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Below you can get pdf copies of my papers and codes for reproducing some of the computations involved.
May 3, 2012. The paper "Nonlinear Adventures at the Zero Lower Bound," joint with Grey Gordon, Pablo Guerron, and Juan Rubio-Ramirez can be found here.
April 15, 2012. The paper "Computing DSGE Models with Recursive Preferences and Stochastic Volatility," joint with Dario Caldara, Juan F. Rubio-Ramirez, and Yao We can be found
here. The published version differs from the working paper because now we consider s.v. as well as EZ preferences.
January 12, 2012. A new version of the paper "Fiscal Volatility Shocks and Economic Activity," joint with Keith Kuester, Pablo Guerron and Juan Rubio-Ramirez can be found here.
October 19, 2011. The paper "Supply-Side Policies and the Zero Lower Bound," joint with Pablo Guerron and Juan Rubio-Ramirez can be found here.
January 14, 2011. The paper "A Review Sesssion for Monetary and Fiscal Policy," can be found here.
December 8, 2010. The paper "Macroeconomics and Volatility: Data, Models, and Estimation," joint with Juan Rubio-Ramirez can be found here.
March 29, 2010. The paper "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," joint with Jules van Binsbergen, Ralph Koijen, and Juan Rubio-Ramirez can be found here.
March 21, 2010. The paper "Reading the Recent Monetary History of the U.S., 1959-2007," joint with Pablo Guerron-Quintana and Juan Rubio-Ramirez can be found here.
February 28, 2010. The paper "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," joint with Pablo Guerron-Quintana and Juan Rubio-Ramirez can be found here.
February 7, 2010. The paper "Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors," joint with Eric Aldrich, Ron Gallant, and Juan Rubio-Ramirez can be found here.
January 28, 2010. The paper "Fiscal Policy in a Model with Financial Frictions," can be found here.
January 28, 2010. The paper "The Spanish Crisis from a Global Perspective," joint with Lee Ohanian can be found here.
January 28, 2010. The paper "Shame to Game in One Hundred Years: An Economic Model of the Rise in Pre-marital Sex and its De-Stigmatization," joint with Jeremy Greenwood and Nezih Guner can be found here.
Nonlinear Adventures at the Zero Lower Bound.
Joint with Grey Gordon, Pablo Guerron, and Juan Rubio-Ramirez.
Supply-Side Policies and the Zero Lower Bound.
Joint with Pablo Guerron and Juan Rubio-Ramirez.
Fiscal Volatility Shocks and Economic Activity.
Joint with Keith Kuester, Pablo Guerron and Juan Rubio-Ramirez.
Reading the Recent Monetary History of the U.S., 1959-2007.
Joint with Pablo Guerron-Quintana and Juan Rubio-Ramirez.
A Review Sesssion for Monetary and Fiscal Policy.
Macroeconomics and Volatility: Data, Models, and Estimation.
Joint with Juan Rubio-Ramirez.
Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data.
Joint with Pablo Guerron-Quintana and Juan Rubio-Ramirez.
The Term Structure of Interest Rates in a DSGE Model with Recursive Preference.
Joint with Jules van Binsbergen, Ralph Koijen, and Juan Rubio-Ramirez.
Fiscal Policy in a Model with Financial Frictions.
An extended version of the model can be found here.
The Spanish Crisis from a Global Perspective.
Joint with Lee Ohanian.
Risk Matters: The Real Effects of Volatility Shocks.
Joint with Pablo Guerron-Quintana, Juan F. Rubio-Ramirez, and Martin Uribe.
Joint with Jeremy Greenwood and Nezih Guner.
A,B,C's (and D)'s for Understanding VARs.
Joint with Juan F. Rubio-Ramirez, Tom Sargent, and Mark Watson.
The older (and longer) working paper version is here.
Life-Cycle Consumption, Debt Constraints and Durable Goods
Joint with Dirk Krueger.
Consumption over the Life Cycle: Facts from Consumer Expenditure Survey Data.
Joint with Dirk Krueger.
Here you can find the technical appendix of the paper with further details about our estimation.
Optimal Fiscal Policy in a Business Cycle Model without Commitment (incomplete draft).
Joint with Aleh Tsyvinski.
Was Malthus Right? Economic Growth and Population Dynamics.
Some Further Notes on "Was Malthus Right? Economic Growth and Population Dynamics".
These notes present further discussion of several aspects of "Was Malthus Right? Economic Growth and Population Dynamics". They should be read following each particular section of the main paper.
Can We Really Observe Hyperbolic Discounting?
Joint with the late Arijit Mukherji.
Evaluating Labor Market Reforms: A General Equilibrium Approach.
Joint with Cesar Alonso-Borrego and Jose E. Galdon.
On the Solution of the Growth Model with Investment-Specific Technological Change.
Joint with Juan F. Rubio-Ramirez.
Comparing Solution Methods for Dynamic Equilibrim Economies.
Joint with S. Boragan Aruoba and Juan F. Rubio-Ramirez.
Click on this link to go to the companion web page where you can find the codes used in this paper.
Joint with Eric Aldrich, Ron Gallant, and Juan Rubio-Ramirez
Computing DSGE Models with Recursive Preferences and Stochastic Volatility.
Joint with Dario Caldara, Juan F. Rubio-Ramirez, and Yao Wen.
Solving DSGE Models with Perturbation Methods and a Change of Variables.
Joint with Juan F. Rubio-Ramirez.
Mathematica Notebook to compute the optimal change of variables.
A Generalization of the Endogenous Grid Method.
Joint with Francisco Barillas.
Fortran Code to compute the models describe in the paper using the Endogenous Grid Method and Value function iteration.
Our Research Agenda: Estimating DSGE Models .
Joint with Juan F. Rubio-Ramirez.
This note, which appears in the newsletter of the Review of Economic Dynamics, fall 2006, describes our agenda on the estimation of DSGE Models. We discuss our different papers and explain how they fit together.
The Econometrics of DSGE Models.
The New Macroeconometrics: A Bayesian Approach.
Joint with Pablo Guerron-Quintana and Juan F. Rubio-Ramirez.
MEDEA: A DSGE Model for the Spanish Economy.
Joint with Pablo Burriel and Juan F. Rubio-Ramirez.
Estimating Macroeconomic Models: A Likelihood Approach.
Joint with Juan F. Rubio-Ramirez.
The technical appendix offers further details in some aspects of the paper.
Sequential Monte Carlo Filtering: an Example
Here you can find a simple example of how to use a Sequential Monte Carlo to evaluate the likelihood function of a nonlinear and non-normal process.
Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood.
Joint with Juan F. Rubio-Ramirez.
How Structural Are Structural Parameter Values?.
Joint with Juan F. Rubio-Ramirez.
Convergence Properties of the Likelihood of Computed Dynamic Models.
Also, NBER Working Paper version, with more details.
Joint with Juan F. Rubio-Ramirez and Manuel Santos.