Kliem, Martin; Uhlig, Harald - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 257-287
This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution for the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, and show that...