Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87348
Authors: 
Strachan, Rodney
van Dijk, Herman K.
Year of Publication: 
2012
Series/Report no.: 
Tinbergen Institute Discussion Paper 12-025/4
Abstract: 
The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date and a range of lags and deterministicprocesses. We find support for a number of features implied by the economic model and the evidence suggests a break in the entire model structure around 1984 after which technology shocks appear to account for all stochastic trends. Business cycle volatility seems more due to investment specific technology shocks than neutraltechnology shocks.
Subjects: 
Posterior probability
Dynamic stochastic general equilibrium model
Cointegration
Model averaging
Stochastic trend
Impulse response
Vector autoregressive model
JEL: 
C11
C32
C52
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
478.95 kB





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