Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/177720
Authors: 
Angelini, Giovanni
Gorgi, Paolo
Year of Publication: 
2018
Series/Report no.: 
Tinbergen Institute Discussion Paper TI 2018-030/III
Abstract: 
This paper proposes a novel approach to introduce time-variation in structural parameters of DSGE models. Structural parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE model can be easily performed by maximum likelihood without the need of time-consuming simulation-based methods. An application to a DSGE model with time varying volatility for structural shocks is presented. The results indicate a significant improvement in forecasting performance.
Subjects: 
DSGE models
score-driven models
time-varying parameters
JEL: 
C32
C5
Document Type: 
Working Paper
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