Date: 2015
Type: Working Paper
Approximating time varying structural models with time invariant structures
Working Paper, CEPR Discussion Paper, 2015/DP10803
CANOVA, Fabio, FERRONI, Filippo, MATTHES, Christian, Approximating time varying structural models with time invariant structures, CEPR Discussion Paper, 2015/DP10803 - https://hdl.handle.net/1814/39418
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: https://hdl.handle.net/1814/39418
Series/Number: CEPR Discussion Paper; 2015/DP10803
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