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Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models

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  • Alexander Kriwoluzky

Abstract

This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating process. It proposes a framework for estimating the parameters of the VAR model and the DSGE model jointly: the VAR model is identified by sign restrictions derived from the DSGE model; the DSGE model is estimated by matching the corresponding impulse response functions.

Suggested Citation

  • Alexander Kriwoluzky, 2009. "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers ECO2009/29, European University Institute.
    • Handle: RePEc:eui:euiwps:eco2009/29
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models
      by Christian Zimmermann in NEP-DGE blog on 2009-09-27 06:45:04

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    Cited by:

    1. Kriwoluzky, Alexander, 2012. "Pre-announcement and timing: The effects of a government expenditure shock," European Economic Review, Elsevier, vol. 56(3), pages 373-388.

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    More about this item

    Keywords

    Bayesian Model Estimation; Vector Autoregression; Identification;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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