Econometric Analysis of Linearized Singular Dynamic Stochastic General Equilibrium Models

@inproceedings{Bierens2005EconometricAO,
  title={Econometric Analysis of Linearized Singular Dynamic Stochastic General Equilibrium Models},
  author={Herman J. Bierens},
  year={2005}
}
In this paper I propose an alternative to calibration of linearized singular dynamic stochastic general equilibrium models. Given an a-theoretical econometric model as a representative of the data generating process, I will construct an information measure which compares the conditional distribution of the econometric model variables with the corresponding singular conditional distribution of the theoretical model variables. The singularity problem will be solved by using convolutions of both… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 32 references

Higher Order Autocorrelations and the Unit Root Hypothesis

  • H. J. Bierens
  • Journal of Econometrics
  • 1993
Highly Influential
9 Excerpts

A Method for Taking Models to the Data, Journal of Economic Dynamics and Control (forthcoming)

  • P. N. Ireland
  • 2003
Highly Influential
3 Excerpts

A Simplex Method for Function Minimization

  • J. A. Nelder, R. Mead
  • Computer Journal
  • 1965
Highly Influential
2 Excerpts

EasyReg International, Pennsylvania State University (http://econ.la.psu.edu/~hbierens/EASYREG.HTM)

  • H. J. Bierens
  • 2003
1 Excerpt

Labor Market Friction and Endogenous Business Cycle Propagation (paper presented at ESEM 2003, Stockholm)

  • S. Ambler, A. Guay, L. Phaneuf
  • 2003
2 Excerpts

Similar Papers

Loading similar papers…