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Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models

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  • Alexander Kriwoluzky

Abstract

This paper shows how to identify the structural shocks of a Vector Autore- gression (VAR) while at the same time estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data generating process. It proposes a framework to estimate 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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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2008-060.

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Length: 32 pages
Date of creation: Sep 2008
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2008-060

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Keywords: Bayesian Model Estimation; Vector Autoregression; Identification.;

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References

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  19. Andreas Beyer & Roger E.A. Farmer, 2006. "Identification Problems in SDGE Models with an illustration to a small Macro model," Computing in Economics and Finance 2006, Society for Computational Economics 81, Society for Computational Economics.
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Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models
    by Christian Zimmermann in NEP-DGE blog on 2009-09-27 01:45:04
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Cited by:
  1. Kriwoluzky, Alexander, 2012. "Pre-announcement and timing: The effects of a government expenditure shock," European Economic Review, Elsevier, Elsevier, vol. 56(3), pages 373-388.

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