Denis Tkachenko

Research

Publications

Using Arbitrary Precision Arithmetic to Sharpen Identification Analysis for DSGE Models (with Zhongjun Qu), Journal of Applied Econometrics, 38(2023), 644-667. (replication material)

Global Identification in DSGE Models Allowing for Indeterminacy (with Zhongjun Qu), Review of Economic Studies, 84(2017), 1306-1345. (appendix and code)

Frequency Domain analysis of medium scale DSGE models with Application to Smets and Wouters (2007)
with Zhongjun Qu, Advances in Econometrics (Volume 28): DSGE Models in Macroeconomics – Estimation, Evaluation and New Developments, 2012, 319-385. (The linked working paper is up to date.)
MATLAB code replicating the results on identification, estimation, inference and model diagnostics is available here.

Identification and Frequency Domain Quasi-maximum Likelihood Estimation of Linearized Dynamic Stochastic General Equilibrium Models
with Zhongjun Qu, Quantitative Economics, 3(2012), 95-132. Update.
(A working paper version with complete proofs).
MATLAB code replicating the findings reported in Section 3.2 of the paper is available here.