A Bayesian approach to dynamic macroeconomics

By D. Dejong, Beth F. Ingram, Charles H. Whiteman. 2000

253 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/914473b43bcafddbe8de7a4634e1461da709bea9

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In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

Does inflation increase after a monetary policy tightening? Answers based on an estimated DSGE model ☆ (2007, methodology): “4An early contribution to estimating DSGE models with Bayesian methods is DeJong et al. (2000).”
On the Fit of New Keynesian Models (2007, background): “In fact, an assessment of their forecasting performance was typically considered futile (an exception being DeJong, Ingram, and Whiteman 2000).”
An estimated dynamic stochastic general equilibrium model of the euro area. NBB Working Paper Nr. 35 (2002, unknown): “…of the costs is preferable above a speci cation with costs in terms of a higher depreciation rate (see King and Rebelo 2000; or Greenwood, Hercowitz, and Huffman 1988; DeJong, Ingram, and Whiteman 2000) because the costs are expressed in terms of consumption goods and not in terms of capital goods.”
Methods to Estimate Dynamic Stochastic General Equilibrium Models (2007, methodology): “…to the mode of the log of the posterior distribution f(µj@T ): However, under the assumption of Gaussianity, the mode corresponds exactly to the mean and, consequently, the point estimate of µ obtained here is the same as the one obtained using the approach in DeJong, Ingram, and Whiteman (2000).”
An Estimated Stochastic Dynamic General Equilibrium Model of the Euro Area (2002, unknown): “…costs is preferable above a specification with costs in terms of a higher depreciation rate (see King and Rebelo (2000), or Greenwood, Hercowitz, and Huffman (1988), Dejong, Ingram and Whiteman (2000) ) because the costs are expressed in terms of consumption goods and not in terms of capital goods.”
The Cyclical Behavior of Skill Acquisition (2001, methodology): “(For further details, see DeJong, Ingram, and Whiteman, 2000a .) The methodology involves coupling the likelihood function associated with the theoretical model with a prior distribution specified over the parameters of the modelto obtain a posterior distribution of these parameters.”
Estimating Macroeconomic Models: A Likelihood Approach (2007, unknown): “√ 1−λt+1 = b λt+1 ,w e rewrite ( 11 ) as: Uc,t = β”
Bayesian stochastic search for VAR model restrictions (2008, background): “(2001) and Clyde and George (2004). It should be emphasized that our proposed restriction selection approach for overparametrized VARs is only meant for those settings where a restricted VAR would ultimately be a satisfactory model for the data.”
Comparing Dynamic Equilibrium Models to Data (2001, unknown): “lim T→∞ P T 0 ¡ ̄̄ f ¡ Y T |i¢ ̄̄ = 0¢ = 0 (7)”
A Method for Taking Models to the Data (2004, background): “In fact, Bencivenga (1992), Ireland (1997, 2001a, b, 2002), DeJong et al. (2000a, b), Kim (2000), and Schorfheide (2000) all take exactly this approach.”