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Structural Breaks in Estimated DSGE Models with Indeterminacy

Author

Listed:
  • Siddhartha Chib
  • Michael Dueker
  • Anatoliy Belaygorod

    (Business Washington University in Saint Louis)

Abstract

Lubik and Schorfheide (2004) extend estimated DSGE models to address monetary policy indeterminacy. Their method leads to an all-or-none classification of a time period as having determinate or indeterminate monetary policy. Sub-sample estimates indicate, however, that U.S. monetary policy might have shifted from determinacy to intdeterminacy and back at some point between 1960 and 2003. Our paper introduces methods needed to apply Chib's (1996) change-point model to an estimated DSGE model written in state-space form.

Suggested Citation

  • Siddhartha Chib & Michael Dueker & Anatoliy Belaygorod, 2005. "Structural Breaks in Estimated DSGE Models with Indeterminacy," Computing in Economics and Finance 2005 357, Society for Computational Economics.
    • Handle: RePEc:sce:scecf5:357
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    References listed on IDEAS

    as
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    5. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(3), pages 409-431, August.
    6. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
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    More about this item

    Keywords

    Indeterminacy; change point model;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models

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