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@Book{Abramowitz/Stegun:1965,
  author    = {Abramowitz, Milton and Stegun, Irene A.},
  publisher = {Dover Publications},
  title     = {Handbook of mathematical functions},
  year      = {1965},
  address   = {New York},
}

@TechReport{adjemian/al:2011,
  author      = {Adjemian, St\'ephane and Bastani, Houtan and Juillard, Michel and Karam\'e, Fr\'ederic and Maih, Junior and Mihoubi, Ferhat and Mutschler, Willi and Perendia, George and Pfeifer, Johannes and Ratto, Marco and Villemot, S\'ebastien},
  institution = {CEPREMAP},
  title       = {{Dynare: Reference Manual Version 4}},
  year        = {2011},
  number      = {1},
  type        = {Dynare Working Papers},
}

@TechReport{Adjemian:2008,
  author      = {Adjemian, Stéphane and Darracq Parriès, Matthieu and Moyen, Stéphane},
  institution = {European Central Bank},
  title       = {Towards a monetary policy evaluation framework},
  year        = {2008},
  number      = {942},
  type        = {Working Paper Series},
}

@Article{Adjemian:2025,
  author    = {Adjemian, Stéphane and Juillard, Michel},
  journal   = {Journal of Economic Dynamics and Control},
  title     = {Stochastic extended path},
  year      = {2025},
  issn      = {0165-1889},
  month     = dec,
  pages     = {105227},
  doi       = {10.1016/j.jedc.2025.105227},
  publisher = {Elsevier BV},
}

@TechReport{Adjemian:2025:WP,
  author      = {Adjemian, Stéphane and Juillard, Michel},
  institution = {CEPREMAP},
  title       = {Stochastic extended path},
  year        = {2025},
  month       = mar,
  number      = {84},
  type        = {Dynare Working Papers},
  abstract    = {The Extended Path (EP) method solves DSGE models under certainty equivalence, capturing nonlinearities and occasionally binding constraints but ignoring the role of uncertainty. We propose the Stochastic Extended Path (SEP), which restores this channel by computing conditional expectations with quadrature and unscented transforms. To avoid the exponential explosion of a full tree of future shocks, we introduce a sparse tree representation that scales linearly with the horizon. We further develop a hybrid SEP, combining SEP with perturbation corrections to capture long-run effects of volatility at low cost. Accuracy is benchmarked in an asset pricing model with a closed-form solution, where hybrid SEP outperforms perturbation methods. We then illustrate the approach in an RBC model with a lower bound on investment.},
  doi         = {None},
  url         = {https://ideas.repec.org/p/cpm/dynare/084.html},
}

@Article{Aguiar:2007,
  author   = {Mark Aguiar and Gita Gopinath},
  journal  = {Journal of Political Economy},
  title    = {Emerging market business cycles: the cycle is the trend},
  year     = {2007},
  pages    = {69--102},
  volume   = {115},
  abstract = {Emerging market business cycles exhibit strongly countercyclical current accounts, consumption volatility that exceeds income volatility, and ``sudden stops'' in capital inflows. These features contrast with developed small open economies. Nevertheless, we show that a standard model characterizes both types of markets. Motivated by the frequent policy regime switches observed in emerging markets, our premise is that these economies are subject to substantial volatility in trend growth. Our methodology exploits the information in consumption and net exports to identify the persistence of productivity. We find that shocks to trend growth - rather than transitory fluctuations around a stable trend - are the primary source of fluctuations in emerging markets. The key features of emerging market business cycles are then shown to be consistent with this underlying income process in an otherwise standard equilibrium model.},
  doi      = {10.1086/511283},
}

@Article{Amisano:2010,
  author    = {Gianni Amisano and Oreste Tristani},
  journal   = {Journal of Economic Dynamics and Control},
  title     = {Euro area inflation persistence in an estimated nonlinear {DSGE} model},
  year      = {2010},
  number    = {10},
  pages     = {1837--1858},
  volume    = {34},
  doi       = {10.1016/j.jedc.2010.05.001},
  publisher = {Elsevier {BV}},
}

@Article{Andreasen:2018,
  author  = {Martin M. Andreasen and Jes\'{u}s Fern\'{a}ndez-Villaverde and Juan F. Rubio-Ram\'{i}rez},
  journal = {Review of Economic Studies},
  title   = {The pruned state-space system for non-linear {DSGE} models: theory and empirical applications},
  year    = {2018},
  number  = {1},
  pages   = {1--49},
  volume  = {85},
  doi     = {10.1093/restud/rdx037},
}

@Article{Andrews:1991,
  author    = {Donald W. K. Andrews},
  journal   = {Econometrica},
  title     = {Heteroskedasticity and autocorrelation consistent covariance matrix estimation},
  year      = {1991},
  number    = {3},
  pages     = {817--858},
  volume    = {59},
  doi       = {10.2307/2938229},
  publisher = {{JSTOR}},
}

@Article{Andrle:2018,
  author    = {Michal Andrle and Miroslav Pla{\v{s}}il},
  journal   = {Economics Letters},
  title     = {Econometrics with system priors},
  year      = {2018},
  pages     = {134--137},
  volume    = {172},
  doi       = {10.1016/j.econlet.2018.08.038},
  publisher = {Elsevier {BV}},
}

@Article{Arasaratnam:2009,
  author    = {Arasaratnam, Ienkaran and Haykin, Simon},
  journal   = {IEEE Transactions on Automatic Control},
  title     = {{Cubature Kalman Filters}},
  year      = {2009},
  issn      = {1558-2523},
  month     = {6},
  number    = {6},
  pages     = {1254--1269},
  volume    = {54},
  doi       = {10.1109/tac.2009.2019800},
  publisher = {Institute of Electrical and Electronics Engineers (IEEE)},
}

@Article{Auclert:2021,
  author    = {Auclert, Adrien and Bardóczy, Bence and Rognlie, Matthew and Straub, Ludwig},
  journal   = {Econometrica},
  title     = {Using the {Sequence‐Space Jacobian} to solve and estimate heterogeneous‐agent models},
  year      = {2021},
  issn      = {0012-9682},
  number    = {5},
  pages     = {2375--2408},
  volume    = {89},
  doi       = {10.3982/ecta17434},
  publisher = {The Econometric Society},
}

@Article{Backus:1992,
  author  = {Backus, David K. and Kehoe, Patrick J. and Kydland, Finn E.},
  journal = {Journal of Political Economy},
  title   = {International real business cycles},
  year    = {1992},
  number  = {4},
  pages   = {745--75},
  volume  = {100},
  doi     = {10.1086/261838},
}

