Mutschler, Willi: Local identification of nonlinear and non-Gaussian DSGE models. 2016
Inhalt
- Introduction
- DSGE framework
- Example models
- Higher-order statistics for DSGE models
- Analytical derivatives
- Assumptions and definitions of local identifiability
- Identification of linearized DSGE models: a review and departure from Gaussianity
- Identification of DSGE models: the effect of higher-order approximation and pruning
- Conclusion
- References
- Appendix Magnus-Neudecker definition of Hessian
- Appendix Auxiliary matrices and derivatives
- Appendix Example for notation and index matrices
- Appendix Product-moments of innovations
- Appendix Generalized Sylvester equations for cumulants
- Appendix Deriving numerical derivatives
- Appendix Deriving the minimal state
- Appendix Metropolis-Hastings algorithm