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Comment on An and Schorfheide's Bayesian Analysis of DSGE Models

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  • Tao Zha

Abstract

An and Schorfheide's article provides an excellent review of Bayesian estimation of DSGE models. Rather than recapitulating the points already made in this article, my comment focuses on three aspects. It proposes a convergence measure to take account of serial correlation of MCMC draws, explains why the DSGE-VAR framework for policy analysis can be improved by avoiding the ad hoc identification assumption, and discusses an alternative structural approach to model misspecification.

Suggested Citation

  • Tao Zha, 2007. "Comment on An and Schorfheide's Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 205-210.
  • Handle: RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:205-210
    DOI: 10.1080/07474930701220212
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    1. Drew Fudenberg & David K. Levine, 1998. "The Theory of Learning in Games," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061945, January.
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