@Article{Baxter:1999,
  author  = {Marianne Baxter and Robert G. King},
  journal = {Review of Economics and Statistics},
  title   = {Measuring business cycles: approximate band-pass filters for economic time series},
  year    = {1999},
  number  = {4},
  pages   = {575--593},
  volume  = {81},
  doi     = {10.1162/003465399558454},
}

@TechReport{Bhandari:2023,
  author      = {Bhandari, Anmol and Bourany, Thomas and Evans, David and Golosov, Mikhail},
  institution = {National Bureau of Economic Research, Inc},
  title       = {A perturbational approach for approximating heterogeneous agent models},
  year        = {2023},
  month       = {9},
  number      = {31744},
  type        = {NBER Working Papers},
  abstract    = {We develop a perturbational technique to approximate equilibria of a wide class of discrete-time dynamic stochastic general equilibrium heterogeneous-agent models with complex state spaces, including multi-dimensional distributions of endogenous variables. We show that approximating policy functions and stochastic process that governs the distributional state to any order is equivalent to solving small systems of linear equations that characterize values of certain directional derivatives. We analytically derive the coefficients of these linear systems and show that they satisfy simple recursive relations, making their numerical implementation quick and efficient. Compared to existing state-of-the-art techniques, our method is faster in constructing first-order approximations and extends to higher orders, capturing the effects of risk that are ignored by many current methods. We illustrate how to apply our method to a broad set of questions such as impacts of first- and second-moment shocks, welfare effect of macroeconomic risk and stabilization policies, endogenous household portfolio formation, and transition dynamics in heterogeneous agent general equilibrium settings.},
}

@Article{Bini:2002,
  author    = {Bini, Dario A. and Latouche, Guy and Meini, Beatrice},
  journal   = {Linear Algebra and its Applications},
  title     = {Solving matrix polynomial equations arising in queueing problems},
  year      = {2002},
  issn      = {0024-3795},
  month     = jan,
  number    = {1–3},
  pages     = {225--244},
  volume    = {340},
  doi       = {10.1016/s0024-3795(01)00426-8},
  publisher = {Elsevier BV},
}

@Article{blanchard/kahn:1980,
  author   = {Blanchard, Olivier Jean and Kahn, Charles M.},
  journal  = {Econometrica},
  title    = {The solution of linear difference models under rational expectations},
  year     = {1980},
  number   = {5},
  pages    = {1305--1311},
  volume   = {48},
  abstract = {Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson). We back out from observations on the yield curve the underlying macroeconomic model that most closely matches the level, slope and curvature of the yield curve. With each model we trace the response of the yield curve to macroeconomic shocks. We assess the fit of each model against the observed behaviour of interest rates and find limited support for the Calvo-Yun model in terms of fit with the observed yield curve, we find some support for the hybrid model but the Svensson model performs best.},
  doi      = {10.2307/1912186},
  keywords = {Macromodels Yield curve Persistence},
}

@Article{Boehl:2022,
  author    = {Boehl, Gregor},
  journal   = {SSRN Electronic Journal},
  title     = {DIME MCMC: A Swiss Army Knife for Bayesian Inference},
  year      = {2022},
  issn      = {1556-5068},
  doi       = {10.2139/ssrn.4250395},
  publisher = {Elsevier BV},
}

@Article{Born:2014,
  author    = {Benjamin Born and Johannes Pfeifer},
  journal   = {Journal of Monetary Economics},
  title     = {Policy risk and the business cycle},
  year      = {2014},
  pages     = {68--85},
  volume    = {68},
  doi       = {10.1016/j.jmoneco.2014.07.012},
  timestamp = {2017-03-10},
}

@Article{Boucekkine:1995,
  author    = {Raouf Boucekkine},
  journal   = {Journal of Economic Dynamics and Control},
  title     = {An alternative methodology for solving nonlinear forward-looking models},
  year      = {1995},
  number    = {4},
  pages     = {711--734},
  volume    = {19},
  doi       = {10.1016/0165-1889(94)00800-w},
  publisher = {Elsevier {BV}},
}

@TechReport{Brayton:2000,
  author      = {Brayton, Flint and Davis, Morris and Tulip, Peter Tulip},
  institution = {Board of Governors of the Federal Reserve System (U.S.)},
  title       = {Polynomial adjustment costs in {FRB/US}},
  year        = {2000},
}

@TechReport{Brayton:1996,
  author      = {Brayton, Flint and Tinsley, Peter},
  institution = {Board of Governors of the Federal Reserve System (U.S.)},
  title       = {A guide to {FRB/US}: a macroeconomic model of the {United States}},
  year        = {1996},
  number      = {96-42},
  type        = {Finance and Economics Discussion Series},
  abstract    = {FRB/US is a large-scale quarterly econometric model of the U.S. economy, developed to replace the MPS model. Most behavioral equations are based on specifications of optimizing behavior containing explicit expectations of firms, households, and financial markets. Although expectations are explicit, the empirical fits of the structural descriptions of macroeconomic behavior are comparable to those of reduced-form time series models. In most instances, tests do not reject overidentifying restrictions of rational expectations or the hypothesis of serially independent residuals. As modeled, private sector expectations of policy constitute a major transmission channel of monetary policy.},
  keywords    = {Econometric models; economic conditions - United States},
  url         = {https://EconPapers.repec.org/RePEc:fip:fedgfe:96-42},
}

@Article{Brooks:1998,
  author    = {Brooks, Stephen P. and Gelman, Andrew},
  journal   = {Journal of computational and graphical statistics},
  title     = {General methods for monitoring convergence of iterative simulations},
  year      = {1998},
  number    = {4},
  pages     = {434--455},
  volume    = {7},
  doi       = {10.1080/10618600.1998.10474787},
  publisher = {Taylor \& Francis},
  timestamp = {2016-10-07},
}

@TechReport{USCensus:2020,
  author      = {{U.S. Census Bureau}},
  institution = {Center for Statistical Research and Methodology, U.S. Census Bureau},
  title       = {{X-13 ARIMA-SEATS Reference Manual, Version 1.1}},
  year        = {2020},
  url         = {https://www.census.gov/data/software/x13as.html},
}

