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Frequentist inference in weakley identified dynamic stochastic general equilibrium models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Quantitative economics : QE ; journal of the … 4 (2013) 2, pp. 197-229
Persistent link: https://www.econbiz.de/10010126204
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What to expect when you're calibrating : measuring the effect of calibration on the estimation of macroeconomic models
Iskrev, Nikolay - In: Journal of economic dynamics & control 99 (2019), pp. 54-81
Persistent link: https://www.econbiz.de/10012130799
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Frequentist inference in weakly identified dynamic stochastic general equilibrium models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Quantitative economics : QE ; journal of the … 4 (2013) 2, pp. 197-229
parameters that are asymptotically valid from a frequentist point of view regardless of the strength of identification. One …
Persistent link: https://www.econbiz.de/10011757054
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DSGE Models and Central Banks
Tovar, Camilo Ernesto - 2008
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and...
Persistent link: https://www.econbiz.de/10010298566
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DSGE Models and Central Banks
Tovar, Camilo Ernesto - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-16, pp. 1-31
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and...
Persistent link: https://www.econbiz.de/10010298635
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Selecting primal innovations in DSGE models
Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A. - 2017
DSGE models are typically estimated assuming the existence of certain primal shocks that drive macroeconomic fluctuations. We analyze the consequences of estimating shocks that are "non-existent" and propose a method to select the primal shocks driving macroeconomic uncertainty. Forcing these...
Persistent link: https://www.econbiz.de/10012030335
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On identification of Bayesian DSGE models
Koop, Gary; Pesaran, Mohammad Hashem; Smith, Ron P. - 2011
In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general …. For the researcher using Bayesian methods, a lack of identification may not be evident since the posterior of a parameter … the priors assumed on the structural parameters are independent. We suggest two Bayesian identification indicators that do …
Persistent link: https://www.econbiz.de/10010276281
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On identification of Bayesian DSGE models
Koop, Gary; Pesaran, Hashem; Smith, Ron P. - 2011
In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general …. For the researcher using Bayesian methods, a lack of identification may not be evident since the posterior of a parameter … the priors assumed on the structural parameters are independent. We suggest two Bayesian identification indicators that do …
Persistent link: https://www.econbiz.de/10010278760
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MEDEA: a DSGE model for the Spanish economy
Burriel, Pablo; Fernández-Villaverde, Jesús; … - In: SERIEs - Journal of the Spanish Economic Association 1 (2010) 1/2, pp. 175-243
In this paper, we provide a brief introduction to a new macroeconometric model of the Spanish economy named MEDEA (Modelo de EquilibrioDinámico de la Economía EspañolA). MEDEA is a dynamic stochastic general equilibrium (DSGE) model that aims to describe the main features of the Spanish...
Persistent link: https://www.econbiz.de/10010317074
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Bayesian prior elicitation in DSGE models: Macro- vs micropriors
Lombardi, Marco; Nicoletti, Giulio - In: Journal of economic dynamics & control 36 (2012) 2, pp. 294-313
Persistent link: https://www.econbiz.de/10009489608