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@ -24,7 +24,7 @@ Bibliography
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* Collard, Fabrice and Michel Juillard (2001a): “Accuracy of stochastic perturbation methods: The case of asset pricing models,” *Journal of Economic Dynamics and Control*, 25, 979–999.
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* Collard, Fabrice and Michel Juillard (2001a): “Accuracy of stochastic perturbation methods: The case of asset pricing models,” *Journal of Economic Dynamics and Control*, 25, 979–999.
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* Collard, Fabrice and Michel Juillard (2001b): “A Higher-Order Taylor Expansion Approach to Simulation of Stochastic Forward-Looking Models with an Application to a Non-Linear Phillips Curve,” *Computational Economics*, 17, 125–139.
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* Collard, Fabrice and Michel Juillard (2001b): “A Higher-Order Taylor Expansion Approach to Simulation of Stochastic Forward-Looking Models with an Application to a Non-Linear Phillips Curve,” *Computational Economics*, 17, 125–139.
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* Corana, Angelo, M. Marchesi, Claudio Martini, and Sandro Ridella (1987): “Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm”, *ACM Transactions on Mathematical Software*, 13(3), 262–280.
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* Corana, Angelo, M. Marchesi, Claudio Martini, and Sandro Ridella (1987): “Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm”, *ACM Transactions on Mathematical Software*, 13(3), 262–280.
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* Cuba-Borda, Pablo, Luca Guerrieri, and Matteo Iacoviello (2019): "Likelihood evaluation of models with occasionally binding constraints", Journal of Applied Econometrics, 34(7), 1073-1085
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* Cuba-Borda, Pablo, Luca Guerrieri, Matteo Iacoviello, and Molin Zhong (2019): "Likelihood evaluation of models with occasionally binding constraints", Journal of Applied Econometrics, 34(7), 1073-1085
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* Del Negro, Marco and Frank Schorfheide (2004): “Priors from General Equilibrium Models for VARs”, *International Economic Review*, 45(2), 643–673.
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* Del Negro, Marco and Frank Schorfheide (2004): “Priors from General Equilibrium Models for VARs”, *International Economic Review*, 45(2), 643–673.
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* Dennis, Richard (2007): “Optimal Policy In Rational Expectations Models: New Solution Algorithms”, *Macroeconomic Dynamics*, 11(1), 31–55.
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* Dennis, Richard (2007): “Optimal Policy In Rational Expectations Models: New Solution Algorithms”, *Macroeconomic Dynamics*, 11(1), 31–55.
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* Duffie, Darrel and Kenneth J. Singleton (1993): “Simulated Moments Estimation of Markov Models of Asset Prices”, *Econometrica*, 61(4), 929-952.
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* Duffie, Darrel and Kenneth J. Singleton (1993): “Simulated Moments Estimation of Markov Models of Asset Prices”, *Econometrica*, 61(4), 929-952.
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@ -4713,7 +4713,7 @@ Occasionally binding constraints (OCCBIN)
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Dynare allows simulating models with up to two occasionally-binding constraints by
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Dynare allows simulating models with up to two occasionally-binding constraints by
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relying on a piecewise linear solution as in *Guerrieri and Iacoviello (2015)*.
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relying on a piecewise linear solution as in *Guerrieri and Iacoviello (2015)*.
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It also allows estimating such models employing either the inversion filter of
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It also allows estimating such models employing either the inversion filter of
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*Cuba-Borda, Guerrieri, and Iacoviello (2019)* or the piecewise Kalman filter of
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*Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019)* or the piecewise Kalman filter of
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*Giovannini, Pfeiffer, and Ratto (2021)*. To trigger computations involving
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*Giovannini, Pfeiffer, and Ratto (2021)*. To trigger computations involving
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occasionally-binding constraints requires
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occasionally-binding constraints requires
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@ -4954,7 +4954,7 @@ All of these elements are discussed in the following.
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.. option:: likelihood_inversion_filter
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.. option:: likelihood_inversion_filter
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Employ the inversion filter of *Cuba-Borda, Guerrieri, and Iacoviello (2019)* when estimating
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Employ the inversion filter of *Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019)* when estimating
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the model. Default: not enabled.
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the model. Default: not enabled.
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.. option:: likelihood_piecewise_kalman_filter
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.. option:: likelihood_piecewise_kalman_filter
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@ -4968,7 +4968,7 @@ All of these elements are discussed in the following.
