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IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL ...
The likelihood of the parameters in structural macroeconomic models typically has non-identification regions over which it is constant. When sufficiently diffuse priors are... -
SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS (replication data)
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the... -
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANA...
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems,... -
RARE SHOCKS, GREAT RECESSIONS (replication data)
We estimate a DSGE (dynamic stochastic general equilibrium) model where rare large shocks can occur, by replacing the commonly used Gaussian assumption with a Student's... -
CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (replication data)
We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables... -
PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS (repli...
In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically,... -
ESTIMATING FISCAL LIMITS: THE CASE OF GREECE (replication data)
This paper uses Bayesian methods to estimate a real business cycle model that allows for interactions among fiscal policy instruments, the stochastic fiscal limit and sovereign... -
SALES, INVENTORIES AND REAL INTEREST RATES: A CENTURY OF STYLIZED FACTS (repl...
We use Bayesian time-varying parameter structural vector autoregressions with stochastic volatility to investigate changes in reduced-form and structural correlations between... -
POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PH...
Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips curve (NKPC)... -
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOL...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized... -
ENJOYING THE QUIET LIFE UNDER DEREGULATION? NOT QUITE (replication data)
Most empirical studies in the banking literature assume that the alternative profit function is linearly homogeneous in input prices. We show that such an assumption is... -
crs: A PACKAGE FOR NONPARAMETRIC SPLINE ESTIMATION IN R (replication data)
crs is a library for R written by Jeffrey S. Racine (Maintainer) and Zhenghua Nie. This add-on package provides a collection of functions for spline-based nonparametric...
