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We propose a method to estimate time invariant cyclical DSGE models using the information provided by a variety of filtering approaches. We treat data filtered with alternative procedures as contaminated proxy of the relevant model-based quantities and estimate structural and nonstructural...
Persistent link: https://www.econbiz.de/10012708366
We propose a method to estimate time invariant cyclical dynamic stochastic general equilibrium models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural...
Persistent link: https://www.econbiz.de/10011755937
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We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology has the potential to resolve well-known problems. In each case we consider,...
Persistent link: https://www.econbiz.de/10012898448
The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. Identification and inferential distortions when a constant parameter...
Persistent link: https://www.econbiz.de/10013011010
This chapter highlights the problems that structural methods and SVAR approaches have when estimating DSGE models and examining their ability to capture important features of the data. We show that structural methods are subject to severe identification problems due, in large part, to the nature...
Persistent link: https://www.econbiz.de/10012709245
identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to …
Persistent link: https://www.econbiz.de/10013318045
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