@Article{Cardoso:1996,
  author    = {Cardoso, Margarida F. and Salcedo, Romualdo L. and Feyo de Azevedo, S.},
  journal   = {Computers {\&} Chemical Engineering},
  title     = {The simplex-simulated annealing approach to continuous non-linear optimization},
  year      = {1996},
  number    = {9},
  pages     = {1065--1080},
  volume    = {20},
  doi       = {10.1016/0098-1354(95)00221-9},
  publisher = {Elsevier {BV}},
}

@Article{Cherrier:2023,
  author    = {Cherrier, Béatrice and Saïdi, Aurélien and Sergi, Francesco},
  journal   = {OEconomia},
  title     = {``Write your model almost as you would on paper and {Dynare} will take care of the rest!'' A history of the Dynare software},
  year      = {2023},
  issn      = {2269-8450},
  pages     = {801--848},
  volume    = {13–3},
  doi       = {10.4000/oeconomia.16123},
  publisher = {OpenEdition},
}

@Article{Chib:2010,
  author  = {Chib, Siddhartha and Ramamurthy, Srikanth},
  journal = {Journal of Econometrics},
  title   = {Tailored randomized block {MCMC} methods with application to {DSGE} models},
  year    = {2010},
  number  = {1},
  pages   = {19--38},
  volume  = {155},
  doi     = {10.1016/j.jeconom.2009.08.003},
}

@Article{Christiano:2005,
  author  = {Lawrence J. Christiano and Martin Eichenbaum and Charles L. Evans},
  journal = {Journal of Political Economy},
  title   = {Nominal rigidities and the dynamic effects of a shock to monetary policy},
  year    = {2005},
  number  = {1},
  pages   = {1--45},
  volume  = {113},
  doi     = {10.1086/426038},
}

@InCollection{Christiano:2010,
  author    = {Christiano, Lawrence J. and Trabandt, Mathias and Walentin, Karl},
  booktitle = {{Handbook of Monetary Economics}},
  publisher = {Elsevier},
  title     = {{DSGE} models for monetary policy analysis},
  year      = {2010},
  chapter   = {7},
  editor    = {Benjamin M. Friedman and Michael Woodford},
  pages     = {285--367},
  volume    = {3},
  doi       = {10.1016/B978-0-444-53238-1.00007-7},
}

@Article{Christiano:2011,
  author  = {Lawrence J. Christiano and Mathias Trabandt and Karl Walentin},
  journal = {Journal of Economic Dynamics and Control},
  title   = {Introducing financial frictions and unemployment into a small open economy model},
  year    = {2011},
  number  = {12},
  pages   = {1999--2041},
  volume  = {35},
  doi     = {10.1016/j.jedc.2011.09.005},
}

@Unpublished{ChristianoMottoRostagno:2007,
  author = {Lawrence J. Christiano and Roberto Motto and Massimo Rostagno},
  title  = {Notes on {Ramsey}-Optimal Monetary Policy},
  year   = {2007},
  note   = {Available at \url{http://faculty.wcas.northwestern.edu/~lchrist/d16/d1606/ramsey.pdf}},
}

@InCollection{Christoffel:2011,
  author    = {Kai Christoffel and Günter Coenen and Anders Warne},
  booktitle = {The Oxford Handbook of Economic Forecasting},
  publisher = {Oxford University Press},
  title     = {Forecasting with {DSGE} models},
  year      = {2011},
  editor    = {Michael P. Clements and David F. Hendry},
  pages     = {89--128},
  doi       = {10.1093/oxfordhb/9780195398649.013.0005},
}

@TechReport{Collard:2001,
  author      = {Collard, Fabrice},
  institution = {GREMAQ, University of Toulouse},
  title       = {Stochastic simulations with {DYNARE}. A practical guide.},
  year        = {2001},
}

@Article{collard/juillard:2001:compecon,
  author  = {Collard, Fabrice and Juillard, Michel},
  journal = {Computational Economics},
  title   = {A higher-order {Taylor} expansion approach to simulation of stochastic forward-looking models with an application to a nonlinear {Phillips} curve model},
  year    = {2001},
  number  = {2-3},
  pages   = {125--139},
  volume  = {17},
  doi     = {10.1023/A:1011624124377},
}

@Article{Collard:2001JEDC,
  author    = {Fabrice Collard and Michel Juillard},
  journal   = {Journal of Economic Dynamics and Control},
  title     = {Accuracy of stochastic perturbation methods: The case of asset pricing models},
  year      = {2001},
  number    = {6-7},
  pages     = {979--999},
  volume    = {25},
  doi       = {10.1016/s0165-1889(00)00064-6},
  publisher = {Elsevier {BV}},
}

@Article{Corana:1987,
  author    = {Corana, Angelo and Marchesi, Maurizio and Martini, Claudio and Ridella, Sandro},
  journal   = {{ACM} Transactions on Mathematical Software},
  title     = {Minimizing multimodal functions of continuous variables with the {\textquotedblleft}simulated annealing{\textquotedblright} algorithm},
  year      = {1987},
  number    = {3},
  pages     = {262--280},
  volume    = {13},
  doi       = {10.1145/29380.29864},
  publisher = {Association for Computing Machinery ({ACM})},
}

@Article{CubaBorda:2019,
  author    = {Pablo Cuba-Borda and Luca Guerrieri and Matteo Iacoviello and Molin Zhong},
  journal   = {Journal of Applied Econometrics},
  title     = {Likelihood evaluation of models with occasionally binding constraints},
  year      = {2019},
  number    = {7},
  pages     = {1073--1085},
  volume    = {34},
  doi       = {10.1002/jae.2729},
  publisher = {Wiley},
}

@Article{Dennis:2007,
  author    = {Richard Dennis},
  journal   = {Macroeconomic Dynamics},
  title     = {Optimal policy in rational expectations models: new solution algorithms},
  year      = {2007},
  number    = {1},
  pages     = {31--55},
  volume    = {11},
  doi       = {10.1017/s1365100507050341},
  publisher = {Cambridge University Press ({CUP})},
}

@Article{Duffie:1993,
  author  = {Darrell Duffie and Kenneth J. Singleton},
  journal = {Econometrica},
  title   = {Simulated moments estimation of {Markov} models of asset prices},
  year    = {1993},
  number  = {4},
  pages   = {929},
  volume  = {61},
  doi     = {10.2307/2951768},
}

@Book{Durbin:2012,
  author    = {Durbin, James and Koopman, Siem J.},
  publisher = {Oxford University Press},
  title     = {Time series analysis by state space methods},
  year      = {2012},
  address   = {Oxford},
  edition   = {Second Revised Edition},
  timestamp = {2018-07-18},
}

