A toolkit for analyzing nonlinear dynamic stochastic models easily

Harald Uhlig ()

No 101, Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis

Abstract: This paper describes and implements a procedure for estimating the timing interval in any linear econometric model. The procedure is applied to Taylors model of staggered contracts using annual averaged price and output data. The fit of the version of Taylors model with serially uncorrelated disturbances improves as the timing interval of the model is reduced.

Keywords: Econometric; models (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (182)

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Related works:
Software Item: A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily (1998)
Working Paper: A toolkit for analyzing nonlinear dynamic stochastic models easily (1995)
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