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Estimation of DSGE Models by Non-Gaussian Vector Autoregressions

https://doi.org/10.2139/ssrn.6946142
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Impulse response matching estimators for DSGE models
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Back to square one: Identification issues in DSGE models
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Monetary policy shocks, Choleski identification, and DNK models
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Business cycle measurement with some theory
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Ergodic theorems for extended real-valued random variables
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Some notes on ergodic theorem for U -statistics of order m for stationary and not necessarily ergodic sequences
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Structural Vector Autoregressive Analysis
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The Past as the Future: The Marshallian Approach to Post Walrasian Econometrics
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TESTS OF RANK
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A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
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FAT-TAIL DISTRIBUTIONS AND BUSINESS-CYCLE MODELS
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Fast Computing for Distance Covariance
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Independent Component Analysis via Distance Covariance
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GMM Estimation of Non-Gaussian Structural Vector Autoregression
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Identification-Robust Inference With Simulation-Based Pseudo-Matching
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Bootstrap tests: how many bootstraps?
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DSGE Models with Student-tErrors
inferredcites →https://doi.org/10.1086/426038openalex-snapshot
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
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An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy
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Assessing Structural VARs [with Comments and Discussion]
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Identification and Estimation in Non-Fundamental Structural VARMA Models
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Fast and robust fixed-point algorithms for independent component analysis
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Independent Component Analysis With Heavy Tails Using Distance Covariance
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Simulation Evidence on Theory‐based and Statistical Identification under Volatility Breaks
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Hodges–Lehmann Detection of Structural Shocks – An Analysis of Macroeconomic Dynamics in the Euro Area
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Identification Through Heteroskedasticity
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Estimation in Discrete Parameter Models
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Non-independent component analysis
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Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence
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Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
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Time Series Analysis
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Models and Their Uses
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Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models
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Solution and Estimation Methods for DSGE Models
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A Statistically and Numerically Efficient Independence Test Based on Random Projections and Distance Covariance
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Uncertainty Shocks in a Model of Effective Demand
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The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
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Locally robust inference for non‐Gaussian SVAR models
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Some remarks on the ergodic theorem for U -statistics
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