References contributed by pco326-4841
- Adolfson, Malin, Jesper Linde, and Mattias Villani, Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model, Econometric Reviews, 2007, 26 (2-4), 289-328.
Paper not yet in RePEc: Add citation now
An, Sungbae and Frank Schorfheide, Bayesian Analysis of DSGE Models, Econometric Reviews, 2007, 26 (2-4), 113-172.
- Aruoba, S. Boragan and Frank Schorfheide, Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-offs, American Economic Journal: Macroeconomics, 2010, forthcoming.
Paper not yet in RePEc: Add citation now
Bernanke, Ben S., Mark Gertler, and Simon Gilchrist, The Financial Accelerator in a Quantitative Business Cycle Framework, in John B. Taylor and Michael Woodford, eds., Handbook of Macroeconomics, Vol. 1C, Amsterdam: North-Holland, 1999, chapter 21, pp. 1341-93. Cai, Michael, Marco Del Negro, Marc P. Giannoni, Abhi Gupta, Pearl Li, and Erica Moszkowski, DSGE Forecasts of the Lost Recovery, International Journal of Forecasting, forthcoming.
Bernanke, Ben, Mark Gertler, and Simon Gilchrist, The Financial Accelerator in a Quantitative Business Cycle Framework, in John Taylor and Michael Woodford, eds., Handbook of Macroeconomics, Vol. 1, Amsterdam: North Holland, 1999, chapter 21, pp. 1341-1393.
- Cappe, Olivier, Eric Moulines, and Tobias Ryden, Inference in Hidden Markov Models, Springer Verlag, New York, 2005.
Paper not yet in RePEc: Add citation now
Carlstrom, Charles T., Timothy S. Fuerst, and Matthias Paustian, Inflation and Output in New Keynesian Models with a Transient Interest Rate Peg, Journal of Monetary Economics, December 2015, 76, 230-243.
- Chopin, Nicolas, Central Limit Theorem for Sequential Monte Carlo Methods and its Application to Bayesian Inference, Annals of Statistics, 2004, 32 (6), 2385-2411.
Paper not yet in RePEc: Add citation now
Chopin, Nicolas, A Sequential Particle Filter for Static Models, Biometrika, 2002, 89 (3), 539-551.
Christiano, Lawrence J., Martin Eichenbaum, and Charles L. Evans, Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy, Journal of Political Economy, 2005, 113, 1-45.
- Christiano, Lawrence J., Roberto Motto, and Massimo Rostagno, Financial Factors in Economic Fluctuations, Manuscript, Northwestern University and European Central Bank, 2009.
Paper not yet in RePEc: Add citation now
Christiano, Lawrence J., Roberto Motto, and Massimo Rostagno, Risk Shocks, American Economic Review, 2014, 104 (1), 27-65.
Christiano, Lawrence J., Roberto Motto, and Massimo Rostagno, The Great Depression and the Friedman-Schwartz Hypothesis, Journal of Money, Credit and Banking, 2003, 35, 1119-1197.
Christoffel, Kai, Gunter Coenen, and Anders Warne, Forecasting with DSGE Models, in Michael Clements and David Hendry, eds., Oxford Handbook on Economic Forecasting, Oxford University Press, 2011.
Creal, Drew, A Survey of Sequential Monte Carlo Methods for Economics and Finance, Econometric Reviews, 2012, 31 (3), 245-296.
- Creal, Drew, Sequential Monte Carlo Samplers for Bayesian DSGE Models, Manuscript, University Chicago Booth, 2007.
Paper not yet in RePEc: Add citation now
Del Negro, Marco and Frank Schorfheide, DSGE Model-Based Forecasting, in Graham Elliott and Allan Timmermann, eds., Handbook of Economic Forecasting, Volume 2, Elsevier, 2013.
Del Negro, Marco and Frank Schorfheide, Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities), Journal of Monetary Economics, 2008, 55 (7), 1191-1208.
Del Negro, Marco and Stefano Eusepi, Fitting Observed Inflation Expectations, Journal of Economic Dynamics and Control, 2011, 35, 2105-2131.
- Del Negro, Marco, Marc P. Giannoni, and Christina Patterson, The Forward Guidance Puzzle, FRBNY Staff report, 2012.
Paper not yet in RePEc: Add citation now
Del Negro, Marco, Marc P Giannoni, and Frank Schorfheide, Inflation in the Great Recession and New Keynesian Models, American Economic Journal: Macroeconomics, 2015, 7 (1), 168-196.
Diebold, Francis X., Frank Schorfheide, and Minshul Shin, Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility, Journal of Econometrics, 2017, 201 (2), 322-332.
