t l 1−α t + (1− δ)kt − c(kt, zt) and zt+1 = ρzt + 2t+1.”
Imperfect Information, Real‐Time Data and Monetary Policy in the Euro Area (2012, unknown): “Following Fernández-Villaverde and Rubio-Ramı́rez (2004), we rely on the marginal data density (MDD) as the measure of fit.”
Predictive density and conditional confidence interval accuracy tests (2006, background): “Schorfheide (2000), Fernandez-Villaverde and Rubio-Ramirez (2004), and Chang, Gomes and Schorfheide (2002)). For example, Fernandez-Villaverde and Rubio-Ramirez (2004) show that the KLIC-best model is also the model with the highest posterior probability.”
Combining inflation density forecasts (2010, background): “Measures in terms of the KLIC have also a Bayesian interpretation as the KLIC-best model is also the model with the highest posterior probability (Fernández-Villaverde and Rubio-Ramirez, 2004).”
Testing for Indeterminacy: An Application to U. S. Monetary Policy (2007, unknown): “…by deriving a large sample approximation of f ?,(, of imposing MIYT)p(O, M) dO dM as in Peter C. B. Phillips (1996), Jae-Young Kim (1998), and Jesus Fernandez-Villaverde and Rubio-Ramirez (2004) and then applying the argument in Edward J. Hannan (1980) to treat the identification problem that…”