Showing 1 - 3 of 3
We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (2007) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that 1) the...
Persistent link: https://www.econbiz.de/10010219714
: estimation of parameters that are relevant for policy trade-offs and treatment of estimated deviations from the cross …
Persistent link: https://www.econbiz.de/10003781475
This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of … the estimation of VAR or DSGE models with stochastic volatility. Relative to Primiceri (2005), the correct algorithm …
Persistent link: https://www.econbiz.de/10009744671