Indeterminacy, change points and the price puzzle in an estimated DSGE model

DOI10.1016/j.jedc.2008.08.009zbMath1170.91338OpenAlexW1973063836MaRDI QIDQ2271658

Anatoliy Belaygorod, Michael J. Dueker

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.08.009

zbMATH Keywords

indeterminacychange-pointmetropolis-hastingsgreat inflationprice puzzle

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

Related Items (3)

Solving and estimating indeterminate DSGE models ⋮ Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models ⋮ Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach

Uses Software

• Gensys

Cites Work

• Unnamed Item
• Computing sunspot equilibria in linear rational expectations models
• Calculating posterior distributions and modal estimates in Markov mixture models
• Estimation and comparison of multiple change-point models
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Solving linear rational expectations models
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Bayesian Analysis of DSGE Models

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