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非线性DSGE模型的剪枝状态空间系统：理论与实证应用AI 解读

This article studies the pruned state-space system for higher-order perturbation approximations to dynamic stochastic general equilibrium (DSGE) models. We show the stability of the pruned approximation up to third order and provide closed-form expressions for first and second unconditional moments and impulse response functions. Our results introduce generalized method of moments (GMM) estimation and impulse-response matching for DSGE models approximated up to third order…

含随机波动率的动态均衡模型估计AI 解读

This paper develops a particle filtering algorithm to estimate dynamic equilibrium models with stochastic volatility using a likelihood-based approach. The algorithm, which exploits the structure and profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large-scale models. As an application, we use our algorithm and Bayesian methods to estimate a business cycle model of the US economy with both stochastic volatility and…

生命周期消费：消费者支出调查数据的事实AI 解读

This paper uses Consumer Expenditure Survey data and a seminonparametric statistical model to estimate life cycle profiles of consumption, controlling for demographics, cohort, and time effects. We construct age profiles for total and nondurable consumption as well as expenditure patterns for consumer durables. Special emphasis is placed on the comparison of different approaches to control for changes in demographics over the life cycle. We find significant humps over the…

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