In most existing DSGE models, parameters are supposed constant and exogenous shocks have zero mean. This makes difficult to treat structural change and anticipated effects of future reforms. Introducing dummy variables in the DSGE model can only handle unexpected changes. This papers deals with...

This paper uses an unobserved component model to examine the relative importance of the structural and the persistence approach to unemployment. We derive the NAIRU from a standard imperfect competition model. The price- and wage-setting schedules include a measure for unemployment persistence....

We estimate the approximate nonlinear solution of a small DSGE model using Bayesian methods. Our results, based on euro area data, suggest that this approch delivers sharper inference compared to the estimation of the linearised solution. The nonlinear model can also account for richer economic...

This paper adds oil prices to an estimated DSGE model for the euro area. The price of oil is an important macroeconomic driving factor for most industrialised countries. The euro area is importing most of its oil from abroad; therefore changes in oil prices have effects on domestic income via the...

Recent empirical studies have demonstrated that behaviour of interest rate processes can be better explained if standard diffusion processes are augmented with jumps in the interest rate process. In this paper we examine the performance of both linear and non-linear one factor CKLS model in the...

This paper presents an attempt to solve and estimate a structural dynamic non-linear rational expectation model. The main contribution of this paper is to explore the Smolyak operator for numerical approximation and integration in a generic model class which do not suffer exponentially but only...

Simulations have become a common tool to study the implications of theoretical models. In addition, computational approaches are frequently used in statistics to adapt models to reality. We aim to merge these approaches. To obtain robust results with significant validity from simulations,...

We study the role of information sources on innovation in a two stage sequential probit model that can be used to analyze survey data in which questions are asked sequentially. Firms can fall into three catagories: (i) they do not innovation; (ii) they introduce a radical innovation on their...