dc.contributor.author | KRIWOLUZKY, Alexander | |
dc.date.accessioned | 2009-09-09T10:39:39Z | |
dc.date.available | 2009-09-09T10:39:39Z | |
dc.date.issued | 2009 | |
dc.identifier.issn | 1725-6704 | |
dc.identifier.uri | https://hdl.handle.net/1814/12367 | |
dc.description.abstract | 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. | en |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | en |
dc.relation.ispartofseries | EUI ECO | en |
dc.relation.ispartofseries | 2009/29 | en |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.subject | Bayesian model estimation | en |
dc.subject | Vector autoregression | en |
dc.subject | Identification | en |
dc.subject | C51 | en |
dc.title | Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models | en |
dc.type | Working Paper | en |
dc.neeo.contributor | KRIWOLUZKY|Alexander|aut| | |
eui.subscribe.skip | true | |