dc.contributor.author | CANOVA, Fabio | |
dc.contributor.author | FERRONI, Filippo | |
dc.contributor.author | MATTHES, Christian | |
dc.date.accessioned | 2016-03-09T10:07:41Z | |
dc.date.available | 2016-03-09T10:07:41Z | |
dc.date.issued | 2015 | |
dc.identifier.uri | https://hdl.handle.net/1814/39418 | |
dc.description.abstract | The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. Identification and inferential distortions when a constant parameter model is incorrectly assumed are examined. Likelihood and VAR-based estimates of the structural dynamics when parameter variations are neglected are compared. Time variations in the financial frictions of a Gertler and Karadi's (2010) model are studied. | |
dc.language.iso | en | |
dc.relation.ispartofseries | CEPR Discussion Paper | en |
dc.relation.ispartofseries | 2015/DP10803 | en |
dc.relation.uri | http://cepr.org/active/publications/discussion_papers/dp.php?dpno=10803 | |
dc.title | Approximating time varying structural models with time invariant structures | |
dc.type | Working Paper | |
eui.subscribe.skip | true | |