Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/105555 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
School of Economics Discussion Papers No. 1125
Verlag: 
University of Kent, School of Economics, Canterbury
Zusammenfassung: 
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.
Schlagwörter: 
Bayesian Estimation
Dynamic stochastic general equilibrium models
Identification
JEL: 
C51
C52
E32
Dokumentart: 
Working Paper

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