Methods to Estimate Dynamic Stochastic General Equilibrium Models

By Francisco J. Ruge-Murcia. 2007

248 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/f910ecf80c5071da09a96781bb1a9fb16e9a28fe

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In Economics and Econometrics

1. Jakob Grazzini
2. Matteo G. Richiardi
3. C. Tovar
4. R. Franke
5. Frank H. Westerhoff

Citations in the corpus

• Applying the method of simulated moments to estimate a small agent-based asset pricing model☆ (2009, methodology): “20 Winker et al. (2007), in their MSM study of a simple GARCH-model and a stochastic volatility model, use directly an average of several Hill estimators across different tail sizes as one of their moments.”
• Estimating Nonlinear DSGE Models by the Simulated Method of Moments (2010, unknown): “Hamilton (1991) and Ruge-Murcia (2007) study the application of this strategy for the estimation of mixtures of normal distributions and linearized DSGE models, respectively.”
• Estimation of ergodic agent-based models by simulated minimum distance (2015, methodology): “…on the real and the artificial data is matching the impulse responses of the DSGE model with those predicted by a VAR estimated on the real data.19 Ruge-Murcia (2007) compares these techniques (and GMM) to ML estimation on a simple onesector real business cycle model by means of Monte Carlo…”
• THE TRANSMISSION OF MONETARY POLICY IN A MULTISECTOR ECONOMY (2009, unknown): “Substituting the government budget constraint (14) into this equation and multiplying through by the price level deliver”
• DSGE Models and Central Banks (2009, methodology): “…minimum distance estimation based on the discrepancy between VAR and DSGE impulse response functions, maximum likelihood and Bayesian methods (see Canova (2007), DeJong and Dave (2007), An and Shorfheide (2007), Ruge-Murcia (2007) and Favero (2001) for detailed reviews of the different approaches).”
• Testing for Indeterminacy: An Application to U. S. Monetary Policy (2007, unknown): “Francisco Ruge-Murcia (2002) provides some simulation evidence.”