Autore: KRIWOLUZKY, Alexander
Titolo: Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2009 - Fascicolo: 29 - Pagina iniziale: 1 - Pagina finale: 20

This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating process. It proposes a framework for estimating the parameters of the VAR model and the DSGE model jointly: the VAR model is identified by sign restrictions derived from the DSGE model; the DSGE model is estimated by matching the corresponding impulse response functions.





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