کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099318 | 1376999 | 2011 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Phenomena such as the Great Moderation have increased the attention of macroeconomists towards models where shock processes are not (log-)normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime shifts. We first show that, up to a second-order approximation using perturbation methods, regime switching in the variances has an impact only on the intercept coefficients of the decision rules. We then demonstrate how to derive the exact model likelihood for the second-order approximation of the solution when there are as many shocks as observable variables. We illustrate the applicability of the proposed solution and estimation methods in the case of a small DSGE model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 12, December 2011, Pages 2167-2185
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 12, December 2011, Pages 2167-2185
نویسندگان
Gianni Amisano, Oreste Tristani,