Estimating parameters of real business cycle models

Journal of Economic Behavior and Organization

Volumn 30, Issue 3, 1996, Pages 301-325

  Semmler, Will ^a   Gong, Gang ^a  

^a NONE

Author keywords

Calibration; Maximum likelihood; RBC models; Simulated annealing

Indexed keywords

EID: 0030240902     PISSN: 01672681     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-2681(96)00872-4     Document Type: Article

References (46)

1. Bartelsman, E.J., Canallero and R.K. Lyons, 1991, Short and long run externalities, NBER Working Paper Series, no: 3810.
2. Bartsekas, D.P., 1976, Dynamic programming and stochastic control, (Academic Press, New York, London).
3. Beveridge and Nelson, 1981, A new approach to the decomposition of economic time series into permanent and transitory components with particular attention to measuremnet of the business cycle, Journal of Monetary Economics, 7(2), 151-174.
4. Bils, M.J., 1987, Critical behaviour of marginal cost and price, The American Economic Review, 77, 835-855.
5. Blanchard, O., 1983, Debt and current account deficit in Brazil, In: P.A. Armella, R. Dornbusch and M. Obstfeld, Eds., Financial Policies and the World Capital Market: The Problem of Latin American Countries, (University of Chicago Press, Chicago).
6. Chow, G.C., 1987, Econometrics, (McGraw-Hill, New York).
7. Chow, G.C. 1991, Dynamic optimization without dynamic programming, Princeton University, Econometric Research Program, Research Memorandum, no. 361.
8. Chow, G.C., 1993, Stastical estimation and testing of a real business cycle model, Princeton University, Econometric Research Program, Research Memorandum, no. 365.
9. Christiano, L.J. and M. Eichenbaum, 1992, Current real business cycle theories and aggregate labor market fluctuations, American Economic Review, 431-472.
10. Cogley, T. and J.M. Nason, 1991, Effects of the Hodrick-Prescott filter on integrated time series, Journal of Economic Dynamics and Control, 19, 253-278.
11. Cogley, T. and J.M. Nason, 1995, Output dynamics in real business cycle models, American Economic Review, 58(3), 492-512.
12. Cooley, T.F., Ed., 1995, Frontiers in business cycle research, (Princeton University Press, Princeton, NJ).
13. Corana, A., C. Marchesi, S. Martini and Ridella, 1987, Minimizing multimodal functions of continous variables with the simulated annealing algorithm, ACM Transactions on Mathematical Software, 13, 262-280.
14. Citibase Database, 1991.
15. Danthine, J.P., J.B. Donaldson and R. Mehra, 1993, The equity premium and the allocation of income risk, Journal of Economic Dynamics and Control, 16, 509-532.
16. Dixit, A., 1991, Growth theory after thirty years, In: P. Diamond, Ed., Growth, Productivity and Unemployment, (The MIT Press, Cambridge, MA).
17. Duffie, D. and K.J. Singleton, 1993, Simulated moments estimation of Markov models of assest prices, Econometrica, 61(4), 929-953.
18. Gali, J., 1996, Technology, employment and the business cycle: do technology shocks explain aggregate fluctuations?, NBER Working Paper Series, no: 5721.
19. Goffe, W.L., G. Ferrier and J. Rogers, 1991, Global optimization of statistical functions, In: H.M. Amman, D.A. Belsley and L.F. Pau, Eds., Computational Economics and Econometrics, Vol. 1, (Kluwer, Dordrecht).
20. Hall, R.E., 1988, The relationship between prices and marginal cost In US industry, Journal of Political Economy, XCVI, 921-947.
21. Hall, R.E., 1991a, Booms and recession in a noise economy, (Yale University Press, New Haven, CT).
22. Hall, R.E., 1991b, Invariant properties of Solow's productivity residual, In: P. Diamond, Ed., Growth, Productivity and Unemployment (The MIT Press, Cambridge, MA).
23. Hansen, G.H., 1988, Technical progress and aggregate fluctuations, (University of California, Los Angeles, mimeo).
24. Hansen, L.P., 1982, Large sample properties of generalized methods of moments estimators, Econometrica, 50(4), 1029-1054.
25. Hansen, L.P. and K.J. Singleton, 1982, Generalized instrument variables estimation of nonlinear rational experiments models, Econometrica, 50(5), 1268-1286.
26. Harvey, A.C. and A. Jaeger, 1993, Detrending, stylized facts and business cycles, Journal of Applied Econometrics, 8, 231-247.
27. Judge, G.G., R.C. Hill, W.E. Griffiths, H. Luetkepohl and T.-C. Lee, 1985, Introduction to the theory of econometrics, (John Wiley, New York).
28. Kaldor, N., 1985, Economics without equilibrium, (M.E. Sharpe, Armonk).
29. King, R.G. and S.T. Rebelo, 1993, Low frequency filtering and real business cycles, Journal of Economic Dynamics and Control, 17, 207-233.
30. King, R.G., C.I. Plosser, and S.T. Rebelo, 1988a, Production, growth and business cycles I: The basic neoclassical model, Journal of Monetary Economics, 21, 195-232.
31. King, R.G., C.I. Plosser and S.T. Rebelo, 1988b, Production, growth and business cycles II: New directions, Journal of Monetary Economics, 21, 309-341.
32. King, R.G., C.I. Plosser, J.H. Stock and M.W. Watson, 1991 September, Stochastic trends and economic fluctuations, American Economic Review, 819-841.
33. Lee, B.S. and B.F. Ingram, 1991, Simulation estimation of time-series models, Journal of Economics, 47, 197-205.
34. McFadden, 1989, A method of simulated moments for estimation of discrete response models without numerical integration, Econometrica, 57(5), 995-1027.
35. Prescott, E.C., 1986, Theory ahead of business cycle measurement, Quarterly Review, Federal Reserve Bank of Minneapolis, 10(4).
36. Rothemberg J.J. and L.H. Summers, 1990 November, Inflexible prices and procyclical productivity, Quarterly Journal of Economics, 851-873.
37. Rothemberg, J.J. and M. Woodford, 1993, Can the real business cycle model explain forecastable movements in GNP?" (The MIT Press, Cambridge, MA, mimeo).
38. Semmler, W. and G. Gong, 1995 December, Estimating and evaluating equilibrium business cycle models, paper prepared for the Conference on Nonlinear Dynamic Phenomena in Economics and Financial Markets, Sydney, Australia.
39. Semmler, W. and G. Gong, 1996, Estimating and evaluating business cycle models: a comparison of different data sets, (New School for Social Research, mimeo).
40. Semmler, W., 1995, Solving nonlinear dynamic models by iterative dynamic programming, Computational Economics, 8, 127-154.
41. Sieveking W. and W. Semmler, 1994, The present value of resources with large discount rates, forthcoming in Applied Mathematics and Optimization.
42. Stadler, G.W., 1994, Real business cycles, Journal of Economic Literature, 32, 1750-1783.
43. Summers L.H., Some skeptical observations on real business cycle theory Quarterly Review, Federal Reserve Bank of Minneapolis 10(4).
44. Survey of Current Business, 1986, October.
45. Taylor, J.B. and H. Uhlig, 1990 January, Solving nonlinear stochastic growth models: A comparison of alternative solution of models, Journal of Business and Economic Statistics, 8(1) 1-17.
46. Watson, M.W., 1993, Measures of fit for calibrated models, Journal of Political Economy, 101(6), 1011-1041.