Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
AbstractThe empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date and a range of lags and deterministicprocesses. We find support for a number of features implied by the economic model and the evidence suggests a break in the entire model structure around 1984 after which technology shocks appear to account for all stochastic trends. Business cycle volatility seems more due to investment specific technology shocks than neutraltechnology shocks.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 12-025/4.
Date of creation: 20 Mar 2012
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Posterior probability; Dynamic stochastic general equilibrium model; Cointegration; Model averaging; Stochastic trend; Impulse response; Vector autoregressive model;
Other versions of this item:
- Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, 02.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-03 (All new papers)
- NEP-CBA-2012-04-03 (Central Banking)
- NEP-DGE-2012-04-03 (Dynamic General Equilibrium)
- NEP-ECM-2012-04-03 (Econometrics)
- NEP-ORE-2012-04-03 (Operations Research)
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- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012.
"Combination schemes for turning point predictions,"
2012_15, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
- Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
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