Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)
The paper considers parameter identification, estimation and inference in medium scale DSGE models from a frequency domain perspective using the framework developed in Qu and Tkachenko (2010). The analysis uses Smets and Wouters (2007) as an illustrative example, motivated by the fact that it has become a workhorse model in the DSGE literature. For identification, in additional to checking parameter identifiably, we derive the non-identification curve to depict parameter values that yield observational equivalence, revealing which and how many parameters need to be fixed to achieve local identification. For estimation and inference, we contrast estimates obtained using the full spectrum with those using only the business cycle frequencies to find notably di¤erent parameter values and impulse response functions. A further comparison between the nonparametrically estimated and model implied spectra suggests that the business cycle based method delivers better estimates of the features that the model is intended to capture. Overall, the results suggest that the frequency domain based approach, in part due to its ability in handling subsets of frequencies, constitutes a fiexible framework for studying medium scale DSGE models.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Jan 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.bu.edu/econ/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
- Chris Otrok, 1999.
"On Measuring the Welfare Cost of Business Cycles,"
Virginia Economics Online Papers
318, University of Virginia, Department of Economics.
- Christopher Otrok, 2000. "On Measuring the Welfare Cost of Business Cycles," Econometric Society World Congress 2000 Contributed Papers 1094, Econometric Society.
- Eric M. Leeper & Christopher A. Sims, 1994.
"Toward a Modern Macroeconomic Model Usable for Policy Analysis,"
NBER Working Papers
4761, National Bureau of Economic Research, Inc.
- Eric M. Leeper & Christopher A. Sims, 1994. "Toward a Modern Macroeconomic Model Usable for Policy Analysis," NBER Chapters, in: NBER Macroeconomics Annual 1994, Volume 9, pages 81-140 National Bureau of Economic Research, Inc.
- Eric M. Leeper & Christopher A. Sims, 1994. "Toward a modern macroeconomic model usable for policy analysis," FRB Atlanta Working Paper 94-5, Federal Reserve Bank of Atlanta.
- Hansen, Lars Peter & Sargent, Thomas J., 1993. "Seasonality and approximation errors in rational expectations models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 21-55.
- Christopher A. Sims, 1990.
"Rational expectations modeling with seasonally adjusted data,"
Discussion Paper / Institute for Empirical Macroeconomics
35, Federal Reserve Bank of Minneapolis.
- Sims, Christopher A., 1993. "Rational expectations modeling with seasonally adjusted data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 9-19.
- Iskrev, Nikolay, 2010.
"Local identification in DSGE models,"
Journal of Monetary Economics,
Elsevier, vol. 57(2), pages 189-202, March.
- Frank Schorfheide, 2011.
"Estimation and evaluation of DSGE models: progress and challenges,"
11-7, Federal Reserve Bank of Philadelphia.
- Frank Schorfheide, 2011. "Estimation and Evaluation of DSGE Models: Progress and Challenges," NBER Working Papers 16781, National Bureau of Economic Research, Inc.
- Zhongjun Qu & Denis Tkachenko, 2010. "Identification and Frequency Domain QML Estimation of Linearized DSGE Models," Boston University - Department of Economics - Working Papers Series WP2010-053, Boston University - Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:bos:wpaper:wp2011-060. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gillian Gurish)
If references are entirely missing, you can add them using this form.