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DSGE model estimation on the basis of second-order approximation
Ivashchenko, Sergey - In: Computational economics 43 (2014) 1, pp. 71-82
Persistent link: https://www.econbiz.de/10010249722
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Estimation and filtering of nonlinear MS-DSGE models
Ivashchenko, Sergey - 2016
Persistent link: https://www.econbiz.de/10011551520
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A note on functional equivalence between intertemporal and multisectoral investment adjustment costs
Ivashchenko, Sergey; Mutschler, Willi - 2016
Persistent link: https://www.econbiz.de/10011569488
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The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models
Ivashchenko, Sergey; Mutschler, Willi - In: Economic modelling 88 (2020), pp. 280-292
Persistent link: https://www.econbiz.de/10012417223
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Forecasting of Nonlinear DSGE Model
Ivashchenko, Sergey - 2014
A medium-scale nonlinear DSGE model is estimated (54 variables, 29 state variables, 7 observed variables). The model includes stock market. RMSE of in sample and out of sample forecasts are calculated. The nonlinear DSGE model with measurement errors outperform AR(1), VAR(1), linearized DSGE in...
Persistent link: https://www.econbiz.de/10013055171