LecturesThese lectures will cover the estimation of linear and nonlinear dynamic equilibrium models. The first lecture will take place on Thursday, May 11 at 3:30 p.m. and will cover linear models. The second lecture will take place on Friday, May 12 at 3:30 p.m. and will cover nonlinear models. Each lecture will last about 75 minutes.SlidesSuggested ReadingsEstimation of Linear Dynamic Equilibrium Models: "Methods to Estimate Dynamic Stochastic General Equilibrium Models," F. Ruge-Murcia, Journal of Economic Dynamics and Control 31 (2007), pp. 2599-2636."A Method for Taking Models to the Data," by P. Ireland, Journal of Economic Dynamics and Control 28 (2004), pp. 1205-1226."Simulation Estimation of Time-Series Models," by B.-S. Lee and B. F. Ingram, Journal of Econometrics 47 (1991), pp. 197-205."GMM Estimation of DSGE Models," by F. Ruge-Murcia, Handbook of Research Methods and Applications in Empirical Macroeconomics (2013), pp. 464-486."Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," by A. A. Smith, Journal of Applied Econometrics 8 (1993), S63-S84.Estimation of Nonlinear Dynamic Equilibrium Models:
"Estimating Macroeconomic Models: A Likelihood Approach," J. Fernandez-Villaverde and J. Rubio-Ramirez, Review of Economic Studies 74 (2007), pp. 1059-1057."Estimating Nonlinear DSGE Models by the Simulated Method of Moments: With an Application to Business Cycles," "Indirect
Inference Estimation of Nonlinear Dynamic General Equilibrium Models:
With an Application to Asset Pricing under Skewness Risk," F. Ruge-Murcia, Manuscript, (2016).F. Ruge-Murcia, Journal of Economic Dynamics and Control 36 (2012), pp. 914-938. CodesReplication files for "Methods to Estimate Dynamic Stochastic General Equilibrium Models,” Journal of Economic Dynamics and Control 31 (2007), pp. 2599-2636. Methods (zip file)Replication files for "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models: With an Application to Asset Pricing under Skewness Risk". Monte-Carlo results: Table1 (zip file). Empirical application to asset pricing: Indirect (zip.file) |