Limited Information Estimation and Evaluation of DSGE Models. Working paper #6

By Martin Fukac̆, Adrian R. Pagan. 2006

66 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/add6a283d26f9efa2a70560d10cf47566eb5ddf3

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In Economics and Econometrics

Citations in the corpus

Oil Shocks and External Adjustment (2007, background): “An extensive literature (mainly empirical) has attempted to identify the effects of energy supply shocks on real output and prices, and how monetary policy may influence the response; examples include Hamilton (1983), Hamilton (2003), Kilian (2006), Cavallo and Wu (2006), Bernanke, Gertler, and Wats”
A Third Wave in the Economics of Climate Change (2015, background): “Calibrating and estimating DSGE models can be a controversial exercise (Faglio and Roventini 2012; Grauwe 2010; Fukač and Pagan 2010; Canova and Sala 2009; Canova 2008).”
Evolution of modeling of the economics of global warming: changes in the DICE model, 1992–2017 (2018, background): “For a general treatment, see Hansen and Heckman (1996) or Fukač and Pagan (2010). There have been virtually no successful examples of the use of statistical calibration techniques for IAMs. One exception to this issue is research of Dale Jorgenson and colleagues in their IGEMmodel. In their case, th”
Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve (2014, methodology): “Therefore, the relationship between VAR-ML and VAR-MD is analogous to the relationship between limited information maximum likelihood (LIML) and two stage least squares (2SLS), respectively, in the linear IV regression model (Fukač and Pagan, 2010).”
Business cycle measurement with some theory (2011, background): “Fukac and Pagan (2010) suggest to evaluate business cycle models using limited information methods but consider quantitative restrictions on single equations of the model while the focus here is on qualitative implications induced by certain disturbances.”
The rebuilding macroeconomic theory project: an analytical assessment (2018, background): “Policy models should focus on issues that are 41 There are a number of other difficulties; some solutions to the problems are offered by Fukac and Pagan (2010).”