Recent vector autoregression (VAR) studies have shown that monetary policy shocks have had a reduced effect on the economy since the beginning of the 1980s. This paper investigates the causes of this change. First, we estimate an identified VAR over the pre- and post-1980 periods, and...

The art of fitting gamma distributions robustly is described. In particular we compare methods of fitting via minimizing a Cramér Von Mises distance, an L <Subscript>2</Subscript> minimum distance estimator, and fitting a B-optimal M-estimator. After a brief prelude on robust estimation explaining the merits in terms...</subscript>

This paper aims to contribute to our understanding of inflation dynamics in the United Kingdom by estimating two dynamic stochastic general equilibrium models and assessing the role of nominal and real rigidities within them. We first obtain an empirical representation of the monetary...

This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.