Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/129996 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
School of Economics Discussion Papers No. 1508
Verlag: 
University of Kent, School of Economics, Canterbury
Zusammenfassung: 
DSGE models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We analyze the consequences of introducing nonfundamental shocks for the estimation of DSGE model parameters and propose a method to select the structural shocks driving uncertainty. We show that forcing the existence of non-fundamental structural shocks produces a downward bias in the estimated internal persistence of the model. We then show how these distortions can be reduced by allowing the covariance matrix of the structural shocks to be rank deficient using priors for standard deviations whose support includes zero. The method allows us to accurately select fundamental shocks and estimate model parameters with precision. Finally, we revisit the empirical evidence on an industry standard medium-scale DSGE model and find that government, price, and wage markup shocks are non-fundamental.
Schlagwörter: 
reduced rank covariance matrix
DSGE models
stochastic dimension search
JEL: 
C10
E27
E32
Dokumentart: 
Working Paper

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