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Bayesian Analysis of DSGE models: A Panel Approach

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  • Tareq Sadeq

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    (EPEE, Université d’Evry Val d’Essonne)

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    Abstract

    This methodological paper in Bayesian econometrics applied to macroeconomic models, presents first the Bayesian estimation of DSGE models, then illustrates the e¤ects of the estimation for a panel of countries, assuming some homogeneity across coun- tries. Under some specifications, the results exhibit more preci- sion about parameters in a panel approach. The gain of precision is important using a panel of small samples of data.

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    File URL: http://epee.univ-evry.fr/RePEc/2008/08-03.pdf
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    Bibliographic Info

    Paper provided by Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne in its series Documents de recherche with number 08-03.

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    Length: 63 pages
    Date of creation: 2008
    Date of revision:
    Handle: RePEc:eve:wpaper:08-03

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    1. Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004. "Similarities and convergence in G-7 cycles," Working Paper Series 0312, European Central Bank.
    2. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
    3. Javier Alvarez & Manuel Arellano, 2003. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Econometrica, Econometric Society, vol. 71(4), pages 1121-1159, 07.
    4. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2007. "Bayesian Inference in a Cointegrating Panel Data Model," Working Paper Series 02-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
    5. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
    6. Pau Rabanal & Juan Francisco Rubio-Ramirez, 2003. "Comparing New Keynesian models in the Euro area: a Bayesian approach," Working Paper 2003-30, Federal Reserve Bank of Atlanta.
    7. Dale J. Poirier, 1995. "Intermediate Statistics and Econometrics: A Comparative Approach," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262161494, December.
    8. Andrew Levin & Christopher J. Erceg & Dale W. Henderson, 1999. "Optimal Monetary Policy with Staggered Wage and Price Contracts," Computing in Economics and Finance 1999 1151, Society for Computational Economics.
    9. Koop, Gary & Osiewalski, Jacek & Steel, Mark F J, 2000. "Modeling the Sources of Output Growth in a Panel of Countries," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 284-99, July.
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