Andrews, D.W.K. (1987), “Asymptotic Results for Generalized Wald Tests,†Econometric Theory, 3, 348-358.
- Andrews, I. and A. Mikusheva (2014), “Maximum Likelihood Inference in Weakly Identiï¬ed Models,†forthcoming: Quantitative Economics.
Paper not yet in RePEc: Add citation now
Antoine, B., and E. Renault (2012), “Efficient Minimum Distance Estimation with Multiple Rates of Convergence,†Journal of Econometrics, 1709, 350-367.
Bao, Y. (2007), “The Approximate Moments of the Least Squares Estimator for the Stationary Autoregressive Model Under a General Error Distribution,†Econometric Theory, 23, 1013-1021.
Bao, Y., and A. Ullah (2007), “The Second-Order Bias and Mean Squared Error of Estimators in Time Series Models,†Journal of Econometrics, 140, 650-669.
- Benkwitz, A., M.H. Neumann, and H. Lütekpohl (2000), “Problems Related to Conï¬dence Intervals for Impulse Responses of Autoregressive Processes,†Econometric Reviews, 19, 69-103.
Paper not yet in RePEc: Add citation now
Canova, F., and L. Sala (2009), “Back to Square One: Identiï¬cation Issues in DSGE Models,†Journal of Monetary Economics, 56, 431-449.
Chernozhukov, V., and H. Hong (2003), “An MCMC Approach to Classical Estimation, †Journal of Econometrics, 196, 293-346.
Christiano, L.J., M. Eichenbaum and C. Evans (2005), “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,†Journal of Political Economy, 113, 1-45.
Christiano, L.J., M. Eichenbaum and M. Trabandt (2013), “Unemployment and Business Cycles,†unpublished manuscript, Northwestern University and Board of Governors of the Federal Reserve System.
Christiano, L.J., M. Eichenbaum and R.J. Vigfusson (2006), “Assessing Structural VARs,†Macroeconomics Annual 2006, Acemoglu, D., K. Rogoff and M. Woodford (eds.), MIT Press, Boston, MA.
- Christiano, L.J., M. Trabandt and K. Walentin (2011), “DSGE Models for Monetary Policy Analysis,†in: Friedman, B.M. and M. Woodford (eds.): Handbook of Monetary Economics, Volume 3A, North-Holland, Amsterdam.
Paper not yet in RePEc: Add citation now
DiCecio, R. (2005), “Comovement: It’s Not a Puzzleâ€, Working Paper 2005-035, Federal Reserve Bank of St. Louis.
DiCecio, R., and E. Nelson (2007), “An Estimated DSGE Model for the United Kingdomâ€, Review, Federal Reserve Bank of St. Louis, 89, 215-231.
Dridi, R., A. Guay, and E. Renault (2007), “Indirect Inference and Calibration of Dynamic Stochastic General Equilibrium Modelsâ€, Journal of Econometrics, 136, 397-430.
Dufour, J.M., and M. Taamouti (2005), “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments,†Econometrica, 73, 13511365.
Dupor, B., J. Han, and Y.C. Tsai (2007), “What Do Technology Shocks Tell Us about the New Keynesian Paradigm?â€, Journal of Monetary Economics 56, 560-569.
Fernandez-Villaverde, J., J.F. Rubio-Ramirez, T.J. Sargent and M.W. Watson (2007), “ABCs (and Ds) of Understanding VARs,†American Economic Review, 97, 10211026.
Hall, A.R., A. Inoue, J.M. Nason, and B. Rossi (2012), “Information Criteria for Impulse Response Function Matching Estimation of DSGE Models,†Journal of Econometrics, 170, 499-518.
- Hall, P. (1992), The Bootstrap and Edgeworth Expansion, Springer: New York.
Paper not yet in RePEc: Add citation now
Hall, P., and J.L. Horowitz (1996), “Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators,†Econometrica, 64, 891-916.
Iacoviello, M. (2005), “House Prices, Borrowing Constraints and Monetary Policy in the Business Cycle,†American Economic Review, 95, 739-764.
Inoue, A. and L. Kilian (2002), “Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models,†International Economic Review, 43, 309-332.
Inoue, A., and L. Kilian (2014), “Joint Conï¬dence Sets for Structural Impulse Responses, †manuscript, Vanderbilt University and University of Michigan.
- Jordà, Ò., and S. Kozicki (2011), “Estimation and Inference by the Method of Projection Minimum Distance,†International Economic Review, 52, 461-487.
Paper not yet in RePEc: Add citation now
Kim, J.Y. (2002), “Limited Information Likelihood and Bayesian Analysis,†Journal of Econometrics, 107, 175-193.
Klenow, P. J. and O. Kryvtsov (2008), “State-Dependent or Time-Dependent Pricing: Does It Matter for Recent U.S. Inflation?,†Quarterly Journal of Economics, 123, 863904.
Kormilitsina, A., and D. Nekipelov (2013), “Consistent Variance of the Laplace Type Estimators: Application to DSGE Models,†manuscript, Southern Methodist University.
- Lütkepohl, H. (1990), “Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models,†Review of Economics and Statistics, 72, 116-25.
Paper not yet in RePEc: Add citation now
- Magnus, J.R., and H. Neudecker (1999), Matrix Differential Calculus with Applications in Statistics and Econometrics, Revised Edition, Wiley, Chichester.
Paper not yet in RePEc: Add citation now
Nakamura, E. and J. Steinsson (2008), “Five Facts about Prices: A Reevaluation of Menu Cost Models,†Quarterly Journal of Economics, 123, 1415-1464.
- Newey, W.K. and D. McFadden (1994), “Large Sample Estimation and Hypothesis Testingâ€, in: R.F. Engle and D.L. McFadden, Handbook of Econometrics, Vol. 4, Elsevier.
Paper not yet in RePEc: Add citation now
Newey, W.K., and R.J. Smith (2004), “Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators,†Econometrica, 72, 219-255.
Qu, Z. (2014), “Inference in Dynamic Stochastic General Equilibrium Models with Possible Weak Identiï¬cation,†Quantitative Economics, 5, 457-494.
Rotemberg, J. and M.W. Woodford (1997), “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policyâ€, in: Bernanke, B., and J. Rotemberg (eds.), NBER Macroeconomics Annual, MIT Press, Cambridge, MA.
Sims, C.A., J.H. Stock and M.W. Watson (1990), “Inference in Linear Time Series Models with Some Unit Roots,†Econometrica, 58, 113-144.
Smets, F. and R. Wouters (2007), “Shocks and Frictions in U.S. Business Cycles: A Bayesian Approach,†American Economic Review 97, 586-606.
- Uribe, M., and V.Z. Yue (2006), “Country Spreads and Emerging Markets: Who Drives Whom?â€, Journal of International Economics 69, 6-36.
Paper not yet in RePEc: Add citation now
- Woodford, M. (2003), Interest and Prices: Foundations of a Theory of Monetary Policy. Princeton University Press, Princeton, NJ.
Paper not yet in RePEc: Add citation now