Comment on An and Schorfheide's Bayesian Analysis of DSGE Models
AbstractAn and Schorfheide's article provides an excellent review of Bayesian estimation of DSGE models. Rather than recapitulating the points already made in this article, my comment focuses on three aspects. It proposes a convergence measure to take account of serial correlation of MCMC draws, explains why the DSGE-VAR framework for policy analysis can be improved by avoiding the ad hoc identification assumption, and discusses an alternative structural approach to model misspecification.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 26 (2007)
Issue (Month): 2-4 ()
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