Estimating Dsge Models With Long Memory Dynamics

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Estimating Dsge Models With Long Memory Dynamics

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Author : Gianluca Moretti
language : en
Publisher:
Release Date : 2008

Estimating Dsge Models With Long Memory Dynamics written by Gianluca Moretti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

Recent literature claims that key variables such as aggregate productivity and inflation display long memory dynamics. We study the implications of this high degree of persistence on the estimation of Dynamic Stochastic General Equilibrium (DSGE) models. We show that long memory data produce substantial bias in the deep parameter estimates when a standard Kalman Filter-MLE procedure is used. We propose a modification of the Kalman Filter to effectively deal with this problem. The augmented Kalman Filter can consistently estimate the model parameters as well as produce more accurate out-of-sample forecasts compared to the standard Kalman filter.

Dsge Models In Macroeconomics

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Author : Nathan Balke
language : en
Publisher: Emerald Group Publishing
Release Date : 2012-11-29

Dsge Models In Macroeconomics written by Nathan Balke and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-29 with Business & Economics categories.

This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy

The Econometrics Of Dsge Models

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Author : Jesús Fernández-Villaverde
language : en
Publisher:
Release Date : 2009

The Econometrics Of Dsge Models written by Jesús Fernández-Villaverde and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Bayesian statistical decision theory categories.

In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has decided to estimate these models using Bayesian methods. Third, I briefly introduce some of the techniques required to compute and estimate these models. Fourth, I illustrate the techniques under consideration by estimating a benchmark DSGE model with real and nominal rigidities. I conclude by offering some pointers for future research.

Solving And Estimating Indeterminate Dsge Models

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Author : Mr.Roger Farmer
language : en
Publisher: International Monetary Fund
Release Date : 2013-10-01

Solving And Estimating Indeterminate Dsge Models written by Mr.Roger Farmer and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-01 with Business & Economics categories.

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.

Estimation And Evaluation Of Dsge Models Progress And Challenges

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Author : Frank Schorfheide
language : en
Publisher:
Release Date : 2011

Estimation And Evaluation Of Dsge Models Progress And Challenges written by Frank Schorfheide and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Bayesian statistical decision theory categories.

Abstract: Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world. This paper reviews recent advances in the estimation and evaluation of DSGE models, discusses current challenges, and provides avenues for future research

Dsge Model Estimation And Labor Market Dynamics

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Author : Glenn Mickelsson
language : en
Publisher:
Release Date : 2016

Dsge Model Estimation And Labor Market Dynamics written by Glenn Mickelsson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

Estimation Of Dsge Models When The Data Are Persistent

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Author : Yuriy Gorodnichenko
language : en
Publisher:
Release Date : 2009

Estimation Of Dsge Models When The Data Are Persistent written by Yuriy Gorodnichenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Equilibrium (Economics) categories.

Dynamic Stochastic General Equilibrium (DSGE) models are often solved and estimated under specific assumptions as to whether the exogenous variables are difference or trend stationary. However, even mild departures of the data generating process from these assumptions can severely bias the estimates of the model parameters. This paper proposes new estimators that do not require researchers to take a stand on whether shocks have permanent or transitory effects. These procedures have two key features. First, the same filter is applied to both the data and the model variables. Second, the filtered variables are stationary when evaluated at the true parameter vector. The estimators are approximately normally distributed not only when the shocks are mildly persistent, but also when they have near or exact unit roots. Simulations show that these robust estimators perform well especially when the shocks are highly persistent yet stationary. In such cases, linear detrending and first differencing are shown to yield biased or imprecise estimates.

Evaluating And Estimating A Dsge Model For The United Kingdom

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Author : Richard Harrison
language : en
Publisher:
Release Date : 2010

Evaluating And Estimating A Dsge Model For The United Kingdom written by Richard Harrison and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

Dsge Models In A Data Rich Environment

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Author : Jean Boivin
language : en
Publisher:
Release Date : 2006

Dsge Models In A Data Rich Environment written by Jean Boivin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Economics categories.

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However, recent empirical research on factor models has shown that information contained in large data sets is relevant for the evolution of important macroeconomic series. This suggests that conventional model estimates and inference based on estimated DSGE models might be distorted. In this paper, we propose an empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This framework provides an interpretation of all information contained in a large data set, and in particular of the latent factors, through the lenses of a DSGE model. The estimation involves Markov-Chain Monte-Carlo (MCMC) methods. We apply this estimation approach to a state-of-the-art DSGE monetary model. We find evidence of imperfect measurement of the model's theoretical concepts, in particular for inflation. We show that exploiting more information is important for accurate estimation of the model's concepts and shocks, and that it implies different conclusions about key structural parameters and the sources of economic fluctuations.

Estimating And Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

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Author : Shelton Peiris
language : en
Publisher:
Release Date : 2016

Estimating And Forecasting Generalized Fractional Long Memory Stochastic Volatility Models written by Shelton Peiris and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.