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Uncertainty and Irreversible Investment : A Bayesian approach of DSGE models

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  • Jean-Francois Piferini

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    (Département d'économie et de gestion université PARIS 8)

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    Abstract

    Dynamic stochastic general equilibrium models have begun to dominate the field of macroeconomic theory and policy making. In this paper, I present the first estimation results of investment expenditure for the french economy, applying the bayesian estimation approach of DSGE models. first, I will present the forward looking DSGE model. The DSGE model is defined and first order conditions are identified. The second section sketches the bayesian estimation methodology (solving the model with linear approximations). Then, I describe results on a quarterly french dataset. The model provides an good description of the dynamics of the series.

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    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 460.

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    Date of creation: 04 Jul 2006
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    Handle: RePEc:sce:scecfa:460

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    Keywords: investment; uncertainty;

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