This paper examines whether the presence of parameter instabilities in dynamic stochastic general equilibrium (DSGE …) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial …

methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector … Ravenna (2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with … used to rank competing DSGE theories that aim to explain the same observed data (Geweke, 2005). Finally, motivated by the …

This paper provides a reverse mode derivative for DSGE models. Reverse mode differentiation enables the efficient …

stochastic general equilibrium (DSGE) model. We use the DSGE model priors to determine the moments of an independent Normal …-Wishart prior for the VAR parameters. Two hyper-parameters control the tightness of the DSGE-implied priors on the autoregressive … maximize the marginal likelihood of the Bayesian VAR provides a method for isolating subsets of DSGE parameter priors that are …

A New Keynesian DSGE model with non-Ricardian households is estimated for the Portuguese economy and the stability of …

A New Keynesian DSGE model with non-Ricardian households is estimated and tested for the Portuguese economy The share …

Using Bayesian maximum likelihood and data for Portugal, I estimate a New Keynesian DSGE model allowing for the …