Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25303 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorKriwoluzky, Alexanderen
dc.date.accessioned2008-11-07-
dc.date.accessioned2009-07-23T15:15:02Z-
dc.date.available2009-07-23T15:15:02Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/25303-
dc.description.abstractThis 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.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,060en
dc.subject.jelC51en
dc.subject.ddc330en
dc.subject.keywordBayesian model estimationen
dc.subject.keywordvector autoregressionen
dc.subject.keywordidentificationen
dc.subject.stwVAR-Modellen
dc.subject.stwDynamisches Gleichgewichten
dc.subject.stwBayes-Statistiken
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.titleMatching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models-
dc.type|aWorking Paperen
dc.identifier.ppn584573693en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Files in This Item:
File
Size
572.71 kB





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