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One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011418016
-form parameters, since the the prior does not, in general, depend on the data. We illustrate that this approach tends to produce …
Persistent link: https://www.econbiz.de/10012661969
In a series of recent studies, Raffaella Giacomini and Toru Kitagawa have developed an innovative new methodological approach to estimating sign-identified structural VAR models that seeks to build a bridge between Bayesian and frequentist approaches in the literature. Their latest paper with...
Persistent link: https://www.econbiz.de/10013310356
-form parameters, since the prior does not, in general, depend on the data. We illustrate that this approach tends to produce highly …
Persistent link: https://www.econbiz.de/10014090346
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012839764
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012174841
This paper clarifies the conditions under which the state-of-the-art approach to identifying TFP news shocks in Kurmann and Sims (2021, KS) identifies not only news shocks but also surprise shocks. We examine the ability of the KS procedure to recover responses to these shocks from data...
Persistent link: https://www.econbiz.de/10014357201
prove by counterexample that this practice is invalid in general, whether the data generating process is a structural VAR … model or a dynamic stochastic general equilibrium model …
Persistent link: https://www.econbiz.de/10014240870
prove by counterexample that this practice is invalid in general, whether the data generating process is a structural VAR … model or a dynamic stochastic general equilibrium model …
Persistent link: https://www.econbiz.de/10014241670
Recently, Baumeister and Hamilton (henceforth: BH) have argued that existing studies of the global oil market fail to account for uncertainty about their identifying assumptions. They recommend an alternative econometric approach intended to address this concern by formulating priors on the...
Persistent link: https://www.econbiz.de/10011882307