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

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  • Kriwoluzky, Alexander

Abstract

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.

Suggested Citation

  • Kriwoluzky, Alexander, 2008. "Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models," SFB 649 Discussion Papers 2008-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2008-060
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    References listed on IDEAS

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    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models
      by Christian Zimmermann in NEP-DGE blog on 2009-09-27 06:45:04

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    Cited by:

    1. Kriwoluzky, Alexander, 2012. "Pre-announcement and timing: The effects of a government expenditure shock," European Economic Review, Elsevier, vol. 56(3), pages 373-388.

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    More about this item

    Keywords

    Bayesian model estimation; vector autoregression; identification;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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