How structural are structural parameters?

NBER Macroeconomics Annual

Volumn 22, Issue , 2007, Pages 83-132

  Fernández Villaverde, Jesús ^a   Rubio Ramírez, Juan F ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 46749092056     PISSN: 08893365     EISSN: None     Source Type: Book Series    
DOI: 10.1086/ma.22.25554965     Document Type: Article

References (85)

1. Adolfson, M., S. Laséen, J. Lindé, and M. Villani. 2005. Bayesian estimation of an open economy DSGE model with incomplete pass-through. Working Paper Series 179. Stockholm: Sveriges Riksbank (Central Bank of Sweden).
2. An, S., and F. Schorfheide. 2006. Forthcoming. Bayesian analysis of DSGE models. Econometric Reviews.
3. Andrés, J., P. Burriel, and A. Estrada. 2006. BEMOD: A DSGE model for the Spanish economy and the rest of the Euro area. Working Paper no. 631. Madrid: Banco de España.
4. Arulampalam, A. S., S. Maskell, N. Gordon, and T. Clapp. 2002. A tutorial on particle filters for online nonlinear/non-gaussian Bayesian tracking. IEEE Transactions on Signal Processing 50:174-88.
5. Aruoba, S. B., J. Fernández-Villaverde, and J. Rubio-Ramírez. 2006. Comparing solution methods for dynamic equilibrium economies. Journal of Economic Dynamics and Control 30:2477-2508.
6. Bansal, R., and A. Yaron. 2004. Risks for the long run: A potential resolution of asset pricing puzzles. Journal of Finance 59:1481-1509.
7. Benati, L. 2006. Investigating inflation persistence across monetary regimes. Unpublished paper. Frankfurt am Main, Germany: European Central Bank.
8. Bernanke, B. S., and I. Mihov. 1998. Measuring monetary policy. Quarterly Journal of Economics 113:869-902.
9. Bils, M., and P. Klenov. 2004. Some evidence on the importance of sticky prices. Journal of Political Economy 112:947-85.
10. Boivin, J. 2006. Has U.S. monetary policy changed? Evidence from drifting coefficients and real-time data. Journal of Money, Credit and Banking 38 (5): 1149-73.
11. Boivin, J., and M. Giannoni. 2006. DSGE models in a data-rich environment. NBER Working Paper no. 12272. Cambridge, MA: National Bureau of Economic Research.
12. Browning, M., L. P. Hansen, and J. Heckman. 1999. Micro data and general equilibrium models. In Handbook of Macroeconomics, volume 1, chapter 8, ed. J. B. Taylor and M. Woodford, 543-633. The Netherlands: Elsevier.
13. Caballero, R., and E. Engel. 1999. Heterogeneity and output fluctuations in a dynamic menu-costs economy. Review of Economic Studies 60:95-119.
14. Canova, F. 2005. Monetary policy and the evolution of the U.S. economy. Centre for Economics Policy Research (CEPR) Working Paper no. 5467. London: CEPR.
15. Canova, F., and L. Sala. 2006. Back to square one: Identification issues in DSGE models. ECB Working Paper no. 583. Frankfurt am Main, Germany: European Central Bank.
16. Caplin, A., and J. Leahy. 1991. State-dependent pricing and the dynamics of money and output. Quarterly Journal of Economics 106:683-708.
17. _. 1997. Aggregation and optimization with state-dependent pricing. Econometrica 65:601-26.
18. Christiano, L., M. Eichenbaum, and C. L. Evans. 2005. Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113:1-45.
19. Christoffel, K., G. Coenen, and A. Warne. 2007. The new area-wide model of the Euro area: Specification and first estimation results. Mimeo. Frankfurt am Main, Germany: European Central Bank.
20. _. 2007. Conditional and unconditional forecasting with the new area-wide model of the Euro area. European Central Bank. Unpublished paper.
21. Clarida, R., J. Galí, and M. Gertler. 2000. Monetary policy rules and macroeconomic stability: Evidence and some theory. Quarterly Journal of Economics 115:147-80.
22. Cogley, T., and T. J. Sargent. 2001. Evolving post-World War II U.S. inflation dynamics. In NBER Macroeconomics Annual 2001, ed. B. Bernanke and K. Rogoff, 331-73. Cambridge, MA: MIT Press.
23. _. 2005. Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S. Review of Economic Dynamics 8:262-302.
24. Cogley, T., and A. Sbordone. 2006. Trend inflation and inflation persistence in the new Keynesian Phillips curve. FRB of New York Staff Report no. 270. New York: Federal Reserve Bank of New York.
25. Cooley, T. 1971. Estimation in the presence of sequential parameter variation. Unpublished PhD diss., University of Pennsylvania.
26. Cooley, T. F., and E. C. Prescott. 1976. Estimation in the presence of stochastic parameter variation. Econometrica 44:167-84.
