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.
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Find related papers by 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