@Article{Fair:1983,
  author    = {Ray C. Fair and John B. Taylor},
  journal   = {Econometrica},
  title     = {Solution and maximum likelihood estimation of dynamic nonlinear rational expectations models},
  year      = {1983},
  number    = {4},
  pages     = {1169},
  volume    = {51},
  doi       = {10.2307/1912057},
  publisher = {{JSTOR}},
}

@Article{FernandezVillaverde:2010,
  author    = {Jes{\'{u}}s Fern{\'{a}}ndez-Villaverde},
  journal   = {{SERIEs}},
  title     = {The econometrics of {DSGE} models},
  year      = {2010},
  number    = {1-2},
  pages     = {3--49},
  volume    = {1},
  doi       = {10.1007/s13209-009-0014-7},
  publisher = {Springer Science and Business Media {LLC}},
}

@Article{FernandezVillaverde:2004,
  author    = {Jes{\'{u}}s Fern{\'{a}}ndez-Villaverde and Juan Francisco Rubio-Ram\'{i}rez},
  journal   = {Journal of Econometrics},
  title     = {Comparing dynamic equilibrium models to data: a {Bayesian} approach},
  year      = {2004},
  number    = {1},
  pages     = {153--187},
  volume    = {123},
  doi       = {10.1016/j.jeconom.2003.10.031},
  publisher = {Elsevier {BV}},
}

@Article{FernandezVillaverde:2005,
  author    = {Jes{\'{u}}s Fern{\'{a}}ndez-Villaverde and Juan F. Rubio-Ram\'{i}rez},
  journal   = {Journal of Applied Econometrics},
  title     = {Estimating dynamic equilibrium economies: linear versus nonlinear likelihood},
  year      = {2005},
  number    = {7},
  pages     = {891--910},
  volume    = {20},
  doi       = {10.1002/jae.814},
  publisher = {Wiley},
}

@Article{ferris/munson:1999,
  author    = {Ferris, Michael C. and Munson, Todd S.},
  journal   = {Computational Optimization and Applications},
  title     = {Interfaces to {PATH 3.0}: design, implementation and usage},
  year      = {1999},
  issn      = {1573-2894},
  month     = jan,
  number    = {1--3},
  pages     = {207--227},
  volume    = {12},
  doi       = {10.1023/a:1008636318275},
  publisher = {Springer Science and Business Media LLC},
}

@Book{Gali:2015,
  author    = {Jordi Gal\'i},
  publisher = {Princeton University Press},
  title     = {Monetary policy, inflation and the business cycle},
  year      = {2015},
  address   = {Princeton},
  edition   = {2},
}

@InCollection{Geweke:1992,
  author    = {Geweke, John},
  booktitle = {{Bayesian Statistics}},
  publisher = {Clarendon Press},
  title     = {Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments},
  year      = {1992},
  address   = {Oxford},
  editor    = {Bernardo, Jos\'e M. and Berger, James O. and Dawid, A. Philip and Smith, Adrian F. M.},
  pages     = {169–194},
  volume    = {4},
  doi       = {10.1093/oso/9780198522669.003.0010},
}

@Article{Geweke:1999,
  author    = {Geweke, John},
  journal   = {Econometric Reviews},
  title     = {Using simulation methods for {Bayesian} econometric models: inference, development, and communication},
  year      = {1999},
  number    = {1},
  pages     = {1--73},
  volume    = {18},
  doi       = {10.1080/07474939908800428},
  owner     = {Johannes},
  timestamp = {2016-02-26},
}

@InCollection{Giordani:2011,
  author    = {Giordani, Paolo and Pitt, Michael Pitt and Kohn, Robert},
  booktitle = {The Oxford Handbook of Bayesian Econometrics},
  publisher = {Oxford University Press},
  title     = {Bayesian Inference for Time Series State Space Models},
  year      = {2011},
  address   = {Oxford},
  chapter   = {3},
  editor    = {Geweke, John and Koop, Gary and van Dijk, Herman},
  pages     = {60--124},
  doi       = {10.1093/oxfordhb/9780199559084.013.0004},
}

@TechReport{Giovannini:2021,
  author      = {Giovannini, Massimo and Pfeiffer, Philipp and Ratto, Marco},
  institution = {Joint Research Centre, European Commission},
  title       = {Efficient and robust inference of models with occasionally binding constraints},
  year        = {2021},
  month       = {4},
  number      = {2021-03},
  type        = {JRC Working Papers in Economics and Finance},
  abstract    = {This paper proposes a piecewise-linear Kalman filter (PKF) to estimate DSGE models with occasionally binding constraints. This method expands the set of models suitable for nonlinear estimation. It straightforwardly handles missing data, non-singularity (more shocks than observed time series), and large-scale models. We provide several applications to highlight its efficiency and robustness compared to existing methods. Our toolkit integrates the PKF into Dynare, the most popular software in DSGE modeling.},
  keywords    = {DSGE; occasionally binding constraints; nonlinear estimation; Piecewise Kalman Filter},
  url         = {https://ideas.repec.org/p/jrs/wpaper/202103.html},
}

@Article{Goffe:1994,
  author    = {Goffe, William L. and Ferrier, Gary D. and Rogers, John},
  journal   = {Journal of Econometrics},
  title     = {Global optimization of statistical functions with simulated annealing},
  year      = {1994},
  number    = {1/2},
  pages     = {65--100},
  volume    = {60},
  doi       = {10.1016/0304-4076(94)90038-8},
  owner     = {JP},
  timestamp = {2015.10.05},
}

@Book{golub/van-loan:1996,
  author    = {Golub, Gene H. and Van Loan, Charles F.},
  publisher = {The John Hopkins University Press},
  title     = {Matrix computations},
  year      = {2013},
  address   = {Baltimore},
  edition   = {4},
}

@Article{Gordon:1993,
  author    = {N. J. Gordon and D. J. Salmond and A. F. M. Smith},
  journal   = {IEE Proceedings F - Radar and Signal Processing},
  title     = {Novel approach to nonlinear/non-{Gaussian Bayesian} state estimation},
  year      = {1993},
  issn      = {0956-375X},
  month     = {4},
  number    = {2},
  pages     = {107--113},
  volume    = {140},
  doi       = {10.1049/ip-f-2.1993.0015},
  keywords  = {Bayes methods;Kalman filters;State estimation;filtering and prediction theory;state estimation;tracking;Gaussian noise;algorithm;bearings only tracking problem;bootstrap filter;extended Kalman filter;measurement model;nonGaussian Bayesian state estimation;nonlinear Bayesian state estimation;random samples;recursive Bayesian filters;simulation;state transition model;state vector density;Bayes procedures;Filtering;Kalman filtering;Prediction methods;Tracking},
  timestamp = {2016-06-30},
}

