Structural macroeconometrics:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2011
|
| Edition: | 2. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVI, 418 S. graph. Darst. |
| ISBN: | 9780691152875 |
Staff View
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| 245 | 1 | 0 | |a Structural macroeconometrics |c David N. DeJong and Chetan Dave |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Princeton, NJ [u.a.] |b Princeton Univ. Press |c 2011 | |
| 300 | |a XVI, 418 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 650 | 4 | |a Macroeconomics | |
| 650 | 4 | |a Macroeconomics |x Econometric models | |
| 650 | 4 | |a Macroéconomie | |
| 650 | 4 | |a Macroéconomie |x Modèles économétriques | |
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Record in the Search Index
| _version_ | 1804148333759954944 |
|---|---|
| adam_text | Contents
Preface
xiii
Preface
to the First Edition
xv
Part I Introduction
1
Background and Overview
3
1.1
Background
3
1.2
Overview
4
2
Casting Models in Canonical Form
9
2.1
Notation
9
2.1.1
Log-Linear Model Representations
11
2.1.2
Nonlinear Model Representations
11
2.2
Linearization
12
2.2.1
Taylor Series Approximation
12
2.2.2
Log-Linear Approximations
14
2.2.3
Example Equations
15
3
DSGE Models: Three Examples
18
3.1
Model I: A Real Business Cycle Model
20
3.1.1
Environment
20
3.1.2
The Nonlinear System
23
3.1.3
Log-Linearization
26
3.2
Model II: Monopolistic Competition and Monetary Policy
28
3.2.1
Environment
28
3.2.2
The Nonlinear System
33
3.2.3
Log-Linearization
34
3.3
Model III: Asset Pricing
38
3.3.1
Single-Asset Environment
38
3.3.2
Multi-Asset Environment
39
3.3.3
Alternative Preference Specifications
40
Part II Model Solution Techniques
4
Linear Solution Techniques
51
4.1
Homogeneous Systems
52
4.2
Example Models
54
4.2.1
The Optimal Consumption Model
54
4.2.2
Asset Pricing with linear Utility
55
4.2.3
Ramsey s Optimal Growth Model
56
viii Contents
4.3
Blanchard
and Kahn s Method
57
4.4
Sims Method
61
4.5
Klein s Method
64
4.6
An Undetermined Coefficients Approach
66
5
Nonlinear Solution Techniques
69
5.1
Projection Methods
71
5.1.1
Overview
71
5.1.2
Finite Element Methods
72
5.1.3
Orthogonal Polynomials
73
5.1.4
Implementation
74
5.1.5
Extension to the /-dimensional Case
78
5.1.6
Application to the Optimal Growth Model
79
5.2
Iteration Techniques: Value-Function and Policy-Function
Iterations
87
5.2.1
Dynamic Programming
87
5.2.2
Value-Function Iterations
89
5.2.3
Policy-Function Iterations
94
5.3
Perturbation Techniques
95
5.3.1
Notation
95
5.3.2
Overview
97
5.3.3
Application to DSGE Models
99
5.3.4
Application to an Asset-Pricing Model
105
Part
ΠΙ
Data Preparation and Representation
6
Removing Trends and Isolating Cycles
113
6.1
Removing Trends
115
6.2
Isolating Cycles
120
6.2.1
Mathematical Background
120
6.2.2
Cramer Representations
124
6.2.3
Spectra
125
6.2.4
Using Filters to Isolate Cycles
126
6.2.5
The Hodrick-Prescott Filter
128
6.2.6
Seasonal Adjustment
130
6.2.7
Band Pass Filters
131
6.3
Spuriousncss
134
7
Summarizing Time Series Behavior When All Variables
Are Observable
138
7.1
Two Useful Reduced-Form Models
139
7.1.1
The
ARMA
Model
139
7.1.2
Allowing for Heteroskedastk Innovations
145
7.1.3
The
VAR
Model
147
Contents ix
7.2
Summary Statistics
149
7.2.1
Determining Lag Lengths
157
7.2.2
Characterizing the Precision of Measurements
159
7.3
Obtaining Theoretical Predictions of Summary Statistics
162
8
State-Space Representations
166
8.1
Introduction
166
8.1.1
ARMA
Models
167
8.2
DSGE Models as State-Space Representations
169
8.3
Overview of Likelihood Evaluation and Filtering
171
8.4
The
Kalman
Filter
173
8.4.1
Background
173
8.4.2
The Sequential Algorithm
175
8.4.3
Smoothing
178
8.4.4
Serially Correlated Measurement Errors
181
8.5
