The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
Open accessAbstract
This article studies the pruned state-space system for higher-order perturbation approximations to dynamic stochastic general equilibrium (DSGE) models. We show the stability of the pruned approximation up to third order and provide closed-form expressions for first and second unconditional moments and impulse response functions. Our results introduce generalized method of moments (GMM) estimation and impulse-response matching for DSGE models approximated up to third order and provide a foundation for indirect inference and simulated method of moments (SMM). As an application,we consider a New Keynesian model with Epstein–Zin preferences and two novel feedback effects from long-term bonds to the real economy, allowing us to match the level and variability of the |$10$|-year term premium in the U.S. with a low relative risk aversion of |$5$|.
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Cites
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
Christiano, L. J., Eichenbaum, M., & Evans, C. L. (2005) · Journal of Political Economy · doi:10.1086/426038 · Cited by 6,238
Barsky, R. B., Juster, F. T., Kimball, M. S., & Shapiro, M. D. (1997) · The Quarterly Journal of Economics · doi:10.1162/003355397555280 · Cited by 2,400
Metadata
- Authors
- Andreasen, M. M., Fernández-Villaverde, J., & Rubio-Ramírez, J. F.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2017-06-28
- Volume
- 85
- Issue
- 1
- Pages
- 1-49
- ISSN
- 0034-6527 (ISSN-L)
- 1467-937X
- OpenAlex
- W2923803554
- Cited by
- 167
- References
- 2
- FWCI
- 25.88
- Type
- journal article
- Language
- en
- Open access
- gold
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- Andreasen, M. M., Fernández-Villaverde, J., & Rubio-Ramírez, J. F. (2018). The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. The Review of Economic Studies. https://doi.org/10.1093/restud/rdx037
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