@Article{Guerrieri:2015,
  author  = {Guerrieri, Luca and Iacoviello, Matteo},
  journal = {Journal of Monetary Economics},
  title   = {{OccBin}: A toolkit for solving dynamic models with occasionally binding constraints easily},
  year    = {2015},
  number  = {C},
  pages   = {22--38},
  volume  = {70},
  doi     = {10.1016/j.jmoneco.2014.08.005},
}

@Article{Guljanov:forthcoming,
  author  = {Guljanov, Gaygysyz and Mutschler, Willi and Trede, Mark},
  journal = {Journal of Economic Dynamics and Control},
  title   = {Pruned skewed Kalman filter and smoother with application to DSGE models},
  year    = {forthcoming},
}

@Article{Hansen:1982,
  author  = {Lars Peter Hansen},
  journal = {Econometrica},
  title   = {Large sample properties of generalized method of moments estimators},
  year    = {1982},
  month   = {7},
  number  = {4},
  pages   = {1029--1054},
  volume  = {50},
  doi     = {10.2307/1912775},
}

@InBook{Hansen:2004,
  author    = {Hansen, Nikolaus and Kern, Stefan},
  pages     = {282--291},
  publisher = {Springer},
  title     = {Evaluating the {CMA Evolution Strategy} on multimodal test functions},
  year      = {2004},
  address   = {Berlin},
  isbn      = {9783540302179},
  booktitle = {Parallel Problem Solving from Nature - PPSN VIII},
  doi       = {10.1007/978-3-540-30217-9_29},
  issn      = {1611-3349},
}

@Article{Harvey:1979,
  author    = {Harvey, Andrew C. and PHILLIPS, Garry D. A.},
  journal   = {Biometrika},
  title     = {Maximum likelihood estimation of regression models with autoregressive-moving average disturbances},
  year      = {1979},
  issn      = {1464-3510},
  number    = {1},
  pages     = {49--58},
  volume    = {66},
  doi       = {10.1093/biomet/66.1.49},
  publisher = {Oxford University Press (OUP)},
}

@Article{Herbst:2015,
  author    = {Edward Herbst},
  journal   = {Computational Economics},
  title     = {Using the {'Chandrasekhar Recursions'} for likelihood evaluation of {DSGE} models},
  year      = {2015},
  number    = {4},
  pages     = {693--705},
  volume    = {45},
  doi       = {10.1007/s10614-014-9430-2},
  publisher = {Springer Science and Business Media {LLC}},
}

@Article{Herbst:2014,
  author    = {Herbst, Edward and Schorfheide, Frank},
  journal   = {Journal of Applied Econometrics},
  title     = {Sequential {Monte Carlo} sampling for {DSGE} models},
  year      = {2014},
  issn      = {1099-1255},
  month     = jul,
  number    = {7},
  pages     = {1073--1098},
  volume    = {29},
  doi       = {10.1002/jae.2397},
  publisher = {Wiley},
}

@Article{Hodrick:1997,
  author   = {Hodrick, Robert J. and Prescott, Edward C.},
  journal  = {Journal of Money, Credit and Banking},
  title    = {Post-war {U.S.} business cycles: an empirical investigation},
  year     = {1997},
  month    = {2},
  number   = {1},
  pages    = {1--16},
  volume   = {29},
  abstract = {The authors propose a procedure for representing a time series of a smoothly varying trend component and a cyclical component. They document the nature of the comovements of the cyclical components of a variety of macroeconomic time series. The authors find that comovements are very different than the corresponding comovements of the slowly varying trend components. Copyright 1997 by Ohio State University Press.},
  doi      = {10.2307/2953682},
}

@TechReport{Ionides:2003,
  author      = {Ionides, Edward L.},
  institution = {University of Michigan},
  title       = {Inference and filtering for partially observed diffusion processes via {Sequential Monte Carlo}},
  year        = {2003},
  number      = {405},
  type        = {Statistics Department Technical Report},
}

@Article{Ireland:2004,
  author    = {Peter N. Ireland},
  journal   = {Journal of Economic Dynamics and Control},
  title     = {A method for taking models to the data},
  year      = {2004},
  number    = {6},
  pages     = {1205--1226},
  volume    = {28},
  doi       = {10.1016/s0165-1889(03)00080-0},
  publisher = {Elsevier {BV}},
}

@Article{Iskrev:2010,
  author  = {Nikolay Iskrev},
  journal = {Journal of Monetary Economics},
  title   = {Local identification in {DSGE} models},
  year    = {2010},
  pages   = {189--202},
  volume  = {57},
  doi     = {10.1016/j.jmoneco.2009.12.007},
}

@InCollection{Judd:1996,
  author    = {Judd, Kenneth},
  booktitle = {Handbook of Computational Economics},
  publisher = {North Holland Press},
  title     = {Approximation, perturbation, and projection methods in economic analysis},
  year      = {1996},
  chapter   = {12},
  editor    = {Amman, Hans and Kendrick, David and Rust, John},
  pages     = {511--585},
  volume    = {1},
  doi       = {10.1016/S1574-0021(96)01014-3},
}

@TechReport{Juillard:1996,
  author      = {Juillard, Michel},
  institution = {CEPREMAP},
  title       = {{Dynare}: a program for the resolution and simulation of dynamic models with forward variables through the use of a relaxation algorithm},
  year        = {1996},
  number      = {9602},
  type        = {CEPREMAP Working Papers (Couverture Orange)},
  url         = {https://ideas.repec.org/p/cpm/cepmap/9602.html},
}

@InProceedings{Julier:1997,
  author    = {Julier, Simon J. and Uhlmann, Jeffrey K.},
  booktitle = {The 11th International Symposium on Aerospace/Defence Sensing, Simulation and Controls},
  title     = {A new extension of the {Kalman} filter to nonlinear systems},
  year      = {1997},
  address   = {Orlando},
  pages     = {182--193},
  doi       = {10.1117/12.280797},
  issn      = {0277-786X},
}

@TechReport{kamenik:2004,
  author      = {Kamenik, Ondra},
  institution = {Manuscript},
  title       = {Solution of specialized {Sylvester} equation},
  year        = {2004},
}

