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Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25303
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Kriwoluzky, Alexander | | en_US |
| dc.date.accessioned | | 2008-11-07 | | en_US |
| dc.date.accessioned | | 2009-07-23T15:15:02Z | | - |
| dc.date.available | | 2009-07-23T15:15:02Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25303 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2008,060 | | en_US |
| dc.subject.jel | | C51 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Bayesian model estimation | | en_US |
| dc.subject.keyword | | vector autoregression | | en_US |
| dc.subject.keyword | | identification | | en_US |
| dc.subject.stw | | VAR-Modell | | en_US |
| dc.subject.stw | | Dynamisches Gleichgewicht | | en_US |
| dc.subject.stw | | Bayes-Statistik | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 584573693 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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