On the statistical identification of DSGE models

DOI10.1016/j.jeconom.2009.02.012zbMath1429.62657OpenAlexW2039639588MaRDI QIDQ302169

Agostino Consolo, Alessia Paccagnini, Carlo A. Favero

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.02.012

zbMATH Keywords

Bayesian analysisvector autoregressionmodel evaluationdynamic stochastic general equilibrium modelfactor-augmented vector autoregressionstatistical identification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Dynamic stochastic general equilibrium theory (91B51)

Related Items (3)

Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models ⋮ On the precision of Calvo parameter estimates in structural NKPC models ⋮ Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model

Uses Software

• Gensys

Cites Work

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