@article{kanzow/petra:2004,
  author    = {Kanzow, Christian and Petra, Stefania},
  journal   = {Optimization Methods and Software},
  title     = {On a semismooth least squares formulation of complementarity problems with gap reduction},
  year      = {2004},
  issn      = {1029-4937},
  month     = {10},
  number    = {5},
  pages     = {507--525},
  volume    = {19},
  doi       = {10.1080/10556780410001683096},
  publisher = {Informa UK Limited}
}

@Article{Kim:2008,
  author  = {Jinill Kim and Sunghyun Kim and Ernst Schaumburg and Christopher A. Sims},
  journal = {Journal of Economic Dynamics and Control},
  title   = {Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models},
  year    = {2008},
  note    = {11},
  pages   = {3397--3414},
  volume  = {32},
  doi     = {10.1016/j.jedc.2008.02.003},
}

@Article{klein:2000,
  author  = {Klein, Paul},
  journal = {Journal of Economic Dynamics and Control},
  title   = {Using the generalized {Schur} form to solve a multivariate linear rational expectations model},
  year    = {2000},
  number  = {10},
  pages   = {1405--1423},
  volume  = {24},
  doi     = {10.1016/s0165-1889(99)00045-7},
}

@Article{Komunjer:2011,
  author    = {Komunjer, Ivana and Ng, Serena},
  journal   = {Econometrica},
  title     = {Dynamic identification of dynamic stochastic general equilibrium models},
  year      = {2011},
  issn      = {0012-9682},
  number    = {6},
  pages     = {1995--2032},
  volume    = {79},
  doi       = {10.3982/ecta8916},
  publisher = {The Econometric Society},
}

@Book{Koop:2003,
  author    = {Gary Koop},
  publisher = {John Wiley \& Sons},
  title     = {Bayesian econometrics},
  year      = {2003},
  address   = {Chichester},
}

@Article{Koopman:2000,
  author    = {Koopman, Siem J. and Durbin, James},
  journal   = {Journal of Time Series Analysis},
  title     = {Fast filtering and smoothing for multivariate state space models},
  year      = {2000},
  issn      = {1467-9892},
  number    = {3},
  pages     = {281--296},
  volume    = {21},
  doi       = {10.1111/1467-9892.00186},
  keywords  = {Diffuse initialization, Kalman filter, multivariate models, smoothing, state space, time series, vector cubic splines},
  publisher = {Blackwell Publishers Ltd},
  timestamp = {2016-11-19},
}

@Article{Koopman:2003,
  author    = {Siem J. Koopman and James Durbin},
  journal   = {Journal of Time Series Analysis},
  title     = {Filtering and smoothing of state vector for diffuse state-space models},
  year      = {2003},
  number    = {1},
  pages     = {85--98},
  volume    = {24},
  abstract  = {This paper presents exact recursions for calculating the mean and mean square error matrix of the state vector given the observations for the multi-variate linear Gaussian state-space model in the case where the initial state vector is (partially) diffuse. Copyright 2003 Blackwell Publishing Ltd.},
  doi       = {10.1111/1467-9892.00294},
  timestamp = {2016-11-19},
}

@Article{Kotecha:2003,
  author    = {Kotecha, Jayesh H. and Djuric, Petar M.},
  journal   = {IEEE Transactions on Signal Processing},
  title     = {{Gaussian} particle filtering},
  year      = {2003},
  issn      = {1053-587X},
  month     = {10},
  number    = {10},
  pages     = {2592--2601},
  volume    = {51},
  doi       = {10.1109/tsp.2003.816758},
  publisher = {Institute of Electrical and Electronics Engineers (IEEE)},
}

@Article{Kotecha:2003:Sum,
  author    = {Kotecha, Jayesh H. and Djuric, Petar M.},
  journal   = {IEEE Transactions on Signal Processing},
  title     = {{Gaussian} sum particle filtering},
  year      = {2003},
  issn      = {1053-587X},
  month     = oct,
  number    = {10},
  pages     = {2602--2612},
  volume    = {51},
  doi       = {10.1109/tsp.2003.816754},
  publisher = {Institute of Electrical and Electronics Engineers (IEEE)},
}

@Article{Krusell:1998,
  author   = {Krusell, Per and Smith, Jr., Anthony A.},
  journal  = {Journal of Political Economy},
  title    = {Income and wealth heterogeneity in the macroeconomy},
  year     = {1998},
  number   = {5},
  pages    = {867-896},
  volume   = {106},
  abstract = {How do movements in the distribution of income and wealth affect the macroeconomy? We analyze this question using a calibrated version of the stochastic growth model with partially uninsurable idiosyncratic risk and movements in aggregate productivity. Our main finding is that, in the stationary stochastic equilibrium, the behavior of the macroeconomic aggregates can be almost perfectly described using only the mean of the wealth distribution. This result is robust to substantial changes in both parameter values and model specification. Our benchmark model, whose only difference from the representative‐agent framework is the existence of uninsurable idiosyncratic risk, displays far less cross‐sectional dispersion and skewness in wealth than U.S. data. However, an extension that relies on a small amount of heterogeneity in thrift does succeed in replicating the key features of the wealth data. Furthermore, this extension features aggregate time series that depart significantly from permanent income behavior.},
  doi      = {10.1086/250034},
}

@TechReport{Kuntsevich:1997,
  author      = {Kuntsevich, Alexei V. and Kappel, Franz},
  institution = {University of Graz},
  title       = {{SolvOpt} - the solver for local nonlinear optimization problems (version 1.1, {Matlab, C, FORTRAN})},
  year        = {1997},
}

@Article{Laffargue:1990,
  author    = {Laffargue},
  journal   = {Annales d’Économie et de Statistique},
  title     = {Résolution d’un modèle macroéconomique avec anticipations rationnelles},
  year      = {1990},
  issn      = {0769-489X},
  number    = {17},
  pages     = {97},
  doi       = {10.2307/20075774},
  publisher = {JSTOR},
}

@InBook{Liu:2001,
  author    = {Liu, Jane and West, Mike},
  chapter   = {10},
  editor    = {Doucet, Arnaud and Freitas, Nando and Gordon, Neil},
  pages     = {197--223},
  publisher = {Springer},
  title     = {Combined parameter and state estimation in simulation-based filtering},
  year      = {2001},
  address   = {New York},
  isbn      = {9781475734379},
  booktitle = {Sequential Monte Carlo Methods in Practice},
  doi       = {10.1007/978-1-4757-3437-9_10},
}

