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Title:Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models PDF Logo
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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