Durham, Garland and John Geweke, Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments, in Ivan Jeliazkov and Dale Poirier, eds., Advances in Econometrics, Vol. 34, Emerald Group Publishing Limited, West Yorkshire, 2014, chapter 6, pp. 1-44.
Edge, Rochelle and Refet Gurkaynak, How Useful Are Estimated DSGE Model Forecasts for Central Bankers, Brookings Papers of Economic Activity, 2010, 41 (2), 209-259.
Gali, Jordi, Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press, 2008.
- Geweke, John and B. Frischknecht, Exact Optimization By Means of Sequentially Adaptive Bayesian Learning, Mimeo, 2014.
Paper not yet in RePEc: Add citation now
- Gordon, Neil, D.J. Salmond, and Adrian F.E. Smith, Novel Approach to Nonlinear/Non-Gaussian Bayesian State Estimation, Radar and Signal Processing, IEE Proceedings F, 1993, 140 (2), 107-113.
Paper not yet in RePEc: Add citation now
Graeve, Ferre De, The External Finance Premium and the Macroeconomy: US PostWWII Evidence, Journal of Economic Dynamics and Control, 2008, 32 (11), 3415 -3440.
- Greenwood, Jeremy, Zvi Hercowitz, and Per Krusell, Long-Run Implications of Investment-Specific Technological Change, American Economic Review, 1998, 87 (3), 342-36.
Paper not yet in RePEc: Add citation now
Herbst, Edward and Frank Schorfheide, Bayesian Estimation of DSGE Models, Princeton University Press, 2015.
Herbst, Edward and Frank Schorfheide, Sequential Monte Carlo Sampling for DSGE Models, Journal of Applied Econometrics, 2014, 29 (7), 1073-1098.
Herbst, Edward, Using the Chandrasekhar Recursions for Likelihood Evaluation of DSGE Models, Computational Economics, 2015, 45 (4), 693-705.
Jasra, Ajay, David A. Stephens, Arnaud Doucet, and Theodoros Tsagaris, Inference for Levy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo, Scandinavian Journal of Statistics, 2011, 38, 1-22.
- Laseen, Stefan and Lars E.O. Svensson, Anticipated Alternative Policy-Rate Paths in Policy Simulations, International Journal of Central Banking, 2011, 7 (3), 1-35.
Paper not yet in RePEc: Add citation now
- Liu, Jun S, Monte Carlo Strategies in Scientific Computing, Springer Verlag, New York, 2001.
Paper not yet in RePEc: Add citation now
- Moral, Pierre Del, Arnaud Doucet, and Ajay Jasra, An AdaptiveSequential Monte Carlo Method for Approximate Bayesian Computation, Statistical Computing, 2012, 22, 1009-1020.
Paper not yet in RePEc: Add citation now
Negro, Marco Del, Raiden B Hasegawa, and Frank Schorfheide, Dynamic prediction pools: an investigation of financial frictions and forecasting performance, Journal of Econometrics, 2016, 192 (2), 391-405.
- Romer, Paul, The trouble with macroeconomics, The American Economist, 2016, 20, 1-20.
Paper not yet in RePEc: Add citation now
Schafer, Christian and Nicolas Chopin, Sequential Monte Carlo on Large Binary Sampling Spaces, Statistical Computing, 2013, 23, 163-184.
Smets, Frank and Raf Wouters, An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area, Journal of the European Economic Association, 2003, 1 (5), 1123 - 1175.
Smets, Frank and Raf Wouters, Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach, American Economic Review, 2007, 97 (3), 586 - 606.
- Towns, J., T. Cockerill, M. Dahan, I. Foster, K. Gaither, A. Grimshaw, V. Hazlewood, S. Lathrop, D. Lifka, G. D. Peterson, R. Roskies, J. R. Scott, and N. Wilkins-Diehr, XSEDE: Accelerating Scientific Discovery, Computing in Science & Engineering, Sept.-Oct. 2014, 16 (5), 62-74.
Paper not yet in RePEc: Add citation now
Warne, Anders, Günter Coenen, and Kai Christoffel, Marginalized Predictive Likelihood Comparisons of Linear Gaussian State-Space Models with Applications to DSGE, DSGE-VAR, and VAR Models, Journal of Applied Econometrics, 2017, 32 (1), 103-119.
Wolters, Maik, Evaluating Point and Density Forecasts of DSGE Models, Journal of Applied Econometrics, 2015, 30 (1), 74-96.
- Woodford, Michael, Interest and Prices: Foundations of a Theory of Monetary Policy, Princeton University Press, 2003.
Paper not yet in RePEc: Add citation now
- Zhou, Yan, Adam M. Johansen, and John A.D. Aston, Towards Automatic Model Comparison: An Adaptive Sequential Monte Carlo Approach, arXiv Working Paper, 2015, 1303.3123v2.
Paper not yet in RePEc: Add citation now