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Estimation and Variance Decomposition in a Small-size DSGE Model

Author

Listed:
  • Oana Simona HUDEA

    (Academy of Economic Studies, Bucharest)

Abstract

The purpose of this study is to make a grounded estimation-based analysis of the Romanian economy, considering several central economic variables, aggregated at macroeconomic level. By resorting to a basic dynamic stochastic general equilibrium model, the final equations of which are briefly described herein, and to the Bayes theorem imposing the setting of priors for the parameters to be estimated, the paper reveals the output obtained, in compliance with the methodological steps previously rendered, the main results, relating to the check of plots, the posterior distribution and the variance decomposition of the model variables being presented and discussed from an economic perspective.

Suggested Citation

  • Oana Simona HUDEA, 2015. "Estimation and Variance Decomposition in a Small-size DSGE Model," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 63(1), pages 121-127, January.
    • Handle: RePEc:rsr:supplm:v:63:y:2015:i:1:p:121-127
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    More about this item

    Keywords

    Bayes theorem; dynamic stochastic general equilibrium model; parameter estimation; posterior distribution; variance decomposition;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models

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