منابع مشابه
On Identication of Bayesian DSGE Models
In recent years there has been increasing concern about the identi cation of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be di¢ cult to determine whether a parameter is identi ed. For the researcher using Bayesian methods, a lack of identi cation may not be evident since the posterior of a parameter of interest may di¤er from its...
متن کاملBayesian Mixed Frequency Estimation of DSGE models
In this paper, we present an alternative strategy for estimation of DSGE models when data is available at di¤erent time intervals. Our method is based on a data augmentation technique within Bayesian estimation of structural models and allows us to jointly use data at di¤erent frequencies. The bene ts achieved via this methodology will be twofold, resolution of time aggregation bias and identi ...
متن کاملOn Identification of Bayesian DSGE Models
On Identification of Bayesian DSGE Models In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a lack of identification may not be evident since the posterior...
متن کاملBayesian Estimation of DSGE Models: Lessons from Second-order Approximations
This paper investigates a general procedure to estimate second-order approximations to a DSGE model and compares the performance with the widely used estimation technique for a log-linearized economy on a version of new Keynesian monetary model. It is done in the context of posterior distributions, welfare cost, and impulse response analysis. Our findings include the followings. First, we find ...
متن کاملDynamic Stochastic General Equilibrium (DSGE) Priors for Bayesian Vector Autoregressive (BVAR) Models: DSGE Model Comparison
This Paper describes a procedure for constructing theory restricted prior distributions for BVAR models. The Bayes Factor, which is obtained without any additional computational effort, can be used to assess the plausibility of the restrictions imposed on the VAR parameter vector by competing DSGE models. In other words, it is possible to rank the amount of abstraction implied by each DSGE mode...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2007
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474930701220071