DSGE models in macroeconomics : estimation, evaluation, and new developments / edited by Nathan Balke ... [et al.].

Format:

Book

Contributor:

Balke, Nathan S.

Canova, Fabio.

Milani, Fabio.

Wynne, Mark A.

Series:

Advances in econometrics ; v. 28.

Advances in econometrics, 0731-9053 ; v. 28

Language:

English

Subjects (All):

Macroeconomics.

Equilibrium (Economics).

Econometrics.

Physical Description:

1 online resource (480 p.)

Edition:

1st ed.

Place of Publication:

Bingley : Emerald, 2012.

Language Note:

English

Summary:

This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analyzing a variety of issues in empirical macroeconomics. The research articles make contributions in several key areas in DSGE modeling and estimation. In particular, papers cover the modeling and role of expectations, the study of optimal monetary policy in two-country models, and the problem of non-invertibility. Other interesting areas of inquiry include the analysis of parameter identification in new open economy macroeconomic models and the modeling of trend inflation shocks. The second part of the volume is devoted to articles that offer innovations in econometric methodology. These papers advance new techniques for addressing major inferential problems and include discussion and applications of Laplace-type, frequency domain, empirical likelihood and method of moments estimators.

Contents:

Introduction / Juan Carlos Escanciano ... [et al.]

The modeling of expectations in empirical DSGE models : a survey / Fabio Milani

Optimal monetary policy in an estimated local currency pricing model / Eiji Okano ... [et al.]

News, non-invertibility, and structural VARs / Eric R. Sims

Bayesian estimation of NOEM models : identification and inference in small samples / Enrique Martínez-García, Diego Vilán, Mark A. Wynne

Fitting U.S. trend inflation : a rolling-window approach / Efrem Castelnuovo

Expectation formation and monetary DSGE models : beyond the rational expectations paradigm / Fabio Milani, Ashish Rajbhandari

Approximation properties of Laplace-type estimators / Anna Kormilitsina, Denis Nekipelov

Frequency domain analysis of medium scale DSGE models with application to Smets and Wouters (2007) / Denis Tkachenko, Zhongjun Qu

On the estimation of dynamic stochastic general equilibrium models : an empirical likelihood approach / Sara Riscado

Structural estimation of the new-Keynesian model : a formal test of backward- and forward-looking behavior / Tae-Seok Jang.

Notes:

Description based upon print version of record.

Includes bibliographical references.

Print version record

ISBN:

9781283868921

128386892X

9781781903063

1781903069

OCLC:

823723181