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Comparing Hybrid DSGE Models

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  • Alessia Paccagnini

Abstract

This paper discusses the estimation of Dynamic Stochastic General Equilibrium (DSGE) models using hybrid models. These econometric tools provide the combination of an atheoretical statistical representation and the theoretical features of the DSGE model. A review of hybrid models presents the main aspects of these tools and why they are needed in the recent macroeconometric literature. Some of these models are compared to classical econometrics models (such as Vector Autoregressive, Factor Augmented VAR and Bayesian VAR) in a marginal data density analysis.

Suggested Citation

  • Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  • Handle: RePEc:mib:wpaper:228
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    More about this item

    Keywords

    Model Estimation; Bayesian Analysis; DSGE Models; Vector Autoregressions;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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