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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 1205
- Classification
-
Wirtschaft
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Business Fluctuations; Cycles
- Subject
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Bayesian Estimation
Dynamic stochastic general equilibrium models
Identification
Bayes-Statistik
Dynamisches Gleichgewicht
Strukturgleichungsmodell
Modellierung
USA
- Event
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Geistige Schöpfung
- (who)
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Caglar, Evren
Chadha, Jagjit S.
Shibayama, Katsuyuki
- Event
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Veröffentlichung
- (who)
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Koç University-TÜSİAD Economic Research Forum (ERF)
- (where)
-
Istanbul
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caglar, Evren
- Chadha, Jagjit S.
- Shibayama, Katsuyuki
- Koç University-TÜSİAD Economic Research Forum (ERF)
Time of origin
- 2012
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Bayesian Estimation of a DSGE Model with Inventories
Bayesian estimation of a DSGE model with inventories
Bayesian estimation of DSGE models with Hamiltonian Monte Carlo
Bayesian estimation of DSGE models with Hamiltonian Monte Carlo
Bayesian estimation of a DSGE model with asset prices
Estimation of DSGE models: Maximum likelihood vs. Bayesian methods
Bayesian estimation of DSGE models with Hamiltonian Monte Carlo
On Identification of Bayesian DSGE Models
On identification of Bayesian DSGE models
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