Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models
Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models
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.
Dynamisches Gleichgewicht, Identification, VAR-Modell, Bayesian model estimation, ddc:330, Schätztheorie, Vector autoregression, C51, Bayes-Statistik, Bayesian Model Estimation, Vector Autoregression, Identification., vector autoregression, identification, Theorie, jel: jel:C51
Dynamisches Gleichgewicht, Identification, VAR-Modell, Bayesian model estimation, ddc:330, Schätztheorie, Vector autoregression, C51, Bayes-Statistik, Bayesian Model Estimation, Vector Autoregression, Identification., vector autoregression, identification, Theorie, jel: jel:C51
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