Showing 1 - 10 of 907
This paper studies large sample classical and Bayesian inference in a prototypical linear DSGE model and demonstrates that inference on the structural parameters based on a Gaussian likelihood is unaffected by departures from Gaussianity of the structural shocks. This surprising result is due to...
Persistent link: https://www.econbiz.de/10014464410
Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based on the idea of evaluating the posterior in parallel and ahead of time. Improved Metropolis-Hastings prefetching algorithms are presented and evaluated. It is shown how to use...
Persistent link: https://www.econbiz.de/10003779724
In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has...
Persistent link: https://www.econbiz.de/10009355422
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 frictions for the US economy. Over the forecast period...
Persistent link: https://www.econbiz.de/10011349997
Similar to Ingram and Whiteman (1994), De Jong et al. (1993) and Del Negro and Schorfheide (2004) this study proposes a methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector Autoregressive (BVAR) models. The moments of the...
Persistent link: https://www.econbiz.de/10010339762
This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate policy. In contrast with previous findings, the...
Persistent link: https://www.econbiz.de/10011434680
We present a new method for estimating Bayesian vector auto-regression (VAR) models using priors from a dynamic 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...
Persistent link: https://www.econbiz.de/10012925686
This paper provides a reverse mode derivative for DSGE models. Reverse mode differentiation enables the efficient computation of gradients from the model likelihood to the model parameters. These gradients can then be used by derivative based sampling algorithms including the No U-Turn Sampler....
Persistent link: https://www.econbiz.de/10012625302
In this paper, a New-Keynesian DSGE model for a small open economy integrated in a monetary union is developed and estimated for the Portuguese economy, using a Bayesian approach. Estimates for some key structural parameters are obtained and a set of exercises exploring the model's statistical...
Persistent link: https://www.econbiz.de/10013149135
We present a new method for estimating Bayesian vector autoregression (VAR) models using priors from a dynamic 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...
Persistent link: https://www.econbiz.de/10011886093