Resource title

Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models

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Resource description

This paper shows how to identify the structural shocks of a Vector Autore-gression (VAR) while at the same time estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data generating process. It proposes a framework to estimate 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.

Resource author

Alexander Kriwoluzky

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Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25303

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Adapt according to the presented license agreement and reference the original author.