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.. option:: smoother_inversion_filter
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.. option:: smoother_inversion_filter
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Employ the inversion filter of *Cuba-Borda, Guerrieri, and Iacoviello (2019)* when running the
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Employ the inversion filter of *Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019)* when running the
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smoother. Default: not enabled.
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smoother. Default: not enabled.
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.. option:: smoother_piecewise_kalman_filter
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.. option:: smoother_piecewise_kalman_filter
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@ -29,7 +29,7 @@ Files: matlab/+occbin/IVF_core.m
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matlab/+occbin/match_function.m
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matlab/+occbin/match_function.m
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Copyright: none
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Copyright: none
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License: public-domain-inversion-filter
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License: public-domain-inversion-filter
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Original authors: Pablo Cuba-Borda, Luca Guerrieri, and Matteo Iacoviello
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Original authors: Pablo Cuba-Borda, Luca Guerrieri, Matteo Iacoviello, and Molin Zhong
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Original file downloaded from:
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Original file downloaded from:
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http://www.lguerrieri.com/jae-replication.zip
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http://www.lguerrieri.com/jae-replication.zip
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Adapted for Dynare by Dynare Team.
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Adapted for Dynare by Dynare Team.
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@ -38,7 +38,7 @@ License: public-domain-inversion-filter
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However the authors would appreciate acknowledgement of the source by
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However the authors would appreciate acknowledgement of the source by
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citation of any of the following papers:
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citation of any of the following papers:
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.
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.
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Pablo Cuba-Borda, Luca Guerrieri, and Matteo Iacoviello (2019): "Likelihood evaluation of models
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Pablo Cuba-Borda, Luca Guerrieri, Matteo Iacoviello, and Molin Zhong (2019): "Likelihood evaluation of models
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with occasionally binding constraints", Journal of Applied Econometrics, 34(7), 1073-1085
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with occasionally binding constraints", Journal of Applied Econometrics, 34(7), 1073-1085
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Files: matlab/+occbin/make_chart.m
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Files: matlab/+occbin/make_chart.m
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@ -19,7 +19,7 @@ function [filtered_errs, resids, Emat, stateval, error_code] = IVF_core(M_,oo_,o
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% - obs [T by N_obs] observed data
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% - obs [T by N_obs] observed data
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% - init_val [N by 1] initial value of endogenous variables
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% - init_val [N by 1] initial value of endogenous variables
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% Original authors: Pablo Cuba-Borda, Luca Guerrieri, Matteo Iacoviello and Molin Zhong
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% Original authors: Pablo Cuba-Borda, Luca Guerrieri, Matteo Iacoviello, and Molin Zhong
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% Original file downloaded from:
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% Original file downloaded from:
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% http://www.lguerrieri.com/jae-replication.zip
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% http://www.lguerrieri.com/jae-replication.zip
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% Adapted for Dynare by Dynare Team.
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% Adapted for Dynare by Dynare Team.
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@ -28,7 +28,7 @@ function [filtered_errs, resids, Emat, stateval, error_code] = IVF_core(M_,oo_,o
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% However the authors would appreciate acknowledgement of the source by
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% However the authors would appreciate acknowledgement of the source by
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% citation of any of the following papers:
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% citation of any of the following papers:
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%
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%
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% Pablo Cuba-Borda, Luca Guerrieri, and Matteo Iacoviello (2019): "Likelihood evaluation of models
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% Pablo Cuba-Borda, Luca Guerrieri, Matteo Iacoviello, and Molin Zhong (2019): "Likelihood evaluation of models
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% with occasionally binding constraints", Journal of Applied Econometrics,
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% with occasionally binding constraints", Journal of Applied Econometrics,
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% 34(7), 1073-1085
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% 34(7), 1073-1085
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@ -28,7 +28,7 @@ function [resids, grad, state_out, E, M_, out] = match_function(err_0, obs_list,
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% However the authors would appreciate acknowledgement of the source by
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% However the authors would appreciate acknowledgement of the source by
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% citation of any of the following papers:
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% citation of any of the following papers:
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%
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%
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% Pablo Cuba-Borda, Luca Guerrieri, and Matteo Iacoviello (2019): "Likelihood evaluation of models
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% Pablo Cuba-Borda, Luca Guerrieri, Matteo Iacoviello, and Molin Zhong (2019): "Likelihood evaluation of models
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% with occasionally binding constraints", Journal of Applied Econometrics,
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% with occasionally binding constraints", Journal of Applied Econometrics,
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% 34(7), 1073-1085
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% 34(7), 1073-1085
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Reference in New Issue