Approximating Time Varying Structural Models With Time Invariant Structures
Fabio Canova,
Filippo Ferroni and
Christian Matthes
No 15-10, Working Paper from Federal Reserve Bank of Richmond
Abstract:
The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. Identifi cation and inferential distortions when a constant parameter model is incorrectly assumed are examined. Likelihood and VAR-based estimates of the structural dynamics when parameter variations are neglected are compared. Time variations in the financial frictions of Gertler and Karadi's (2010) model are studied.
JEL-codes: C10 E27 E32 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2015-10-23
New Economics Papers: this item is included in nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)
Downloads: (external link)
https://www.richmondfed.org/-/media/richmondfedorg ... 2015/pdf/wp15-10.pdf Full text (application/pdf)
Related works:
Working Paper: Approximating time varying structural models with time invariant structures (2016) 
Working Paper: Approximating time varying structural models with time invariant structures (2016) 
Working Paper: Approximating time varying structural models with time invariant structures (2015) 
Working Paper: Approximating time varying structural models with time invariant structures (2015) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:fip:fedrwp:15-10
Ordering information: This working paper can be ordered from
research.publications@rich.frb.org
Access Statistics for this paper
More papers in Working Paper from Federal Reserve Bank of Richmond Contact information at EDIRC.
Bibliographic data for series maintained by Christian Pascasio (christian.pascasio@rich.frb.org).