27. _. 1995. Economic growth and business cycles. In Frontiers of business cycle research, ed. T. F. Cooley, 1-38. Princeton, NJ: Princeton University Press.
28. Davig, T., and E. Leeper. 2006a. Forthcoming. Endogenous monetary policy regime change. NBER International Seminar on Macroeconomics.
29. _. 2006b. Forthcoming. Generalizing the Taylor Principle. American Economic Review.
30. Davig, T., E. Leeper, and H. Chung. 2007. Monetary and fiscal policy switching. Journal of Money, Credit, and Banking 39 (4): 809-42.
31. Dejong, D. N., H. Dharmarajan, R. Liesenfeld, and J. Richard. 2007. An efficient filtering approach to likelihood approximation for state-space representations. Working Paper no. 321. University of Pittsburgh.
32. Del Moral, P., and J. Jacod. 2002. The Monte-Carlod method for filtering with discrete time observations. central limit theorems. In Numerical Methods and Stochastics, ed. T. J. Lyons and T. S. Salisbury, 29-54. New York: American Mathematical Society.
33. Dotsey, M., R. G. King, and A. Wolman. 1999. State dependent pricing and the general equilibrium dynamics of money and output. Quarterly Journal of Economics 114 (2): 655-90.
34. Doucet, A., N. de Freitas, and N. Gordon. 2001. Sequential Monte Carlo methods in practice. New York: Springer Verlag.
35. Erceg, C. J., L. Guerrieri, and Christopher Gust. 2006. SIGMA: A new open economy model for policy analysis. International Journal of Central Banking 2:1-50.
36. Erceg, C. J., D. Henderson, and A. Levin. 2000. Optimal monetary policy with staggered wage and price contracts. Journal of Monetary Economics 46:281-313.
37. Farmer, R., D. Waggoner, and T. Zha. 2006. Indeterminacy in a forward looking regime switching model. FRB of Atlanta Working Paper no. 2006-19. New York: Federal Reserve Bank.
38. Fernández-Villaverde, J. 2005. Comments on S. Schmitte- Grohé and M. Uribe, Optimal fiscal and monetary policy in a medium-scale macroeconomic model. In NBER Macoeconomics Annual 2005, ed. M. Gertler and K. Rogoff, 427-44. Cambridge, MA: MIT Press.
39. Fernández-Villaverde, J., and J. Rubio-Ramírez. 2004. Comparing dynamic equilibrium models to data: A Bayesian approach. Journal of Econometrics 12:153-87.
40. _. 2005. Estimating dynamic equilibrium economies: Linear versus nonlinear likelihood. Journal of Applied Econometrics 20:891-910.
41. _. 2007. Forthcoming. Estimating macroeconomic models: A likelihood approach. Review of Economic Studies.
42. Fernández-Villaverde, J., J. Rubio-Ramírez, and M. S. Santos. 2006. Convergence properties of the likelihood of computed dynamic models. Econometrica 74:93-119.
43. Fernández-Villaverde, J., J. Rubio-Ramírez, T. J. Sargent, and M. Watson. 2006. A.B.C.'s (and D)'s for understanding VARs. American Economic Review. Forthcoming.
44. Fisher, J. 2006. The dynamic effects of neural and investment-specific technology shocks. Journal of Political Economy 114:413-51.
45. Galí, J., and P. Rabanal. 2004. Technology shocks and aggregate fluctuations: How well does the RBC model fit postwar U.S. data? In NBER Macroeconomics Annual 2004, 225-88. Cambridge: MIT Press.
46. Geweke, J. 1989. Bayesian inference in econometric models using Monte Carlo integration. Econometrica 24:1037-99.
47. Godsill, S. J., A. Doucet, and M. West. 2004. Monte Carlo smoothing for nonlinear time series. Journal of the American Statistical Association 99:156-68.
48. Greenwood, J., Z. Herkowitz, and P. Krusell. 1997. Long-run implications of investment-specific technological change. American Economic Review 87:342-62.
49. Greenwood, J., Z. Herkowitz, and P. Krusell. 2000. The role of investment-specific technological change in the business cycle. European Economic Review 44:91-115.
50. Hendricks, W. E., and L. Khan. 1985. Wage indexation in the United States: Cola or uncola? Cambridge, MA: Ballinger.
51. Hurwicz, L. 1962. On the structural form of independent systems. In Logic, methodology, and philosophy of science, ed. E. Nagel, P. Suppes, and A. Tarski, 232-39. Stanford, CA: Stanford University Press.
52. Justiniano, A., and G. E. Primiceri. 2005. The time varying volatility of macroeconomic fluctuations. 2006 Meeting: Paper no. 353. New York: Society for Economic Dynamics.
53. King, T. B. 2006. Dynamic equilibrium models with time-varying structural parameters. Mimeograph. St. Louis, MO: Washington University.
54. Klenow, P., and O. Kryvstov. 2007. State-dependent or time-dependent pricing: Does it matter for recent U.S. inflation? Unpublished paper. Stanford, CA: Stanford University.
