The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications (REStud 2018)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Martin M. Andreasen, Jesus Fernandez-Villaverde, Juan F. Rubio-Ramírez The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications REStud 2018 1 1-49 C15, C53, E30 Epstein–Zin preferences, Feedback-effects from long-term bonds, Higher-order perturbation approximation, Yield curve

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 1 - accessible on journal website 1 - accessible on journal website Dynamic stochastic general equilibrium (DSGE), Impulse response function (IRF), Generalized method of moments (GMM) - average weekly hours of production, non-supervisory employees in manufacturing, from, US Bureau of Labor Statistics (BLS), real consumption expenditures, real private fixed investment, government consumption expenditures and investments, gross domestic production, annual inflation rate for consumer prices, 3-month nominal interest rate, 10-year nominal rate, 1961Q3-2007Q4 USA Fortran, MATLAB, Dynare

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.1093/restud/rdx037 IDEAS: a/oup/restud/v85y2018i1p1-49..html EconPapers: RePEc:oup:restud:v:85:y:2018:i:1:p:1-49.


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