EconStor >
Humboldt-Universität zu 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
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorKriwoluzky, Alexanderen_US
dc.date.accessioned2008-11-07en_US
dc.date.accessioned2009-07-23T15:15:02Z-
dc.date.available2009-07-23T15:15:02Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25303-
dc.description.abstractThis 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.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,060en_US
dc.subject.jelC51en_US
dc.subject.ddc330en_US
dc.subject.keywordBayesian model estimationen_US
dc.subject.keywordvector autoregressionen_US
dc.subject.keywordidentificationen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwDynamisches Gleichgewichten_US
dc.subject.stwBayes-Statistiken_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwTheorieen_US
dc.titleMatching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn584573693en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
584573693.PDF572.71 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.