Show simple item record

dc.contributor.authorKRIWOLUZKY, Alexander
dc.date.accessioned2009-07-13T10:01:41Z
dc.date.available2009-07-13T10:01:41Z
dc.date.issued2009
dc.identifier.issn1830-7728
dc.identifier.urihttp://hdl.handle.net/1814/12052
dc.descriptionI am especially thankful to Harald Uhlig, Chris Sims, Bartosz Mackowiak, Helmut Lütkepohl, Wouter den Haan, Francesco Ravazzolo, Lenno Uusküla, Morten Ravn and Martin Kliem for their comments and suggestions. The paper further benefitted from seminar participants at Norges Bank.en
dc.description.abstractThis paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating process. It proposes a framework for estimating 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.description.sponsorshipPart of the research was conducted while I was visiting Princeton University funded by the German Academic Exchange Service. Further grants from the DEKA Bank and the SFB 649 are gratefully acknowledged.en
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI MWPen
dc.relation.ispartofseries2009/27en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectBayesian Model Estimationen
dc.subjectVector Autoregressionen
dc.subjectIdentificationen
dc.subjectC51en
dc.titleMatching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Modelsen
dc.typeWorking Paperen
dc.neeo.contributorKRIWOLUZKY|Alexander|aut|
eui.subscribe.skiptrue


Files in this item

Icon

This item appears in the following Collection(s)

Show simple item record