Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models
Author:
Affiliation:
1. Department of Economics University of Bologna Bologna Italy
2. Department of Economics University of Exeter Business School Exeter UK
Funder
Università di Bologna
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2843
Reference59 articles.
1. Bayesian Analysis of DSGE Models
2. Weak Identification in Maximum Likelihood: A Question of Information
3. Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
4. Angelini G. Cavaliere G. &Fanelli L.(2021).An identification strategy for proxy‐SVARs with weak proxies Working Paper University of Bologna.
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1. Is Time an Illusion? A Bootstrap Likelihood Ratio Test for Shock Transmission Delays in DSGE Models;Computational Economics;2024-06-11
2. An identification and testing strategy for proxy-SVARs with weak proxies;Journal of Econometrics;2024-01
3. Bootstrapping State-Space Models: Distribution-Free Estimation in View of Prediction and Forecasting;Forecasting;2023-12-27
4. Unobserved components model estimates of credit cycles: Tests and predictions;Journal of Financial Stability;2023-06
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