@Article{Murray:2013,
  author    = {Murray, Lawrence M. and Jones, Emlyn M. and Parslow, John},
  journal   = {SIAM/ASA Journal on Uncertainty Quantification},
  title     = {On disturbance state-space models and the particle marginal {Metropolis-Hastings} sampler},
  year      = {2013},
  issn      = {2166-2525},
  month     = {1},
  number    = {1},
  pages     = {494--521},
  volume    = {1},
  doi       = {10.1137/130915376},
  publisher = {Society for Industrial \& Applied Mathematics (SIAM)},
}

@Article{Mutschler:2015,
  author    = {Mutschler, Willi},
  journal   = {Journal of Economic Dynamics and Control},
  title     = {Identification of {DSGE} models---the effect of higher-order approximation and pruning},
  year      = {2015},
  issn      = {0165-1889},
  month     = jul,
  pages     = {34--54},
  volume    = {56},
  doi       = {10.1016/j.jedc.2015.04.007},
  publisher = {Elsevier BV},
}

@Article{Mutschler:2018,
  author    = {Willi Mutschler},
  journal   = {Econometrics and Statistics},
  title     = {Higher-order statistics for {DSGE} models},
  year      = {2018},
  pages     = {44--56},
  volume    = {6},
  doi       = {10.1016/j.ecosta.2016.10.005},
  publisher = {Elsevier {BV}},
}

@Article{DelNegro:2004,
  author    = {Marco Del Negro and Frank Schorfheide},
  journal   = {International Economic Review},
  title     = {Priors from general equilibrium models for {VARS}},
  year      = {2004},
  number    = {2},
  pages     = {643--673},
  volume    = {45},
  doi       = {10.1111/j.1468-2354.2004.00139.x},
  publisher = {Wiley},
}

@Article{Pearlman:1986,
  author  = {Joseph G. Pearlman and Paul D. Currie and Peter W. Levine},
  journal = {Economic Modelling},
  title   = {Rational expectations models with partial information},
  year    = {1986},
  pages   = {90--105},
  volume  = {3},
  doi     = {10.1016/0264-9993(86)90001-5},
}

@TechReport{Pfeifer:2013,
  author      = {Johannes Pfeifer},
  institution = {Universität der Bundeswehr München},
  title       = {A guide to specifying observation equations for the estimation of {DSGE} models},
  year        = {2013},
  school      = {Universität der Bundeswehr München},
  timestamp   = {2018-07-23},
  url         = {https://drive.google.com/file/d/1r89OU5OE3CBa6tOlj6l3hNVWEaRH5Anv/view?usp=sharing},
}

@TechReport{Pfeifer:2014,
  author      = {Johannes Pfeifer},
  institution = {Universität der Bundeswehr München},
  title       = {An introduction to graphs in {Dynare}},
  year        = {2014},
  school      = {University of Cologne},
  timestamp   = {2018-07-23},
}

@Article{Pitt:1999,
  author    = {Pitt, Michael K. and Shephard, Neil},
  journal   = {Journal of the American Statistical Association},
  title     = {Filtering via simulation: auxiliary particle filters},
  year      = {1999},
  issn      = {1537-274X},
  month     = {6},
  number    = {446},
  pages     = {590--599},
  volume    = {94},
  doi       = {10.1080/01621459.1999.10474153},
  publisher = {Informa UK Limited},
}

@TechReport{Planas:2015,
  author      = {Planas, Christophe and Ratto, Marco and Rossi, Alessandro},
  institution = {European Commission, Joint Research Centre},
  title       = {Slice sampling in {Bayesian} estimation of {DSGE} models},
  year        = {2015},
}

@Article{Qu:2012,
  author    = {Qu, Zhongjun and Tkachenko, Denis},
  journal   = {Quantitative Economics},
  title     = {Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models: {QML} estimation of linearized {DSGE} models},
  year      = {2012},
  issn      = {1759-7323},
  month     = mar,
  number    = {1},
  pages     = {95--132},
  volume    = {3},
  doi       = {10.3982/qe126},
  publisher = {The Econometric Society},
}

@Article{Rabanal:2005,
  author    = {Pau Rabanal and Juan F. Rubio-Ram\'{i}rez},
  journal   = {Journal of Monetary Economics},
  title     = {Comparing {New Keynesian} models of the business cycle: A {Bayesian} approach},
  year      = {2005},
  number    = {6},
  pages     = {1151--1166},
  volume    = {52},
  doi       = {10.1016/j.jmoneco.2005.08.008},
  publisher = {Elsevier {BV}},
}

@InCollection{Raftery:1992,
  author    = {Adrian E. Raftery and Steven Lewis},
  booktitle = {{Bayesian Statistics}},
  publisher = {Clarendon Press},
  title     = {How many iterations in the {Gibbs} sampler?},
  year      = {1992},
  address   = {Oxford},
  editor    = {Bernardo, Jos\'e M. and Berger, James O. and Dawid, A. Philip and Smith, Adrian F. M.},
  pages     = {763--773},
  volume    = {4},
  owner     = {JP},
  timestamp = {2016.11.02},
}

@Article{Ratto:2008,
  author   = {Marco Ratto},
  journal  = {Computational Economics},
  title    = {Analysing {DSGE} models with global sensitivity analysis},
  year     = {2008},
  month    = {March},
  number   = {2},
  pages    = {115--139},
  volume   = {31},
  abstract = {No abstract is available for this item.},
  keywords = {Stability mapping; Reduced form solution; DSGE models; Monte Carlo filtering; Global sensitivity ana},
}

@TechReport{Ratto:2011,
  author      = {Ratto, Marco and Iskrev, Nikolay},
  institution = {Joint Research Centre, European Commission},
  title       = {Algorithms for identification analysis under the {Dynare} environment: final version of the software},
  year        = {2011},
  school      = {Joint Research Centre, European Commission},
}

@Article{RugeMurcia:2012,
  author  = {Ruge-Murcia, Francisco J.},
  journal = {Journal of Economic Dynamics and Control},
  title   = {Estimating nonlinear {DSGE} models by the simulated method of moments: With an application to business cycles},
  year    = {2012},
  number  = {6},
  pages   = {914--938},
  volume  = {36},
  doi     = {10.1016/j.jedc.2012.01.008},
}

