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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25303
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| Title: | | Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models  |
| Authors: | | Kriwoluzky, Alexander |
| Issue Date: | | 2008 |
| Series/Report no.: | | SFB 649 discussion paper 2008,060 |
| Abstract: | | This paper shows how to identify the structural shocks of a Vector Autore-gression (VAR) while at the same time estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data generating process. It proposes a framework to estimate 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. |
| Subjects: | | Bayesian model estimation vector autoregression identification |
| JEL: | | C51 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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