Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/105555
Authors: 
Caglar, Evren
Chadha, Jagjit S.
Shibayama, Katsuyuki
Year of Publication: 
2011
Series/Report no.: 
School of Economics Discussion Papers 1125
Abstract: 
Koop, Pesaran and Smith (2011) suggest a simple diagnostic indicator for the Bayesian estimation of the parameters of a DSGE model. They show that, if a parameter is well identified, the precision of the posterior should improve as the (artificial) data size T increases, and the indicator checks the speed at which precision improves. It does not require any additional programming; a researcher just needs to generate artificial data and estimate the model with different T. Applying this to Smets and Wouters'(2007) medium size US model, we find that while exogenous shock processes are well identified, most of the parameters in the structural equations are not.
Subjects: 
Bayesian Estimation
Dynamic stochastic general equilibrium models
Identification
JEL: 
C51
C52
E32
Document Type: 
Working Paper

Files in This Item:
File
Size
306.45 kB





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