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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Kriwoluzky, Alexander | en |
dc.date.accessioned | 2008-11-07 | - |
dc.date.accessioned | 2009-07-23T15:15:02Z | - |
dc.date.available | 2009-07-23T15:15:02Z | - |
dc.date.issued | 2008 | - |
dc.identifier.uri | http://hdl.handle.net/10419/25303 | - |
dc.description.abstract | This 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.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2008,060 | en |
dc.subject.jel | C51 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Bayesian model estimation | en |
dc.subject.keyword | vector autoregression | en |
dc.subject.keyword | identification | en |
dc.subject.stw | VAR-Modell | en |
dc.subject.stw | Dynamisches Gleichgewicht | en |
dc.subject.stw | Bayes-Statistik | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Theorie | en |
dc.title | Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 584573693 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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