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One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … both weakly and strongly identified DSGE model parameters. We also show that under our assumptions special care is needed …
Persistent link: https://www.econbiz.de/10010437938
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … sheds new light on the choice of the weighting matrix and covers both weakly and strongly identified DSGE model parameters …
Persistent link: https://www.econbiz.de/10011418016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … sheds new light on the choice of the weighting matrix and covers both weakly and strongly identified DSGE model parameters …
Persistent link: https://www.econbiz.de/10012997326
A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median...
Persistent link: https://www.econbiz.de/10011757054
stability of the solutions of linear dynamic stochastic general equilibrium (DSGE) models. Comparing seven different solution … inaccuracies. The analysis is then performed for a database of roughly 100 DSGE models from the literature and a large set of draws …
Persistent link: https://www.econbiz.de/10014429077
solution methods suitable for standard DSGE estimation and analysis procedures. This approach generalizes the time …
Persistent link: https://www.econbiz.de/10015051533
large-scale SSMs, making it particularly useful to estimate dynamic stochastic general equilibrium (DSGE) models and dynamic … factor models. Tests using a medium-scale DSGE model, namely the 2007 version of the Smets and Wouters model, show that the …
Persistent link: https://www.econbiz.de/10013274687
Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions … (using the Likelihood Ratio), and on the Del Negro-Schorfheide DSGE-VAR weight. We find that the power of all three tests is …
Persistent link: https://www.econbiz.de/10009563550
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 …
Persistent link: https://www.econbiz.de/10011886093
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 …
Persistent link: https://www.econbiz.de/10010339762