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dc.contributor.authorKRIWOLUZKY, Alexander
dc.date.accessioned2009-09-09T10:39:39Z
dc.date.available2009-09-09T10:39:39Z
dc.date.issued2009
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/12367
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.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2009/29en
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|
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