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My research interests are in the formulation of dynamic
equilibrium models, their efficient computation,
and their estimation.
Below you can get pdf copies of my papers and codes for reproducing some of the computations involved.
New Items
May 23rd, 2009. The paper "Computing DSGE Models with Recursive Preferences," joint with Dario Caldara, Juan F. Rubio-Ramirez, and Yao Wen can be found here.
May 3rd, 2009. The paper "MEDEA: A DSGE Model for the Spanish Economy," can be found here.
April 3rd, 2009. A copy of my review "Horizons of Understanding: A Review of Ray Fair's Estimating How the Macroeconomy Works," can be found here.
April 1st, 2009. A first draft of the paper "Risk Matters: The Real Effects of Volatility Shocks," joint with Pablo Guerron-Quintana, Juan F. Rubio-Ramirez, and Martin Uribe can be found here.
April 1st, 2009. A first draft of the paper "The Econometrics of DSGE Models," can be found here.
April 1st, 2009. A first draft of the paper "The New Macroeconometrics: A Bayesian Approach," joint with Pablo Guerron-Quintana, Juan F. Rubio-Ramirez can be found here.
April 1st, 2009. A first draft of the paper "From 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.
Dynamic
Macroeconomics
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 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 and details of several aspects of "Was Malthus Right? Economic Growth and Population Dynamics". They should be readed 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.
Entrepreneurship, Financial Intermediation and Aggregate Activity.
Joint with Luis Carranza and Jose E. Galdon.
On the Solution of the Growth Model with Investment-Specific Technological Change.
Joint with Juan F. Rubio- Ramirez.
Computation
of Dynamic Equilibrium Models
Comparing Solution Methods for Dynamic Equilibrim Economies (pdf file).
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.
Computing DSGE Models with Recurisve Preferences (pdf file).
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.
Estimation
of Dynamic Equilibrium Models
Our Research Agenda: Estimating DSGE Models .
Joint with Juan F. Rubio-Ramirez.
This note, which will appear 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.