55. Künsch, H. R. 2005. Recursive Monte Carlo filters: Algorithms and theoretical analysis. Annals of Statistics 33:1983-2021.
56. Lubick, T., and F. Schorfheide. 2004. Testing for indeterminacy: An application to U.S. monetary policy. American Economic Review 94:190-217.
57. Mankiw, G. N., and R. Reiss. 2002. Sticky information versus sticky prices: A proposal to replace the new Keynesian Phillips curve. Quarterly Journal of Economics 117:1295-1328.
58. McFadden, D. L. 1989. A method of simulated moments for estimation of discrete response models without numerical integration. Econometrica 57:995-1026.
59. Murchison, S., and A. Rennison. 2006. ToTEM: The Bank of Canada's new quarterly projection model. Bank of Canada Technical Report no. 97. Ottawa: Bank of Canada.
60. Nakamura, E., and J. Steinsson. 2007. Forthcoming. Five facts about prices: A reevaluation of menu cost models. Quarterly Journal of Economics.
61. Oliner, S., G. Rudebusch, and D. Sichel. 1996. The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment. Journal of Applied Econometrics 70:291-316.
62. Orphanides, A. 2002. Monetary policy rules and the great inflation. American Economic Review 92:115-20.
63. Owyang, M. T., and G. Ramey. 2004. Regime switching and monetary policy measurement. Journal of Monetary Economics 51:1577-97.
64. Pakes, A., and D. Pollard. 1989. Simulation and the asymptotics of optimization estimators. Econometrica 57:1027-57.
65. Pitt, M. K., and N. Shephard. 1999. Filtering via simulation: Auxiliary particle filters. Journal of the American Statistical Association 94:590-99.
66. Ploberger, W., and P. C. B. Phillips. 2003. Empirical limits for time series econometric models. Econometrica 71:627-73.
67. Primiceri, G. E. 2005. Time varying structural vector autoregressions and monetary policy. Review of Economic Studies 72:821-52.
68. _. 2006. Why inflation rose and fell: Policymakers' beliefs and U.S. postwar stabilization policy. Quarterly Review of Economics 121:867-901.
69. Rabanal, P. 2007. Does inflation increase after a monetary policy tightening? answers based on an estimated DSGE model. Journal of Economic Dynamics and Control 31: 906-37.
70. Rabanal, P., and J. F. Rubio-Ramírez. 2005. Comparing new Keynesian models of the business cycle: A Bayesian approach. Journal of Monetary Economics 52:1151-66.
71. Romer, C., and D. Romer. 2002. The evolution of economic understanding and postwar stabilization policy. In Rethinking Stabilization Policy, 11-78. Kansas City: Federal Reserve Bank of Kansas City.
72. Roberts, G., A. Gelman, and W. Gilks. 1997. Weak convergence and optimal scaling of random walk metropolis algorithms. Annals of Applied Probability 7:110-20.
73. Rosenberg, B. 1968. Varying parameter estimation. Unpublished PhD diss., Harvard University.
74. Rubin, D. B. 1988. Using the SIR algorithm to simulate posterior distributions. In Bayesian Statistics 3, ed. J. M. Bernardo, M. H. DeGroot, D. V. Lindley, and A. F. M. Smith, 395-401. Oxford: Oxford University Press.
75. Santos, M. S., and A. Peralta-Alva. 2005. Accuracy of simulations for stochastic dynamic models. Econometrica 73:1939-76.
76. Sargent, T. J. 1999. The conquest of American inflation. Princeton, NJ: Princeton University Press.
77. Sims, C. A. Macroeconomics and reality. Econometrica 48 (1): 1-48.
78. _. 2001. Discussion of evolving post-World War II U.S. inflation dynamics by T. Cogney and T. J. Sargent. NBER Macroeconomics Annual 2001, 373-79.
79. _. 2003. Implications of rational inattention. Journal of Monetary Economics 50 (3): 665-90.
80. Sims, C. A., and T. Zha. 2006. Were there regime switches in U.S. monetary policy? American Economic Review 96:54-81.
81. Smets, F., and R. Wouters. 2003. An estimated stochastic dynamic general equilibrium model of the Euro area. Journal of the European Economic Association 1:1123-75.
82. Taylor, J. 1998. Monetary policy guidelines for unemployment and inflation stability. In Inflation, unemployment, and monetary policy, ed. R. M. Solown and J. B. Taylor, 29-34. Cambridge: MIT Press.
83. Uhlig, H. 1997. Bayesian vector autoregressions with stochastic volatility. Econometrica 65:59-73.
84. Woodford, M. 2006. Forthcoming. Interpreting inflation persistence: Comments on the Conference on Quantitative Evidence on Price Discrimination. Journal of Money, Credit and Banking.
85. Young, A. T. 2004. Labor's share fluctuations, biased technical change, and the business cycle. Review of Economic Dynamics 7:916-31.