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Approximating time varying structural models with time invariant structures

Fabio Canova () and Christian Matthes ()
Authors registered in the RePEc Author Service: Filippo Ferroni ()

No No 1/2016, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School

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. Identification 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 Karadiís (2010) model are studied.

Keywords: Structural model; Time-varying coefficients; Endogenous variations; Misspecification (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-ets and nep-mac
Date: 2016-01
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Related works:
Working Paper: Approximating time varying structural models with time invariant structures (2016) Downloads
Working Paper: Approximating time varying structural models with time invariant structures (2015) Downloads
Working Paper: Approximating time varying structural models with time invariant structures (2015) Downloads
Working Paper: Approximating Time Varying Structural Models With Time Invariant Structures (2015) Downloads
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