Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25303
Authors: 
Kriwoluzky, Alexander
Year of Publication: 
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

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