Type: Working Paper
Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models
Working Paper, EUI ECO, 2009/29
KRIWOLUZKY, Alexander, Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models, EUI ECO, 2009/29 - http://hdl.handle.net/1814/12367
Retrieved from Cadmus, EUI Research Repository
This 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.
Cadmus permanent link: http://hdl.handle.net/1814/12367
Series/Number: EUI ECO; 2009/29