Examples of Reduced-Form State-Space Representations
182
8.5.1
Time-Varying Parameters
182
8.5.2
Stochastic Volatility
185
8.5.3
Regime Switching
186
8.5.4
Dynamic Factor Models
187
Part IV Monte Carlo Methods
9
Monte Carlo Integration: The Basics
193
9.1
Motivation and Overview
193
9.2
Direct Monte Carlo Integration
196
9.2.1
Model Simulation
198
9.2.2
Posterior Inference via Direct Monte Carlo Integration
201
9.3
Importance Sampling
202
9.3.1
Achieving Efficiency: A First Pass
206
9.4
Efficient Importance Sampling
211
9.5
Markov Chain Monte Carlo Integration
215
9.5.1
The Gibbs Sampler
216
9.5.2
Metropolis-Hastings Algorithms
218
10
Likelihood Evaluation and Filtering in State-Space
Representations Using Sequential Monte Carlo Methods
221
10.1
Background
221
10.2
Unadapted Filters
224
10.3
Conditionally Optimal Filters
228
10.4
Unconditional Optimality: The
EIS
Filter
233
10.4.1
Degenerate Transitions
235
10.4.2
Initializing the Importance Sampler
236
10.4.3
Example
239
χ
Contents
10.5
Application
to
DSGE Models 241
10.5.1
Initializing the Importance Sampler
243
10.5.2
Initializing the Filtering Density
245
10.5.3
Application to the RBC Model
246
PartV Empirical Methods
11
Calibration
253
11.1
Historical Origins and Philosophy
253
11.2
Implementation
258
11.3
The Welfare Cost of Business Cycles
261
11.4
Productivity Shocks and Business Cycle Fluctuations
268
11.5
The Equity Premium Puzzle
273
11.6
Critiques and Extensions
276
11.6.1
Critiques
276
11.6.2
Extensions
279
12
Matching Moments
285
12.1
Overview
285
12.2
Implementation
286
12.2.1
The Generalized Method of Moments
286
12.2.2
The Simulated Method of Moments
294
12.2.3
Indirect Inference
297
12.3
Implementation in DSGE Models
300
12.3.1
Analyzing
Euler
Equations
300
12.3.2
Analytical Calculations Based on Linearized Models
301
12.3.3
Simulations Involving Linearized Models
306
12,3
A Simulations Involving Nonlinear Approximations
307
12.4
Empirical Application: Matching RBC Moments
308
13
Maximum Likelihood
314
13.1
Overview
314
13.2
Introduction and Historical Background
316
13.3
A Primer on Optimization Algorithms
318
13.3.1
Simplex Methods
319
13.3.2
Derivative-Based Methods
328
13.4
IU-Behaved likelihood Surfaces: Problems and Solutions
330
13.4.1
Problems
330
13.4.2
Solutions
331
13.5
Model Diagnostics and Parameter Stability
334
13.6
Empirical Application: Identifying Sources of Business
Cycle Fluctuations
337
14
Bayesian Methods
351
14.1
Overview of Objectives
351
14.2
Preliminaries
352
Contents xi
14.3
Using Structural Models as Sources of Prior Information
for Reduced-Form Analysis
355
14.4
Implementing Structural Models Directly
360
14.5
Model Comparison
361
14.6
Using an BBC Model as a Source of Prior Information
for Forecasting
364
14.7
Estimating and Comparing Asset-Pricing Models
373
14.7.1
Estimates
380
14.7.2
Model Comparison
384
References
387
Index
401
|
| any_adam_object | 1 |
| author | DeJong, David Neil Dave, Chetan |
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| author_variant | d n d dn dnd c d cd |
| building | Verbundindex |
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| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QC 300 QH 237 SK 980 |
| ctrlnum | (OCoLC)750810138 (DE-599)BVBBV039524238 |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| id | DE-604.BV039524238 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:05:28Z |
| institution | BVB |
| isbn | 9780691152875 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024376672 |
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| owner | DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-N2 DE-634 DE-2070s DE-11 DE-521 DE-384 DE-703 DE-Re13 DE-BY-UBR DE-M382 DE-739 DE-20 DE-188 DE-92 DE-19 DE-BY-UBM |
