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DSGE Models in Macroeconomics
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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...
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29 November 2012

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.
Price: $236.99
Pages: 467
Publisher: Emerald Group Publishing Limited
Imprint: Emerald Group Publishing Limited
Series: Advances in Econometrics
Publication Date:
29 November 2012
ISBN: 9781781903056
Format: Hardcover
BISACs:
BUSINESS & ECONOMICS / Economics / Macroeconomics, Macroeconomics, Econometrics & economic statistics
List of Contributors.
Introduction.
The Modeling of Expectations in Empirical DSGE Models: A Survey.
Optimal Monetary Policy in an Estimated Local Currency Pricing Model.
News, Non-Invertibility, and Structural VARs.
Bayesian Estimation of NOEM Models: Identification and Inference in Small Samples.
Fitting U.S. Trend Inflation: A Rolling-Window Approach.
Expectation Formation and Monetary DSGE Models: Beyond the Rational Expectations Paradigm.
Approximation Properties of Laplace-Type Estimators.
Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007).
On the Estimation of Dynamic Stochastic General Equilibrium Models: An Empirical Likelihood Approach.
Structural Estimation of the New-Keynesian Model: A Formal Test of Backward- and Forward-Looking Behavior.
DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments.
Advances in Econometrics.
Advances in Econometrics.
Copyright page.