@Article{schmitt-grohe/uribe:2004,
  author  = {Schmitt-Groh\'{e}, Stephanie and Ur\'{i}be, Martin},
  journal = {Journal of Economic Dynamics and Control},
  title   = {Solving dynamic general equilibrium models using a second-order approximation to the policy function},
  year    = {2004},
  number  = {4},
  pages   = {755--775},
  volume  = {28},
  doi     = {10.1016/s0165-1889(03)00043-5},
}

@Article{Schnabel:1990,
  author    = {Schnabel, Robert B. and Eskow, Elizabeth},
  journal   = {SIAM Journal on Scientific and Statistical Computing},
  title     = {A new modified {Cholesky} factorization},
  year      = {1990},
  number    = {6},
  pages     = {1136--1158},
  volume    = {11},
  doi       = {10.1137/0911064},
  publisher = {SIAM},
}

@Article{Schorfheide:2000,
  author    = {Frank Schorfheide},
  journal   = {Journal of Applied Econometrics},
  title     = {Loss function-based evaluation of {DSGE} models},
  year      = {2000},
  number    = {6},
  pages     = {645--670},
  volume    = {15},
  doi       = {10.1002/jae.582},
  publisher = {Wiley},
}

@Article{sims:2001,
  author  = {Sims, Christopher A.},
  journal = {Computational Economics},
  title   = {Solving linear rational expectations models},
  year    = {2002},
  number  = {1-2},
  pages   = {1--20},
  volume  = {20},
  doi     = {10.1023/A:1020517101123},
}

@Article{Sims:2008,
  author    = {Sims, Christopher A. and Waggoner, Daniel F. and Zha, Tao},
  journal   = {Journal of Econometrics},
  title     = {Methods for inference in large multiple-equation {Markov}-switching models},
  year      = {2008},
  issn      = {0304-4076},
  month     = oct,
  number    = {2},
  pages     = {255--274},
  volume    = {146},
  doi       = {10.1016/j.jeconom.2008.08.023},
  publisher = {Elsevier BV},
}

@Article{Skoeld:2003,
  author    = {Sköld, Martin and Roberts, Gareth O.},
  journal   = {Scandinavian Journal of Statistics},
  title     = {Density estimation for the {Metropolis–Hastings} algorithm},
  year      = {2003},
  issn      = {1467-9469},
  month     = {10},
  number    = {4},
  pages     = {699--718},
  volume    = {30},
  doi       = {10.1111/1467-9469.00359},
  publisher = {Wiley},
}

@Article{Smets:2003,
  author  = {Frank Smets and Rafael Wouters},
  journal = {Journal of the European Economic Association},
  title   = {An estimated dynamic stochastic general equilibrium model of the euro area},
  year    = {2003},
  issn    = {1542-4774},
  number  = {5},
  pages   = {1123--1175},
  volume  = {1},
  doi     = {10.1162/154247603770383415},
}

@Article{Stock:1999,
  author  = {James H. Stock and Mark W. Watson},
  journal = {Journal of Monetary Economics},
  title   = {Forecasting inflation},
  year    = {1999},
  number  = {2},
  pages   = {293--335},
  volume  = {44},
  doi     = {10.1016/S0304-3932(99)00027-6},
}

@Article{TerBraak:2006,
  author    = {Ter Braak, Cajo J. F.},
  journal   = {Statistics and Computing},
  title     = {A {Markov Chain Monte Carlo} version of the genetic algorithm {Differential Evolution}: easy {Bayesian} computing for real parameter spaces},
  year      = {2006},
  issn      = {1573-1375},
  month     = {9},
  number    = {3},
  pages     = {239--249},
  volume    = {16},
  doi       = {10.1007/s11222-006-8769-1},
  publisher = {Springer Science and Business Media LLC},
}

@InCollection{uhlig:1999,
  author    = {Uhlig, Harald},
  booktitle = {Computational Methods for the Study of Dynamic Economies},
  publisher = {Oxford University Press},
  title     = {A toolkit for analysing nonlinear dynamic stochastic models easily},
  year      = {2001},
  address   = {Oxford},
  editor    = {Marimon, Ramon and Scott, Andrew},
  pages     = {30--61},
  doi       = {10.1093/0199248273.003.0003},
}

@TechReport{Villemot:2011,
  author      = {Villemot, Sébastien},
  institution = {CEPREMAP},
  title       = {Solving rational expectations models at first order: what {Dynare} does},
  year        = {2011},
  month       = apr,
  number      = {2},
  type        = {Dynare Working Papers},
  abstract    = {This paper describes in detail the algorithm implemented in Dynare for computing the first order approximated solution of a nonlinear rational expectations model. The core of the algorithm is a generalized Schur decomposition (also known as the QZ decomposition), as advocated by several authors in the literature. The contribution of the present paper is to focus on implementation details that make the algorithm more generic and more efficient, especially for large models.},
  keywords    = {Dynare; Numerical methods; Perturbation; Rational expectations},
  school      = {CEPREMAP},
  url         = {https://ideas.repec.org/p/cpm/dynare/002.html},
}

@Article{Waggoner:2016,
  author    = {Waggoner, Daniel F. and Wu, Hongwei and Zha, Tao},
  journal   = {Journal of Econometrics},
  title     = {Striated {Metropolis–Hastings} sampler for high-dimensional models},
  year      = {2016},
  issn      = {0304-4076},
  month     = jun,
  number    = {2},
  pages     = {406--420},
  volume    = {192},
  doi       = {10.1016/j.jeconom.2016.02.007},
  publisher = {Elsevier BV},
}

@InCollection{Wan:2001,
  author    = {Wan, Eric A. and van der Merwe, Rudolph},
  booktitle = {{Kalman} Filtering and Neural Networks},
  publisher = {John Wiley \& Sons},
  title     = {The unscented {Kalman} filter},
  year      = {2001},
  address   = {New York},
  chapter   = {7},
  editor    = {Haykin. Simon},
  isbn      = {9780471221548},
  month     = {10},
  pages     = {221--280},
  doi       = {10.1002/0471221546.ch7},
  journal   = {Kalman Filtering and Neural Networks},
}

@InCollection{Rouwenhorst:1995,
  author    = {Rouwenhorst, K. Geert},
  booktitle = {Frontiers of Business Cycle Research},
  title     = {Asset Pricing Implications of Equilibrium Business Cycle Models},
  year      = {1995},
  editor    = {Cooley, Thomas F.},
  pages     = {294--330},
  publisher = {Princeton University Press},
  address   = {Princeton, NJ},
}

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