Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

Rodney Strachan and Herman van Dijk

No 12-025/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper resulted in a publication in 'The International Economic Review' , 2013, 54(1), 385-402.

The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date and a range of lags and deterministicprocesses. We find support for a number of features implied by the economic model and the evidence suggests a break in the entire model structure around 1984 after which technology shocks appear to account for all stochastic trends. Business cycle volatility seems more due to investment specific technology shocks than neutraltechnology shocks.

Keywords: Posterior probability; Dynamic stochastic general equilibrium model; Cointegration; Model averaging; Stochastic trend; Impulse response; Vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C11 C32 C52 (search for similar items in EconPapers)
Date: 2012-03-20
References: Add references at CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20120025

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