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| physical | XVI, 418 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Princeton Univ. Press |
| record_format | marc |
| spelling | DeJong, David Neil Verfasser (DE-588)170968820 aut Structural macroeconometrics David N. DeJong and Chetan Dave 2. ed. Princeton, NJ [u.a.] Princeton Univ. Press 2011 XVI, 418 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lehrbuch / Textbook - 28 Ökonometrie / Zeitreihenanalyse / Dynamisches Modell / Statistische Methode / Theorie Ökonometrisches Modell Kwantitatieve methoden. gtt Macro-economie. gtt Macroeconomics Macroeconomics Econometric models Macroéconomie Macroéconomie Modèles économétriques Makroökonomie (DE-588)4037174-8 gnd rswk-swf Stochastisches dynamisches System (DE-588)4305316-6 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Methode (DE-588)4038971-6 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd rswk-swf Makroökonomie (DE-588)4037174-8 s Ökonometrie (DE-588)4132280-0 s Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Ökonometrisches Modell (DE-588)4043212-9 s Methode (DE-588)4038971-6 s Stochastisches dynamisches System (DE-588)4305316-6 s Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 s DE-188 Dave, Chetan Verfasser (DE-588)173898912 aut Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024376672&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | DeJong, David Neil Dave, Chetan Structural macroeconometrics Lehrbuch / Textbook - 28 Ökonometrie / Zeitreihenanalyse / Dynamisches Modell / Statistische Methode / Theorie Ökonometrisches Modell Kwantitatieve methoden. gtt Macro-economie. gtt Macroeconomics Macroeconomics Econometric models Macroéconomie Macroéconomie Modèles économétriques Makroökonomie (DE-588)4037174-8 gnd Stochastisches dynamisches System (DE-588)4305316-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Methode (DE-588)4038971-6 gnd Ökonometrie (DE-588)4132280-0 gnd Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd |
| subject_GND | (DE-588)4037174-8 (DE-588)4305316-6 (DE-588)4067486-1 (DE-588)4043212-9 (DE-588)4038971-6 (DE-588)4132280-0 (DE-588)4210294-7 |
| title | Structural macroeconometrics |
| title_auth | Structural macroeconometrics |
| title_exact_search | Structural macroeconometrics |
| title_full | Structural macroeconometrics David N. DeJong and Chetan Dave |
| title_fullStr | Structural macroeconometrics David N. DeJong and Chetan Dave |
| title_full_unstemmed | Structural macroeconometrics David N. DeJong and Chetan Dave |
| title_short | Structural macroeconometrics |
| title_sort | structural macroeconometrics |
| topic | Lehrbuch / Textbook - 28 Ökonometrie / Zeitreihenanalyse / Dynamisches Modell / Statistische Methode / Theorie Ökonometrisches Modell Kwantitatieve methoden. gtt Macro-economie. gtt Macroeconomics Macroeconomics Econometric models Macroéconomie Macroéconomie Modèles économétriques Makroökonomie (DE-588)4037174-8 gnd Stochastisches dynamisches System (DE-588)4305316-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Methode (DE-588)4038971-6 gnd Ökonometrie (DE-588)4132280-0 gnd Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd |
| topic_facet | Lehrbuch / Textbook - 28 Ökonometrie / Zeitreihenanalyse / Dynamisches Modell / Statistische Methode / Theorie Ökonometrisches Modell Kwantitatieve methoden. Macro-economie. Macroeconomics Macroeconomics Econometric models Macroéconomie Macroéconomie Modèles économétriques Makroökonomie Stochastisches dynamisches System Zeitreihenanalyse Methode Ökonometrie Allgemeines Gleichgewichtsmodell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024376672&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT dejongdavidneil structuralmacroeconometrics AT davechetan structuralmacroeconometrics |