Arbeitspapier
Bayesian Estimation of DSGE models: Is the Workhorse Model Identified?
Koop, Pesaran and Smith (2011) suggest a simple diagnostic indicator for the Bayesian estimation of the parameters of a DSGE model. They show that, if a parameter is well identified, the precision of the posterior should improve as the (artificial) data size T increases, and the indicator checks the speed at which precision improves. It does not require any additional programming; a researcher just needs to generate artificial data and estimate the model with different T. Applying this to Smets and Wouters'(2007) medium size US model, we find that while exogenous shock processes are well identified, most of the parameters in the structural equations are not.
- Sprache
-
Englisch
- Erschienen in
-
Series: School of Economics Discussion Papers ; No. 1125
- Klassifikation
-
Wirtschaft
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Business Fluctuations; Cycles
- Thema
-
Bayesian Estimation
Dynamic stochastic general equilibrium models
Identification
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caglar, Evren
Chadha, Jagjit S.
Shibayama, Katsuyuki
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Kent, School of Economics
- (wo)
-
Canterbury
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caglar, Evren
- Chadha, Jagjit S.
- Shibayama, Katsuyuki
- University of Kent, School of Economics
Entstanden
- 2011
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